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Combining Inflation Density Forecasts
(Working Papers;22/2008, Working paper, 2008)In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback-Leibler divergence. In particular, we apply a similar suite of models to four different data sets ... -
Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data
(Working Papers;29/2010, Working paper, 2010)Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach ... -
Combining VAR and DSGE Forecast Densities
(Working Papers;23/2009, Working paper, 2009)A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. ... -
Commodity Prices, Interest Rates and the Dollar
(Working Papers;12/2008, Working paper, 2008)We investigate whether a decline in real interest rates and the US dollar contribute to higher commodity prices, and whether commodity prices tend to display overshooting behavior in response to changes in especially real ... -
Communicating Monetary Policy Intentions: The Case of Norges Bank
(Working Papers;20/2008, Working paper, 2008)Monetary policy works mainly through private agents’ expectations. How precisely future policy intentions are communicated has, according to theory, implications for the outcome of monetary policy. Norges Bank has gone ... -
Comparing Behavioural Heterogeneity Across Asset Classes
(Working Papers;12/2017, Working paper, 2017)We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence ... -
Components of Uncertainty
(Working Papers;5/2017, Working paper, 2017)Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle ... -
Computing the Distribution: Adaptive Finite Volume Methods for Economic Models with Heterogeneous Agents
(Working Paper;10/2019, Working paper, 2019)Solving economic models with heterogenous agents requires computing aggregate dynamics consistent with individual behaviors. This paper introduces the finite volume method from the mathe-matics literature to enlarge the set ... -
Conditional Forecasting with DSGE Models - a Conditional Copula Approach
(Working Papers;4/2017, Working paper, 2017)DSGE models may be misspecified in many dimensions, which can affect their forecasting performance. To correct for these misspecifications we can apply conditional information from other models or judgment. Conditional ... -
Conditional Forecasts in DSGE Models
(Working Papers;7/2010, Working paper, 2010)New-generation DSGE models are sometimes misspecified in dimensions that matter for their forecasting performance. The paper suggests one way to improve the forecasts of a DSGE model using a conditioning information that ... -
Consumption and Population Age Structure
(Working Papers;22/2004, Working paper, 2004)In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. ... -
Contributions to a History of Prices in Norway: Monthly Price Indices, 1777-1920
(Working Papers;23/2013, Working paper, 2013)This study reports the outcome of an effort to collect market price data for Norway with a view to constructing monthly price indices from the year 1777 to 1920. The material covers data on commodity prices from agriculture, ... -
Coordination, Fair Treatment and Inflation Persistence
(Working Papers;15/2002, Working paper, 2002)Most wage-contracting models with rational expectations fail to replicate the persistence in inflation observed in the data. We argue that coordination problems and multiple equilibria are the keys to explaining inflation ... -
Costs and Income in the Norwegian Payment System 2001. An Application of the Activity Based Costing Framework
(Working Papers;8/2003, Working paper, 2003)This paper summarizes a survey of costs and income in the payment system of Norwegian banks in 2001. The cost analysis was carried out by using the activity based costing (ABC) framework. The results from this analysis are ... -
Countercyclical capital requirement reductions, state dependence and macroeconomic outcomes
(Working Paper;9/2020, Working paper, 2020)We use bank-, loan- and firm-level data together with a quasi-natural experiment to estimate the impact of capital requirement reductions on bank lending and real economic outcomes. We find that capital requirement reductions ... -
Covered bonds and bank portfolio rebalancing
(Working Paper;6/2021, Working paper, 2021)We use administrative and supervisory data at the bank and loan level to investigate the impact of the introduction of covered bonds on the composition of bank balance sheets and bank risk. Covered bonds, despite being ... -
Covered Interest Parity in long-dated securities
(Working Paper;11/2020, Working paper, 2020)This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or ... -
Criteria for “good” justifications
(Working papers;6/2018, Working paper, 2018)Many institutions in a democratic society wield important power by virtue of the decisions they make. These decisions may concern individuals or have a more general impact on society. It goes without saying today that this ... -
Critical Realism and Econometrics
(Working Papers;4/2003, Working paper, 2003)In "Economics and Reality" (1997) Tony Lawson advocates a perspective on social reality labelled critical realism. Critical realism maintains that strict regularities between observable events are the exception rather than ... -
Cross-Boarder Diversification in Bank Asset Portfolios
(Working Papers;11/2004, Working paper, 2004)Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We ...