Arbeidsnotater / Working Papers: Nye registreringer
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Mixed Frequency Structural VARs
(Working Papers;1/2014, Working paper, 2014)A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ... -
Labour Supply Factors and Economic Fluctuations
(Working Papers;7/2015, Working paper, 2015)We propose a new VAR identification scheme that enables us to disentangle labour supply shocks from wage bargaining shocks. identification is achieved by imposing robust signrestrictions that are derived from a New Keynesian ... -
Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models
(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 ... -
Monetary and Macroprudential Policy with Multi-Period Loans
(Working Papers;16/2014, Working paper, 2014)We study the implications of multi-period loans for monetary and macroprudential policy, considering several realistic modifications - variable vs. fixed loan rates, non-negativity constraint on newly granted loans, and ... -
Norwegian Gross Domestic Product by Industry 1830 - 1930
(Working Papers;19/2015, Working paper, 2015)The present paper offers new knowledge of historical national accounting in Norway in several ways. Firstly, a new and novel set of annual gross domestic product series by industry are presented for the period 1830-1930. ... -
Optimal Portfolio Choice Under Decision-Based Model Combinations
(Working Papers;15/2014, Working paper, 2014)We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. ... -
Structural Factors, Unemployment and Monetary Policy: The Useful Role of the Natural Rate of Interest
(Working Papers;17/2016, Working paper, 2016)We study the role of monetary policy in response to variations in unemployment due to structural factors, modeled as exogenous changes in matching efficiency and in the size of the labor force. We find that monetary policy ... -
Business Cycles in an Oil Economy: Lessons from Norway
(Working Papers;16/2016, Working paper, 2016)The recent oil price fall has created concern among policy makers regarding the consequences of terms of trade shocks for resource-rich countries. This concern is not a minor one – the world's commodity exporters combined ... -
Immigration and the Macroeconomy: Some New Empirical Evidence
(Working Papers;18/2016, Working paper, 2016)We propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 ... -
Forecast Uncertainty in the Neighborhood of the Effective Lower Bound: How Much Asymmetry Should We Expect?
(Working Papers;13/2016, Working paper, 2016)The lower bound on interest rates has restricted the impact of conventional monetary policies over recent years and could continue to do so in the near future, with the decline in natural real rates not predicted to reverse ... -
Modelling Occasionally Binding Constraints Using Regime-Switching
(Working Papers;23/2017, Working paper, 2017)Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ... -
Output Gap, Monetary Policy Trade-Offs and Financial Frictions
(Working Papers;8/2017, Working paper, 2017)This paper investigates how the presence of financial frictions and financial shocks changes the definition and the estimated dynamics of the output gap in a New Keynesian model. Financial shocks absorb explanatory power ... -
Conditional Forecasting with DSGE Models - a Conditional Copula Approach
(Working Papers;4/2017, Working paper, 2017)DSGE models may be misspecified in many dimensions, which can affect their forecasting performance. To correct for these misspecifications we can apply conditional information from other models or judgment. Conditional ... -
The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s
(Working Papers;1/2016, Working paper, 2016)We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable ... -
R&D Heterogeneity and Its Implications for Growth
(Working Papers;15/2016, Working paper, 2016)This paper quantifies the determinants of heterogeneity in R&D investment and its implications for growth. Using a panel of Norwegian manufacturing firms we document a negative correlation between R&D intensity and firm ... -
On the Interplay Between Monetary Policy and Macroprudential Policy: A Simple Analytical Framework
(Working Papers;18/2018, Working paper, 2017)The paper provides a simple analytical framework for analyzing the interplay between monetary policy and macroprudential policy. Three questions are analyzed: (i) Under which assumptions is coordination necessary to implement ... -
The Risk-Taking Channel of Monetary Policy in Norway
(Working Papers;5/2016, Working paper, 2016)We identify the effects of monetary policy on credit risk-taking using a unique dataset covering the population of corporate borrowers in Norway. We find that a lower benchmark interest rate (interbank rates or overnight ... -
Joint Prediction Bands for Macroeconomic Risk Management
(Working Papers;7/2016, Working paper, 2016)In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ... -
Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence
(Working Papers;22/2017, Working paper, 2017)This paper reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) ... -
Residential Investment and Recession Predictability
(Working Papers;24/2017, Working paper, 2017)We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1-2014Q4. Our approach is to estimate various probit models with different ...