Blar i Arbeidsnotater / Working Papers på forfatter "ter Ellen, Saskia"

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    • Agreeing on Disagreement: Heterogeneity or Uncertainty? 

      ter Ellen, Saskia; Verschoor, Willem F.C.; Zwinkels, Remco C.J. (Working Papers;4/2016, Working paper, 2016)
      Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to ...

    • Comparing Behavioural Heterogeneity Across Asset Classes 

      Hommes, Cars H.; Zwinkels, Remco C.J.; ter Ellen, Saskia (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 ...

    • ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies 

      ter Ellen, Saskia; Jansen, Edvard; Midthjell, Nina Larsson (Working Paper;9/2018, Working paper, 2018)
      In this paper we study financial spillovers from the European Central Bank's (ECB) monetary policy and communication, and whether they have consequences for the effectiveness of domestic monetary policy of small open ...

    • Forward Guidance Through Interest Rate Projections: Does It Work? 

      Brubakk, Leif; Xu, Hong; ter Ellen, Saskia (Working Papers;6/2017, Working paper, 2017)
      Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market ...

    • Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence 

      Verschoor, Willem F.C.; ter Ellen, Saskia (Working Papers;22/2017, Working paper, 2017)
      This paper reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) ...

    • The macroeconomic effects of forward communication 

      Brubakk, Leif; ter Ellen, Saskia; Robstad, Ørjan; Xu, Hong (Working Paper;20/2019, Working paper, 2019)
      This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ...

    • Narrative monetary policy surprises and the media 

      ter Ellen, Saskia; Larsen, Vegard H.; Thorsrud, Leif Anders (Working Paper;19/2019, Working paper, 2019)
      We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage that can be explained by central ...