Arbeidsnotater / Working Papers: Nye registreringer
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Identifying the depreciation rate of durables from marginal spending responses
(Working paper;1/2022, Working paper, 2022)This paper presents a novel method to estimate the depreciation rate of durable goods using a combination of identified marginal and average spending shares. We apply our method to Chinese spending responses to disposable ... -
Executive Labor Market Frictions, Corporate Bankruptcy and CEO Careers
(Working paper;15/2021, Working paper, 2021)CEOs of large firms filing for bankruptcy are more likely to exit the executive labor market after bankruptcy and experience substantial compensation losses (Eckbo et al., 2016). While the fear of reputational scarring can ... -
Symbolic Stationarization of Dynamic Equilibrium Models
(Working paper;18/2021, Working paper, 2021)Dynamic equilibrium models are specified to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often ... -
Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers
(Working paper;16/2021, Working paper, 2021)Using new transaction-level data for non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on ... -
The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve
(Working paper;17/2021, Working paper, 2021)Since 2000 U.S. inflation has remained both below target and silent to domestic slack and monetary interventions. A trend-cycle BVAR decomposition explores the role of imported intermediate goods in explaining the puzzling ... -
Risk-based pricing in competitive lending markets
(Working paper;19/2021, Working paper, 2021)We use unique data on banks' private risk assessments of corporate borrowers to quantify how competition among banks affect the risk sensitivity of interest rates in the Norwegian credit market. We show that an increase ... -
Non-standard errors
(Working paper;13/2021, Working paper, 2021)In statistics, samples are drawn from a population in a datagenerating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses ... -
Household Leverage and Labor Market Outcomes : Evidence from a Macroprudential Mortgage Restriction
(Working paper;14/2021, Working paper, 2021)Does household leverage matter for worker job search, matching in the labor market, and wages? Theoretically, household leverage can have opposing effects on the labor market through debt-overhang and liquidity constraint ... -
Monetary policy spillover to small open economies: Is the transmission different under low interest rates?
(Working Paper;12/2021, Working paper, 2021)We explore the impact of low and negative monetary policy rates in core world economies on bank lending in four small open economies – Canada, Chile, the Czech Republic and Norway – using confidential bank-level data. Our ... -
Leaning against persistent financial cycles with occasional crises
(Working Paper;11/2021, Working paper, 2021)Should central banks use leaning against the wind (LAW)-type monetary or macroprudential policy to address risks to financial stability? We first assess LAW as a one-off (nonsystematic) policy using an estimated large-scale ... -
Peer effects and debt accumulation: Evidence from lottery winnings
(Working Paper;10/2021, Working paper, 2021)I estimate the effect of lottery winnings on peers' debt accumulation using administrative data from Norway. I identify neighbors of lottery winners, and estimate an average debt response of 2.1 percent of the lottery ... -
Asset purchases as a remedy for the original sin redux
(Working Paper;8/2021, Working paper, 2021)We provide a theory on how a wider foreign lending base of local-currency sovereign debt may lead to destabilising effects (the original sin redux). Bond sell-offs by foreigners induce domestic banks to fund the government, ... -
Covered bonds and bank portfolio rebalancing
(Working Paper;6/2021, Working paper, 2021)We use administrative and supervisory data at the bank and loan level to investigate the impact of the introduction of covered bonds on the composition of bank balance sheets and bank risk. Covered bonds, despite being ... -
Identifying the sources of the slowdown in growth: Demand vs. supply
(Working Paper;9/2021, Working paper, 2021)Long-run GDP growth has declined in the United States over the past two decades. Two competing views take the stage in accounting for this slowdown: demand-side and supply-side. I empirically quantify their relative ... -
How does monetary policy affect household indebtedness?
(Working Paper;5/2021, Working paper, 2021)Households’ debt-to-income ratios change due to (a) primary deficits or (b) "Fisher effects" from interest costs, income growth, and inflation. With Norwegian micro data, we estimate how monetary policy affects household ... -
Asymmetric monetary policy rules for the euro area and the US
(Working Paper;7/2021, Working paper, 2021)We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to inflation was more ... -
Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway
(Working Paper;2/2021, Working paper, 2021)Bilateral payment flows between banks may provide private information about a borrowing bank’s liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves ... -
Estimating firms’ bank-switching costs
(Working Paper;4/2021, Working paper, 2021)We explore Lithuanian credit register data and two bank closures to provide a novel estimate of firms’ bank-switching costs and a novel identification of the hold-up problem. We show that when a distressed bank’s closure ... -
Quantifying time-varying forecast uncertainty and risk for the real price of oil
(Working Paper;3/2021, Working paper, 2021)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ... -
The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis
(Working Paper;1/2021, Working paper, 2021)We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, ...