Arbeidsnotater / Working Papers: Nye registreringer
Viser treff 201-220 av 472
-
Arbitrage in the Foreign Exchange Market: Turning on the Microscope
(Working Papers;12/2005, Working paper, 2005)This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered ... -
Collective Economic Decisions and the Discursive Dilemma
(Working Papers;3/2005, Working paper, 2005)Most economic decisions involve judgments. When decisions are taken collectively, various judgment aggregation problems may occur. Here we consider an aggregation problem called the discursive dilemma , which is characterized ... -
Firm-Specific Capital and Welfare
(Working Papers;4/2006, Working paper, 2006)What are the consequences for monetary policy design implied by the fact that price setting and investment takes typically place simultaneously at the firm level? To address this question we analyze simple (constrained) ... -
Is Lumpy Investment Really Irrelevant for the Business Cycle?
(Working Papers;6/2005, Working paper, 2005)Smoothness in aggregate capital accumulation is a necessary condition for New-Keynesian (NK) models to imply a quantitatively relevant monetary transmission mechanism (see, e.g., Woodford 2005). Can that aggregate smoothness ... -
Portfolio Choice When Managers Control Returns
(Working Papers;15/2005, Working paper, 2005)This paper investigates the allocation decision of an investor with two projects. Separate managers control the mean return from each project, and the investor may or may not observe the managers’ actions. We show that the ... -
Hvilke faktorer driver kursutviklingen på Oslo Børs?
(Working Papers;8/2007, Working paper, 2007)I denne rapporten analyserer vi avkastningsmønstret på Oslo Børs over perioden 1980- 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen ... -
Evaluation of Macroeconomic Models for Financial Stability Analysis
(Working Papers;1/2006, Working paper, 2006)As financial stability has gained focus in economic policymaking, the demand for analyses of financial stability and the consequences of economic policy has increased. Alternative macroeconomic models are available for ... -
Are Real Wages Rigid Downwards?
(Working Papers;1/2007, Working paper, 2007)This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973–1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, ... -
Rule-Of-Thumb Consumers, Productivity and Hours
(Working Papers;5/2007, Working paper, 2007)In this paper we study the transmission mechanisms of productivity shocks in a model with rule-of-thumb consumers. In the literature, this financial friction has been studied only with reference to fiscal shocks. We show ... -
Price-Level Determinacy, Lower Bounds on the Nominal Interest Rate, and Liquidity Traps
(Working Papers;3/2006, Working paper, 2006)We consider standard monetary-policy rules with inflation-rate targets and interest-rate or money-growth instruments using a flexible-price, perfect foresight model. There is always a locally-unique target equilibrium. ... -
Nowcasting Norwegian GDP: The Role of Asset Prices in a Small Open Economy
(Working Papers;9/2007, Working paper, 2007)This paper finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. Other important blocks of data are labor market data and industrial ... -
Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
(Working Papers;11/2007, Working paper, 2007)We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown ... -
Is the Price Level in Norway Determined by Fiscal Policy?
(Working Papers;5/2005, Working paper, 2005)The Norwegian public sector has net financial assets. The fiscal theory of price determination applies equally to Norway and economies with net public debt: If primary surpluses evolve independently of nominal debt (or ... -
Monetary Policy Predictability in the Euro Area: An International Comparison
(Working Papers;7/2005, Working paper, 2005)The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money ... -
Managing Uncertainty Through Robust-Satisficing Monetary Policy
(Working Papers;10/2006, Working paper, 2006)We employ information-gap decision theory to derive a robust monetary policy response to Knightian parameter uncertainty. This approach provides a quantitative answer to the question: For a specified policy, how much can ... -
Assessing Estimates of the Exchange Rate Pass-Through
(Working Papers;12/2007, Working paper, 2007)We investigate optimal horizons for targeting inflation in response to different shocks and their properties under alternative preferences of an inflation-targeting central bank. Our analysis is based on a well specified ... -
Strategic Bank Monitoring and Firms’ Debt Structure
(Working Papers;10/2005, Working paper, 2005)Firms choose debt structure and competing banks choose monitoring intensity. Monitoring improves credit allocation, but creates informational lock-in effects in bank-borrower relationships. In a competitive credit market, ... -
Robust-Satisficing Monetary Policy Under Parameter Uncertainty
(Working Papers;14/2007, Working paper, 2007)We employ the robust-satisficing approach to derive robust monetary policy when parameters of a macro model are uncertain. There is a trade-off between robustness of policies and their performance. Hence, under uncertainty, ... -
Banks’ Optimal Implementation Strategies for a Risk Sensitive Regulatory Capital Rule: A Real Options and Signalling Approach
(Working Papers;12/2006, Working paper, 2006)I evaluate a bank's incentives to implement a risk sensitive regulatory capital rule and to invest in improved risk measurement. The decision making is analyzed within a real options framework where optimal policies are ... -
Exchange Rate Forecasting, Order Flow and Macroeconomic Information
(Working Papers;2/2007, Working paper, 2007)This paper investigates the empirical relation between order flow and macroeconomic information in the foreign exchange market, and the ability of microstructure models based on order flow to outperform a naive random walk ...