Arbeidsnotater / Working Papers: Nye registreringer
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Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
(Working Papers;14/2013, Working paper, 2013)I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and ... -
Top Incomes, Rising Inequality, and Welfare
(Working Papers;10/2012, Working paper, 2012)This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. ... -
Contributions to a History of Prices in Norway: Monthly Price Indices, 1777-1920
(Working Papers;23/2013, Working paper, 2013)This study reports the outcome of an effort to collect market price data for Norway with a view to constructing monthly price indices from the year 1777 to 1920. The material covers data on commodity prices from agriculture, ... -
Petro Populism
(Working Papers;6/2012, Working paper, 2012)We aim to explain petro populism - the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income politicians need to remain in office over time. Hence, even a purely rent-seeking ... -
Mismatch Shocks and Unemployment During the Great Recession
(Working Papers;16/2013, Working paper, 2013)We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor-market matching process with a focus on the Great Recession. We conduct our analysis in the context of an estimated medium-scale ... -
Robustifying Optimal Monetary Policy Using Simple Rules as Cross-Checks
(Working Papers;22/2012, Working paper, 2012)There are two main approaches to modelling monetary policy; simple instrument rules and optimal policy. We propose an alternative that combines the two by extending the loss function with a term penalizing deviations from ... -
Identifying Cross-Sided Liquidity Externalities
(Working Papers;20/2012, Working paper, 2012)We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ... -
Third-Order Approximation of Dynamic Models Without the Use of Tensors
(Working Papers;13/2013, Working paper, 2013)I outline a new method for finding third-order accurate solutions to dynamic general equilibrium models. I extend the Gomme & Klein (2011) solution for second-order approximations without using tensors, to a third-order. ... -
Does Information Sharing Reduce the Role of Collateral as a Screening Device?
(Working Papers;19/2012, Working paper, 2012)Information sharing and collateral reduce adverse selection costs, but are costly for lenders. When a bank learns more about the types of its rival's borrowers through information sharing (e.g., credit bureaus), it might ... -
Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model
(Working Papers;20/2013, Working paper, 2013)Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model ... -
The Daily Liquidity Effect in a Floor System – Empirical Evidence from the Norwegian Market
(Working Papers;14/2012, Working paper, 2012)This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. The models are estimated on data from ... -
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
(Working Papers;19/2013, Working paper, 2013)This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ... -
The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
(Working Papers;9/2012, Working paper, 2012)This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive ... -
What Drives Oil Prices? Emerging Versus Developed Economies
(Working Papers;11/2012, Working paper, 2012)We analyze the importance of demand from emerging and developed economies as drivers of the real price of oil over the last two decades. Using a factor-augmented vector autoregressive (FAVAR) model that allows us to ... -
Monetary Policy and Financial Stability in the Long Run
(Working Papers;21/2013, Working paper, 2013)Most theoretical central bank models use short horizons and focus on a single tradeoff. However, in reality, central banks play complex, long-horizon games and face more than one tradeoff. We account for these issues in a ... -
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
(Working Papers;8/2012, Working paper, 2012)Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. ... -
The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
(Working Papers;12/2013, Working paper, 2013)Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure ... -
Matching Efficiency and Business Cycle Fluctuations
(Working Papers;7/2012, Working paper, 2012)A large decline in the efficiency of the U.S. labor market in matching unemployed workers and vacant jobs has been documented during the Great Recession. We use a simple New Keynesian model with search and matching frictions ... -
From a Fixed Exchange Rate Regime to Inflation Targeting
(Working Papers;13/2012, Working paper, 2012)This paper documents Norges Bank's role in the long transition period from a fixed exchange rate regime to inflation targeting in Norway. It is shown that the Bank's leadership and influential department leaders wanted ... -
House Prices, Expectations, and Time-Varying Fundamentals
(Working Papers;5/2013, Working paper, 2013)We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence ...