• Optimal Monetary Policy When Agents Are Learning 

      Molnár, Krisztina; Santoro, Sergio (Working Papers;8/2010, Working paper, 2010)
      We derive the optimal monetary policy in a sticky price model when private agents follow adaptive learning. We show that this slight departure from rationality has important implications for policy design. The central bank ...
    • Optimal Portfolio Choice Under Decision-Based Model Combinations 

      Pettenuzzo, Davide; Ravazzolo, Francesco (Working Papers;15/2014, Working paper, 2014)
      We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. ...
    • Optimality of Prompt Corrective Action in a Continuous - Time Model with Recapitalization Possibility 

      Vo, Thi Quynh Anh (Working Papers;28/2009, Working paper, 2009)
      Prompt Corrective Action (PCA) is a system of predetermined capital/asset ratios that trigger supervisory actions by a banking regulator. Our paper addresses the optimality of this regulation system by adapting a dynamic ...
    • Optimum Currency Areas Under Inflation Targeting 

      Røisland, Øistein; Torvik, Ragnar (Working Papers;10/1999, Working paper, 1999)
      Several countries face the choice between targeting inflation independently or entering a monetary union that targets inflation. The present paper extends the theory of optimum currency areas to deal with this choice. In ...
    • Output Gap, Monetary Policy Trade-Offs and Financial Frictions 

      Furlanetto, Francesco; Gelain, Paolo; Sanjani, Marzie Taheri (Working Papers;8/2017, Working paper, 2017)
      This paper investigates how the presence of financial frictions and financial shocks changes the definition and the estimated dynamics of the output gap in a New Keynesian model. Financial shocks absorb explanatory power ...
    • Overconfidence, Monetary Policy Committees and Chairman Dominance 

      Claussen, Carl Andreas; Matsen, Egil; Røisland, Øistein; Torvik, Ragnar (Working Papers;17/2009, Working paper, 2009)
      We suggest that overconfidence among policymakers explains why formal decision power over monetary policy is given to committees, while much of the real power to set policy remains with central bank chairmen. Overconfidence ...
    • Ownership Structure and Stock Market Liquidity 

      Næs, Randi (Working Papers;6/2004, Working paper, 2004)
      This paper studies the relationship between company ownership and market liquidity using a panel regression approach. The data sample contains detailed transactions data from a limit order driven stock market, and a full ...
    • Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;11/2014, Working paper, 2014)
      This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ...
    • Partially Censored Posterior for robust and efficient risk evaluation 

      Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)
      A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ...
    • Peer effects and debt accumulation: Evidence from lottery winnings 

      Gulbrandsen, Magnus A. H. (Working Paper;10/2021, Working paper, 2021)
      I estimate the effect of lottery winnings on peers' debt accumulation using administrative data from Norway. I identify neighbors of lottery winners, and estimate an average debt response of 2.1 percent of the lottery ...
    • Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway 

      Findreng, Jon H. (Working Paper;2/2021, Working paper, 2021)
      Bilateral payment flows between banks may provide private information about a borrowing bank’s liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves ...
    • Pension Reform Disabled 

      Galaasen, Sigurd Mølster (Working Papers;20/2017, Working paper, 2017)
      Old-age pension reform is on the agenda across the OECD, and a key target is to delay retirement. Most of these countries also have a disability insurance (DI) program accounting for a large share of labor force exits. ...
    • Persistent Inefficient Redistribution 

      Claussen, Carl Andreas (Working Papers;11/2002, Working paper, 2002)
      Why do governments redistribute through indirect and inefficient means? An intuitive hypothesis is that it masks the real aim and cost of policy. In this paper we construct a dynamic model with an infinite horizon, political ...
    • Petro Populism 

      Matsen, Egil; Natvik, Gisle James; Torvik, Ragnar (Working Papers;6/2012, Working paper, 2012)
      We aim to explain petro populism - the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income politicians need to remain in office over time. Hence, even a purely rent-seeking ...
    • Pitfalls in the Modelling of Forward-Looking Price Setting and Inverstment Behavior 

      Sveen, Tommy; Weinke, Lutz (Working Papers;1/2004, Working paper, 2004)
      We discuss some difficulties in a dynamic New-Keynesian model with staggered price setting à la Calvo and a convex capital adjustment cost at the firm level, as considered by Woodford (2003, Ch. 5). It is shown that the ...
    • Policy Analysis in Real Time Using IMF's Monetary Model 

      Akram, Q. Farooq (Working Papers;10/2010, Working paper, 2010)
      We investigate to what extent estimated relationships of the IMF’s monetary model and their policy implications are sample dependent. This model constitutes the core of the IMF’s financial programming models for developing ...
    • Policy Rules and External Shocks 

      Ball, Laurence (Working Papers;3/2001, Working paper, 2001)
      The decade since 1990 has been a period of innovation in monetary policy. Around the world, many countries have adopted inflation targeting as their basic policy framework. Different countries have tried different techniques ...
    • Portfolio Choice When Managers Control Returns 

      Matsen, Egil (Working Papers;15/2005, Working paper, 2005)
      This paper investigates the allocation decision of an investor with two projects. Separate managers control the mean return from each project, and the investor may or may not observe the managers’ actions. We show that the ...
    • PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate 

      Akram, Q. Farooq (Working Papers;7/2000, Working paper, 2000)
      Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real ...
    • PPP in the Medium Run Despite Oil Shocks: The Case of Norway 

      Akram, Q. Farooq (Working Papers;4/2002, Working paper, 2002)
      Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its ...