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The Promise and Performance of the Federal Reserve as Lender of Last Resort 1914-1933
(Working Papers;1/2011, Working paper, 2011)This paper examines the origins and early performance of the Federal Reserve as lender of last resort. The Fed was established to overcome the problems of the National Banking era, in particular an “inelastic” currency and ... -
The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference
(Working Papers;10/2017, Working paper, 2017)This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density ... -
The Relation Between Banks' Funding Costs, Retail Rates and Loan Volumes: An Analysis of Norwegian Bank Micro Data
(Working Papers;17/2012, Working paper, 2012)We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding costs affect retail loan rates and ii) how retail rate differences between banks affect market shares. The ... -
The Relationship Between Bankruptcy Risk and Growth for Non-Listed Firms
(Working Papers;31/2010, Working paper, 2010)We investigate the relationship between bankruptcy risk and expected future sales growth for Norwegian non-listed firms for the period 1988-2007. We find that firms with high bankruptcy risk also have high expected future ... -
The Risk Components of Liquidity
(Working Papers;3/2008, Working paper, 2008)Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ... -
The Risk-Taking Channel of Monetary Policy in Norway
(Working Papers;5/2016, Working paper, 2016)We identify the effects of monetary policy on credit risk-taking using a unique dataset covering the population of corporate borrowers in Norway. We find that a lower benchmark interest rate (interbank rates or overnight ... -
The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies
(Working Papers;6/2009, Working paper, 2009)We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying hocks to interest rates ... -
The Role of House Prices in the Monetary Policy Transmission Mechanism in the U.S.
(Working Papers;24/2008, Working paper, 2008)We analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run (neutrality) restrictions, allowing ... -
The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s
(Working Papers;1/2016, Working paper, 2016)We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable ... -
The Taylor Principle in a Medium-Scale Macroeconomic Model
(Working Papers;9/2010, Working paper, 2010)The Taylor Principle is often used to explain macroeconomic stability (see, e.g., Clarida et al. 2000). The reason is that this simple principle guarantees determinacy, i.e., local uniqueness of rational expectations ... -
The World Is Not Enough! Small Open Economies and Regional Dependence
(Working Papers;16/2011, Working paper, 2011)This paper bridges the new open economy factor augmented VAR (FAVAR) studies with the recent findings in the business cycle synchronization literature emphasizing the importance of regional factors. That is, we estimate ... -
The Zero Lower Bound on the Interest Rate and a Neo-Classical Phillips Curve
(Working Papers;13/2010, Working paper, 2010)With sticky prices, optimizing agents and money in the utility function, I derive the exact analytical solution for optimal monetary policy given a zero lower bound (ZLB) on the interest rate. The Phillips curve is ... -
Third-Order Approximation of Dynamic Models Without the Use of Tensors
(Working Papers;13/2013, Working paper, 2013)I outline a new method for finding third-order accurate solutions to dynamic general equilibrium models. I extend the Gomme & Klein (2011) solution for second-order approximations without using tensors, to a third-order. ... -
Top Incomes, Rising Inequality, and Welfare
(Working Papers;10/2012, Working paper, 2012)This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. ... -
Trade conflicts and credit supply spillovers : Evidence from the Nobel Peace Prize trade shock
(Working paper;6/2023, Working paper, 2023)In this paper, we examine how a trade conflict’s impact on the real economy can be amplified by financial intermediaries. After China’s implicit ban on the imports of Norwegian salmon in response to the decision on 2010 ... -
U.S. Banking Deregulation, Small Businesses, and Interstate Insurance of Personal Income
(Working Papers;9/2006, Working paper, 2006)We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate personal income insurance during the period 1970–2001. Interstate income insurance occurs when personal income reacts less ... -
Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
(Working Papers;14/2013, Working paper, 2013)I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and ... -
Unemployment. Labour Market Programmes and Wages in Norway
(Working Papers;11/1997, Working paper, 1997)The Norwegian authorities pursue active labour market policies to fight unemployment by qualifying the unemployed in a wide range of programmes. We discuss theoretically and investigate empirically the effects such policies ... -
Universal Banking and the Development of Secondary Corporate Debt Markets: Lessons from 1830s Belgium
(Working Papers;21/2010, Working paper, 2010)This paper proposes a reassessment of the old-age debate on universal banking and growth by putting it on a different plan. Modern financial economics are used to provide new theoretical foundations to Gerschenkron’s (1962) ... -
Using Low Frequency Information for Predicting High Frequency Variables
(Working Papers;13/2015, Working paper, 2015)We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure ...