• Bubbles and Crises: The Role of House Prices and Credit 

      Anundsen, André K.; Hansen, Frank; Gerdrup, Karsten R.; Kragh-Sørensen, Kasper (Working Papers;14/2014, Working paper, 2014)
      This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set ...
    • Does Forecast Combination Improve Norges Bank Inflation Forecasts? 

      Bjørnland, Hilde C.; Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;1/2009, Working paper, 2009)
      We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are ...
    • Evaluating Ensemble Density Combination - Forecasting GDP and Inflation 

      Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;19/2009, Working paper, 2009)
      Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight ...
    • Leaning Against the Wind When Credit Bites Back 

      Gerdrup, Karsten R.; Hansen, Frank; Krogh, Tord; Maih, Junior (Working Papers;9/2016, Working paper, 2016)
      This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis ...
    • Nowcasting GDP in Real-Time: A Density Combination Approach 

      Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (Working Papers;11/2011, Working paper, 2011)
      In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a ...
    • Weights and Pools for a Norwegian Density Combination 

      Bjørnland, Hilde C.; Gerdrup, Karsten R.; Smith, Christie; Jore, Anne Sofie; Thorsrud, Leif Anders (Working Papers;6/2010, Working paper, 2010)
      We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We ...