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The Dynamics of Operating Income in the Norwegian Banking Sector
(Working Papers;13/2008, Working paper, 2008)The banking literature contains only a handful of studies of how bank revenues vary over the business cycle, and nearly all of these studies look exclusively on the net interest margin. The general conclusion has been that ... -
The Effect of New Technology in Payment Services on Banks' Intermediation
(Working Papers;6/2002, Working paper, 2002)In many countries, payment services in banking have shifted from paper-based giro and cheque payments to electronic giro and debit card payments. This paper analyses the effect of this change in payment technology within ... -
The End of the Waterfall: Default Resources of Central Counterparties
(Working Papers;16/2015, Working paper, 2015)Central counterparties (CCPs) have become pillars of the new global financial architecture following the financial crisis of 2008. The key role of CCPs in mitigating counterparty risk and contagion has in turn cast them ... -
The Flows of the Pacific: Asian Foreign Exchange Markets Through Tranquility and Turbulence
(Working Papers;1/2012, Working paper, 2012)Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with ... -
The Generic Properties of Equilibrium Correction Mechanisms
(Working Papers;8/1999, Working paper, 1999)Linear dynamic equilibrium correction mechanisms are shown to follow from the discretisation of continuous economic processes with steady-state solutions. In addition, the proposed procedure provides testable restrictions ... -
The global financial cycle, bank capital flows and monetary policy. Evidence from Norway
(Working papers;2/2018, Working paper, 2018)We investigate the importance of a global financial cycle for gross capital inflows based on monthly balance sheet data for Norwegian banks. The VIX index has been interpreted as an “investor fear gauge” and associated ... -
The Hidden Costs of Hidden Debt
(Working Papers;22/2011, Working paper, 2011)We report evidence that salience may have economically significant effects on homeowners’ borrowing behavior, through a bias in favour of less salient but more costly loans. Survey evidence corroborates the existence of ... -
The Historical Connection Between Short Term Output and Prices in a Small Open Economy
(Working Papers;21/2009, Working paper, 2009)According to a Keynesian view, short term output fluctuations are normally demand side led. Since prices reflect demand, they should mirror output fluctuations. Thus, prices and output are expected to move in the same ... -
The Impact of House Prices on Household Debt When Controlling for Home Ownership
(Working Papers;8/2011, Working paper, 2011)We analyze the effect of house price changes on debt secured on dwellings in Norway. To this end, we use both macro time series and micro panel data. With the intention of being both a cross-check and motivation for the ... -
The Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreads
(Working Papers;7/2014, Working paper, 2014)This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy ... -
The Influence of the Taylor Rule on US Monetary Policy
(Working Papers;4/2013, Working paper, 2013)We analyze the influence of the Taylor rule on US monetary policy by estimating the policy preferences of the Fed within a DSGE framework. The policy preferences are represented by a standard loss function, extended with ... -
The Information Content of Market Liquidity: An Empirical Analysis of Liquidity at the Oslo Stock Exchange?
(Working Papers;26/2009, Working paper, 2009)We investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in Norway. We describe the development ... -
The International Monetary System, 1844-1870: Arbitrage, Efficiency, Liquidity
(Working Papers;23/2010, Working paper, 2010)This paper analyses the architecture of the international monetary system which preceded the international gold standard (1844-1870). It builds on a newly-created database made up of more than 100,000 weekly observations ... -
The Long-Run Exchange Rate for NOK: A BEER Approach
(Working Papers;19/2010, Working paper, 2010)This paper investigates a long-run relation for the trade weighted NOK exchange rate. I find that the NOK Trade Weighted Index (TWI) cointegrates with the real oil price, the price differential and the real interest ... -
The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
(Working Papers;9/2012, Working paper, 2012)This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive ... -
The Market Impact and Timing of Open Market Share Repurchases in Norway
(Working Papers;8/2004, Working paper, 2004)This paper examines a detailed dataset on open market repurchase announcements and actual repurchases conducted by Norwegian firms during the period 1998-2001. Firms that announce a repurchase plan experience a positive ... -
The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
(Working Papers;12/2013, Working paper, 2013)Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure ... -
The Natural Real Interest Rate and the Output Gap in the Euro Area: A Joint Estimation
(Working Papers;14/2005, Working paper, 2005)The notion of a natural real rate of interest, due to Wicksell (1936), is widely used in current central bank research. The idea is that there exists a level at which the real interest rate would be compatible with output ... -
The Origins of a Paper Money Economy - the Case of Norway
(Working Papers;25/2009, Working paper, 2009)This article sketches the origins of paper money in Norway back to the last half of the 18th century and asks why there was no circulation of full-bodied coins even after notes had become convertible into silver at par in ... -
The Origins of Foreign Exchange Policy: The National Bank of Belgium and the Quest for Monetary Independence in the 1850s
(Working Papers;22/2010, Working paper, 2010)Can the central bank of a small open economy be mandated with the maintenance of both fixed exchange rates and monetary independence, and still succeed in the long term? Looking at a pioneering experiment put in place by ...