Arbeidsnotater / Working Papers: Recent submissions
Now showing items 301-320 of 472
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Forecast Densities for Economic Aggregates from Disaggregate Ensembles
(Working Papers;2/2010, Working paper, 2010)We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast ... -
Social Capital and the Viability of Stakeholder-Oriented Firms: Evidence from Norwegian Savings Banks
(Working Papers;14/2009, Working paper, 2009)Stakeholder oriented governance systems are often thought to hamper efficiency. We show that social capital improves the viability of stakeholder-oriented firms in competitive markets. Studying exits from the population ... -
A Transaction Data Study of the Forward Bias Puzzle
(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 ... -
Bootstrapping the Likelihood Ratio Cointegration Test in Error Correction Models with Unknown Lag Order
(Working Papers;12/2009, Working paper, 2009)We investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data generating process is unknown. A recursive ... -
Combining VAR and DSGE Forecast Densities
(Working Papers;23/2009, Working paper, 2009)A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. ... -
Universal Banking and the Development of Secondary Corporate Debt Markets: Lessons from 1830s Belgium
(Working Papers;21/2010, Working paper, 2010)This paper proposes a reassessment of the old-age debate on universal banking and growth by putting it on a different plan. Modern financial economics are used to provide new theoretical foundations to Gerschenkron’s (1962) ... -
The Long-Run Exchange Rate for NOK: A BEER Approach
(Working Papers;19/2010, Working paper, 2010)This paper investigates a long-run relation for the trade weighted NOK exchange rate. I find that the NOK Trade Weighted Index (TWI) cointegrates with the real oil price, the price differential and the real interest ... -
Simple Rules Versus Optimal Policy: What Fits?
(Working Papers;3/2010, Working paper, 2010)We estimate a small open-economy DSGE model for Norway with two specifications of monetary policy: a simple instrument rule and optimal policy based on an intertemporal loss function. The empirical fit of the model with ... -
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
(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 ... -
Optimality of Prompt Corrective Action in a Continuous - Time Model with Recapitalization Possibility
(Working Papers;28/2009, Working paper, 2009)Prompt Corrective Action (PCA) is a system of predetermined capital/asset ratios that trigger supervisory actions by a banking regulator. Our paper addresses the optimality of this regulation system by adapting a dynamic ... -
The Origins of a Paper Money Economy - the Case of Norway
(Working Papers;25/2009, Working paper, 2009)This article sketches the origins of paper money in Norway back to the last half of the 18th century and asks why there was no circulation of full-bodied coins even after notes had become convertible into silver at par in ... -
Policy Analysis in Real Time Using IMF's Monetary Model
(Working Papers;10/2010, Working paper, 2010)We investigate to what extent estimated relationships of the IMF’s monetary model and their policy implications are sample dependent. This model constitutes the core of the IMF’s financial programming models for developing ... -
Foreign Exchange Reserve Management in the 19th Century: The National Bank of Belgium in the 1850s
(Working Papers;7/2011, Working paper, 2011)As well as the current one, the wave of globalization culminated in 1913 was marked by increasing accumulation of foreign exchange reserves. But what did ‘reserves’ mean in the past, how were they managed, and how much ... -
Nowcasting GDP in Real-Time: A Density Combination Approach
(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 ... -
Illiquidity, Insolvency, and Banking Regulation
(Working Papers;13/2011, Working paper, 2011)This paper provides a compact framework for banking regulation analysis in the presence of uncertainty between systemic liquidity and solvency shocks. It explains the asset price anomalies and bank lending freeze during ... -
Forecasting Macroeconomic Variables Using Disaggregate Survey Data
(Working Papers;4/2011, Working paper, 2011)We assess the forecast ability of Norges Bank’s regional survey for inflation, GDP growth and the unemployment rate in Norway. We propose several factor models based on regional and sectoral information given by the survey. ... -
Information Sharing and Information Acquisition: Ownership and Coverage
(Working Papers;23/2011, Working paper, 2011)We examine the conditions required for the existence of private credit bureaus, their ownership and coverage. Our model implies that bank consortia will most likely be preferred by banks, but that they will lead to restricted ... -
Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
(Working Papers;19/2011, Working paper, 2011)This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a ... -
What Do We Really Know About the Long-Term Evolution of Central Banking? Evidence from the Past, Insights for the Present
(Working Papers;15/2011, Working paper, 2011)The ongoing financial crisis is shaking central bankers’ certainties about their mission, and a rethinking of such mission can greatly benefit from a non-finalistic reassessment of how central banking has evolved over the ... -
Financial Crises and Monetary Expansion
(Working Papers;21/2011, Working paper, 2011)On the basis of data from the Historical Monetary Statistics-project by Norges Bank, the present paper serves a threefold purpose. In the first place it gives an overview of financial crisis in Norway from her independence ...