Arbeidsnotater / Working Papers: Nye registreringer
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Liquidity Management and Central Bank Strength: Bank of England Operations Reloaded, 1889-1910
(Working Papers;10/2016, Working paper, 2016)Is a strong commitment to monetary stability enough to ensure credibility? The recent literature suggests it might not be if the central bank cannot perform pure interest rate policy and has to resort to balance sheet ... -
Segmented Money Markets and Covered Interest Parity Arbitrage
(Working Papers;15/2017, Working paper, 2017)This paper studies the violation of the most basic no-arbitrage condition in international finance — Covered Interest Parity (CIP). We find that the CIP puzzle largely stems from funding liquidity differences, reflected ... -
Detecting Imbalances in House Prices: What Goes up Must Come Down?
(Working Papers;11/2016, Working paper, 2016)With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct ... -
Asset Returns, News Topics, and Media Effects
(Working Papers;17/2017, Working paper, 2017)We decompose the textual data in a daily Norwegian business newspaper into news topics and investigate their predictive and causal role for asset prices. Our three main findings are: (1) a one unit innovation in the news ... -
Words Are the New Numbers: A Newsy Coincident Index of Business Cycles
(Working Papers;21/2016, Working paper, 2016)I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data are decomposed into time series representing newspaper topics using a ... -
Pension Reform Disabled
(Working Papers;20/2017, Working paper, 2017)Old-age pension reform is on the agenda across the OECD, and a key target is to delay retirement. Most of these countries also have a disability insurance (DI) program accounting for a large share of labor force exits. ... -
When Preferences for a Stable Interest Rate Become Self-Defeating
(Working Papers;8/2016, Working paper, 2016)Monetary policy makers often seem to have preferences for a stable interest rate, in addition to stable inflation and output. In this paper we investigate the implications of having an interest rate level term in the loss ... -
Forward Guidance Through Interest Rate Projections: Does It Work?
(Working Papers;6/2017, Working paper, 2017)Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market ... -
Has the Fed Responded to House and Stock Prices? : a Time-Varying Analysis
(Working Papers;1/2017, Working paper, 2017)In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed ... -
Leaning Against the Wind When Credit Bites Back
(Working Papers;9/2016, Working paper, 2016)This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis ... -
Oil and Macroeconomic (In)Stability
(Working Papers;12/2016, Working paper, 2016)We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of ... -
Asymmetric effects of monetary policy in regional housing markets
(Working paper;25/2017, Working paper, 2017)The responsiveness of house prices to monetary policy shocks depends both on the nature of the shock – expansionary versus contractionary – and on city-specific housing supply elasticities. We test and find supporting ...