Arbeidsnotater / Working Papers: Recent submissions
Now showing items 161-180 of 472
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Dealer Behavior and Trading Systems in Foreign Exchange Markets
(Working Papers;10/2003, Working paper, 2003)We study dealer behavior in the foreign exchange spot market using a detailed data set on the complete transactions of four dealers. There is strong support for an information effect in incoming trades. Although there is ... -
A Model of Bankruptcy Prediction
(Working Papers;10/2001, 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 ... -
The Market Impact and Timing of Open Market Share Repurchases in Norway
(Working Papers;8/2004, Working paper, 2004)This paper examines a detailed dataset on open market repurchase announcements and actual repurchases conducted by Norwegian firms during the period 1998-2001. Firms that announce a repurchase plan experience a positive ... -
House Prices in Norway 1819–1989
(Working Papers;21/2004, Working paper, 2004)Annual house price indices for four Norwegian cities are presented for the period from 1819 to 1989. The indices are constructed on the basis of nominal housing transaction prices compiled from the real property registers ... -
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. ... -
The Ownership Structure of Repurchasing Firms
(Working Papers;7/2004, Working paper, 2004)This paper provides an examination of the ownership structure in Norwegian firms that announced repurchase plans during the period 1999 through 2001, as well as for groups of these firms conditional on whether they actually ... -
Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
(Working Papers;9/2004, Working paper, 2004)Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests ... -
Firm-Specific Investment, Sticky Prices, and the Taylor Principle
(Working Papers;12/2004, Working paper, 2004)According to the Taylor principle a central bank should adjust the nominal interest rate by more than one for one in response to changes in current inflation. Most of the existing literature supports the view that by ... -
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 ... -
Oil Wealth and Real Exchange Rates: The FEER for Norway
(Working Papers;16/2004, Working paper, 2004)It is often argued that Norway’s sizeable net foreign assets based on its petroleum wealth imply an appreciation of its real exchange rate to a permanently strong level. We investigate this issue within the framework of ... -
New Perspectives on Capital and Sticky Prices
(Working Papers;3/2004, Working paper, 2004)We model capital accumulation in a dynamic New-Keynesian model with staggered price setting à la Calvo. It is assumed that firms do not have access to a rental market for capital. We compare our model with an alternative ... -
Wage Formation Under Low Inflation
(Working Papers;14/2004, Working paper, 2004)This paper reviews the literature on the effects of low steady-state inflation on wage formation, focusing on four different effects. First, under low inflation, downward nominal wage rigidity (DNWR) may prevent real wage ... -
A European-Type Wage Equation from an American-Style Labor Market: Evidence from a Panel of Norwegian Manufacturing Industries in the 1930s
(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, ... -
Downward Nominal Wage Rigidity in the OECD
(Working Papers;5/2004, Working paper, 2004)This paper explores the existence of downward nominal wage rigidity (DNWR) in 19 OECD countries, over the period 1973–1999, using data for hourly nominal wages at industry level. Based on a novel nonparametric statistical ... -
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 ...