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Large T and Small N: A Three-Step Approach to the Identification of Cointegrating Relationships in Time Series Models with a Small Cross-Sectional Dimension
(Working Papers;15/2004, Working paper, 2004)This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of ... -
The Degree of Independence in European Goods Markets: An I(2) Analysis of German and Norwegian Trade Data
(Working Papers;19/2004, Working paper, 2004)It is almost common knowledge that foreign trade in Europe is characterized by an acceptance of prices set by the world market. Coupled with a constant profit share in domestic sectors this makes European exports vulnerable ... -
Savers, Spenders and Fiscal Policy in a Small Open Economy
(Working Papers;18/2004, Working paper, 2004)This paper analyzes the effects of fiscal policy in an open economy. We extend the savers-spenders theory of Mankiw (2000) to a small open economy with endogenous labor supply. We first show how the Dornbusch (1983) ... -
Aggregate Bankruptcy Probabilities and Their Role in Explaining Banks’ Loan Losses
(Working Papers;2/2004, Working paper, 2004)Increased competition forces banks to narrow lending margins and at the same time relaxed lending standards worsen the pool of borrowers. To preserve sound banking system it is important task to monitor credit risk as one ... -
Pitfalls in the Modelling of Forward-Looking Price Setting and Inverstment Behavior
(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 ... -
Who Was in the Driving Seat in Europe During the Nineties, International Financial Markets or the BUBA?
(Working Papers;20/2004, Working paper, 2004)The purpose of this paper is to reexamine empirically the relationship between long-term interest rates in well integrated financial markets. The analysis focuses on long-term interest rates in the US and Germany and has ... -
Ownership Structure and Stock Market Liquidity
(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 ... -
En effisient handlingsregel for bruk av petroleumsinntekter
(Arbeidsnotater;17/2004, Working paper, 2004)Denne artikkelen undersøker hvor mye vi bør bruke av petroleumsinntektene hvis vi samtidig skal minimere kostnadene ved å bruke dem. Slike kostnader forbindes med sektoromstillinger som ikke kan opprettholdes og må reverseres ... -
Liquidity Provision in the Overnight Foreign Exchange Market
(Working Papers;13/2004, Working paper, 2004)We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ... -
Modelling Inflation in the Euro Area
(Working Papers;10/2004, Working paper, 2004)The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the ... -
Monetary Policy and the Illusionary Exchange Rate Puzzle
(Working Papers;11/2005, Working paper, 2005)Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with ... -
What Determines Banks’ Market Power? Akerlof versus Herfindahl
(Working Papers;8/2005, Working paper, 2005)We introduce a model analyzing how asymmetric information problems in a bank-loan market may evolve over the age of a borrowing firm. The model predicts a life-cycle pattern for banks’ interest rate markup. Young firms pay ... -
Inflation Inertia and the Optimal Hybrid Inflation/Price-Level Target
(Working Papers;4/2005, Working paper, 2005)A hybrid inflation/price-level target combines elements of both inflation and price-level targets. The paper derives a hybrid target within a new Keynesian model with inflation persistence due to price indexation. The ... -
Large’ vs. ‘Small’ Players: A Closer Look at the Dynamics of Speculative Attacks
(Working Papers;13/2005, Working paper, 2005)What is the role of “large players” like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information ... -
Efficient Consumption of Revenues from Natural Resources - an Application to Norwegian Petroleum Revenues
(Working Papers;1/2005, Working paper, 2005)This paper addresses the so-called natural resource curse by devising a rule that can reduce macroeconomic costs associated with the consumption of revenues from natural resources. It assumes that such macroeconomic costs ... -
Non-Linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003
(Working Papers;2/2005, Working paper, 2005)We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been ... -
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 ... -
Arbitrage in the Foreign Exchange Market: Turning on the Microscope
(Working Papers;12/2005, Working paper, 2005)This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered ... -
Collective Economic Decisions and the Discursive Dilemma
(Working Papers;3/2005, Working paper, 2005)Most economic decisions involve judgments. When decisions are taken collectively, various judgment aggregation problems may occur. Here we consider an aggregation problem called the discursive dilemma , which is characterized ... -
Is Lumpy Investment Really Irrelevant for the Business Cycle?
(Working Papers;6/2005, Working paper, 2005)Smoothness in aggregate capital accumulation is a necessary condition for New-Keynesian (NK) models to imply a quantitatively relevant monetary transmission mechanism (see, e.g., Woodford 2005). Can that aggregate smoothness ...