Arbeidsnotater / Working Papers: Recent submissions

Now showing items 381-400 of 472

    • 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 ...

    • 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 ...

    • Macro Effects of Capital Requirements and Macroprudential Policy 

      Akram, Q. Farooq (Working Papers;21/2012, Working paper, 2012)
      I investigate macro effects of higher bank capital requirements on the Norwegian economy and their use as a macroprudential policy instrument under Basel III. To this end, I develop a macroeconometric model where the capital ...

    • Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 

      Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;22/2013, Working paper, 2013)
      We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate ...

    • Measuring Sovereign Contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (Working Papers;5/2012, Working paper, 2012)
      This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) ...

    • Dutch disease dynamics reconsidered 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders; Torvik, Ragnar (Working papers;2018/1, Working paper, 2018)
      In this paper we develop the first model to incorporate the dynamic productivity consequences of both the spending effect and the resource movement effect of oil abundance. We show that doing so dramatically alters the ...

    • Efficient Perturbation Methods for Solving Regime-Switching DSGE Models 

      Maih, Junior (Working Papers;1/2015, Working paper, 2015)
      In an environment where economic structures break, variances change, distributions shift, conventional policies weaken and past events tend to reoccur, economic agents have to form expectations over different regimes. This ...

    • Money in the Equilibrium of Banking 

      Illing, Gerhard; Cao, Jin (Working Papers;22/2015, Working paper, 2015)
      In most banking models, money is merely modeled as a medium of transactions, but in reality, money is also the most liquid asset for banks. Central banks do not only passively supply money to meet demand for transactions, ...

    • The Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreads 

      Syrstad, Olav (Working Papers;7/2014, Working paper, 2014)
      This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy ...

    • Foreign Shocks 

      Bergholt, Drago (Working Papers;15/2015, Working paper, 2015)
      How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm ...

    • The End of the Waterfall: Default Resources of Central Counterparties 

      Cont, Rama (Working Papers;16/2015, Working paper, 2015)
      Central counterparties (CCPs) have become pillars of the new global financial architecture following the financial crisis of 2008. The key role of CCPs in mitigating counterparty risk and contagion has in turn cast them ...

    • Sectoral Interdependence and Business Cycle Synchronization in Small Open Economies 

      Bergholt, Drago; Sveen, Tommy (Working Papers;4/2014, Working paper, 2014)
      Existing DSGE models are not able to reproduce the observed influence of international business cycles on small open economies. We construct a two-sector New Keynesian model to address this puzzle. The set-up takes into ...

    • 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 ...

    • House Prices, Credit and the Effect of Monetary Policy in Norway: Evidence from Structural VAR Models 

      Robstad, Ørjan (Working Papers;5/2014, Working paper, 2014)
      This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is ...

    • Bayesian Nonparametric Calibration and Combination of Predictive Distributions 

      Bassetti, Federico; Casarin, Roberto; Ravazzolo, Francesco (Working Papers;3/2015, Working paper, 2015)
      We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination ...

    • Identification and Real-Time Forecasting of Norwegian Business Cycles 

      Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco (Working Papers;9/2015, Working paper, 2015)
      We de fine and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching ...

    • Marriner S. Eccles and the 1951 Treasury–Federal Reserve Accord: Lessons for Central Bank Independence 

      Moe, Thorvald Grung (Working Papers;6/2014, Working paper, 2014)
      The 1951 Treasury–Federal Reserve Accord is an important milestone in central bank history. It led to a lasting separation between monetary policy and the Treasury's debtmanagement powers and established an independent ...

    • Density Forecasts with Midas Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (Working Papers;10/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...

    • Measuring Trends and Cycles in Industrial Production in Norway 1896-1948 

      Klovland, Jan Tore (Working Papers;18/2015, Working paper, 2015)
      This paper presents new indices for industrial production in Norway covering the years 1896-1948. Separate annual and monthly indices of gross output and labour productivity are computed for 45 manufacturing and mining ...

    • Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach 

      Gelain, Paolo; Lansing, Kevin J.; Natvik, Gisle James (Working Papers;11/2015, Working paper, 2015)
      We use a simple quantitative asset pricing model to "reverse-engineer" the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household ...