Now showing items 1-20 of 460

    • A European-Type Wage Equation from an American-Style Labor Market: Evidence from a Panel of Norwegian Manufacturing Industries in the 1930s 

      Bårdsen, Gunnar; Doornik, Jurgen; Klovland, Jan Tore (Working Papers;4/2004, Working paper, 2004)
      Using a newly constructed panel of manufacturing industry data for interwar Norway, we estimate a long-run wage curve for the 1930s that has all the modern features of being homogeneous in prices, proportional to productivity, ...
    • A Model of Bankruptcy Prediction 

      Bernhardsen, Eivind (Working Papers;10/2001, Doctoral thesis; Working paper, 2001)
      In this thesis, a model of bankruptcy prediction conditional on financial statements is presented. Apart from giving a discussion on the suggested variables the issue of functional form is raised. The specification most ...
    • A New Monthly Indicator of Global Real Economic Activity 

      Ravazzolo, Francesco; Vespignani, Joaquin L. (Working Papers;6/2015, Working paper, 2015)
      In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ...
    • A Note on Inflation Persistence 

      Holden, Steinar; Driscoll, John C. (Working Papers;14/2002, Working paper, 2002)
      Macroeconomists have for some time been aware that the New Keynesian Phillips curve, though highly popular in the literature, cannot explain the persistence observed in actual inflation. We argue that one of the more ...
    • A Quantitative Discursive Dilemma 

      Claussen, Carl Andreas; Røisland, Øistein (Working Papers;7/2007, Working paper, 2007)
      The typical judgment aggregation problem in economics and other fields is the following: A group of people has to judge/estimate the value of an uncertain variable y which is a function of κ other variables, i.e. y=D(χ1, ...
    • A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market 

      Syrdal, Stig Arild (Working Papers;13/2002, Working paper, 2002)
      Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyse the potential value ...
    • A Survey of Econometric Methods for Mixed-Frequency Data 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;6/2013, Working paper, 2013)
      The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
    • A Test of Uncovered Interest Rate Parity for Ten European Countries Based on Bottstrapping and Panel Data Models 

      Bernhardsen, Tom (Working Papers;9/1997, Working paper, 1997)
      Based on both single country models and panel data models uncovered interest rate parity is tested for ten European countries relative to Germany by regressing exchange rate changes on interest rate differentials. The ...
    • A Transaction Data Study of the Forward Bias Puzzle 

      Breedon, Francis; Rime, Dagfinn; Vitale, Paolo (Working Papers;26/2010, Working paper, 2010)
      Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a ...
    • Age Structure Effects and Consumption in Norway, 1968(3) – 1998(4) 

      Erlandsen, Solveig K. (Working Papers;1/2003, Working paper, 2003)
      In this paper the effects of a changing age distribution on aggregate consumption are analysed. This is done by estimating a Norwegian consumption function which controls for age structure effects. The model is estimated ...
    • Aggregate Bankruptcy Probabilities and Their Role in Explaining Banks’ Loan Losses 

      Andreeva, Olga (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 ...
    • Aggregate density forecast of models using disaggregate data - A copula approach 

      Paulsen, Kenneth Sæterhagen; Fastbø, Tuva Marie; Ingebrigtsen, Tobias (Working paper;5/2022, Working paper, 2022)
      We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable ...
    • 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 ...
    • An Equilibrium Model of Credit Rating Agencies 

      Holden, Steinar; Natvik, Gisle James; Vigier, Adrien (Working Papers;23/2012, Working paper, 2012)
      We develop a model of credit rating agencies (CRAs) based on reputation concerns. Ratings affect investors' choice and, thereby, also issuers' access to funding and default risk. We show that - in equilibrium - the ...
    • An historical perspective on financial stability and monetary policy regimes : A case for caution in central banks current obsession with financial stability 

      Bordo, Michael D. (Working papers;5/2018, Working paper, 2018)
      The global financial crisis (GFC) of 2007-2008 led to a call for central banks to elevate their financial stability mandate to the same level as their price stability mandate. It also led to a call for central banks to use ...
    • Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them? 

      Mirkov, Nikola; Natvik, Gisle James (Working Papers;11/2013, Working paper, 2013)
      If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies ...
    • Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models 

      Binning, Andrew; Maih, Junior (Working Papers;17/2015, Working paper, 2015)
      We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter ...
    • Arbitrage in the Foreign Exchange Market: Turning on the Microscope 

      Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (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 ...
    • Are Bank Lending Shocks Important for Economic Fluctuations? 

      Halvorsen, Jørn Inge; Jacobsen, Dag Henning (Working Papers;27/2009, Working paper, 2009)
      We analyze the importance of bank lending shocks on real activity in Norway and the UK, using structural VARs and based on quarterly data for the past 21 years. The VARs are identified using a combination of sign and ...
    • Are Real Wages Rigid Downwards? 

      Holden, Steinar; Wulfsberg, Fredrik (Working Papers;1/2007, Working paper, 2007)
      This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973–1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, ...