Arbeidsnotater / Working Papers: Nye registreringer
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What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
(Working Papers;3/2007, Working paper, 2007)Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ... -
Monetary Policy and Exchange Rate Interactions in a Small Open Economy
(Working Papers;16/2005, Working paper, 2005)This paper analyses the transmission mechanisms of monetary policy in a small open economy like Norway through structural VARs, paying particular attention to the interdependence between the monetary policy stance and ... -
Estimating New Keynesian Import Price Models
(Working Papers;15/2007, Working paper, 2007)We estimate a range of New Keynesian import price models for Norway and the UK. Contrary to standard pass-through regression analysis, this approach allows us to make a distinction between the parameters in theoretical ... -
Model Selection for Monetary Policy Analysis – Importance of Empirical Validity
(Working Papers;13/2006, Working paper, 2006)We investigate the importance of employing a valid model for monetary policy analysis. Specifically, we investigate the economic significance of differences in specification and empirical validity of models. We consider ... -
Estimating the Natural Rates in a Simple New Keynesian Framework
(Working Papers;10/2007, Working paper, 2007)The time-varying natural rate of interest and output and the implied medium term inflation target for the US economy are estimated over the period 1983-2005. The estimation is conducted within the New-Keynesian framework ... -
Monetary Policy and Asset Prices: To Respond or Not?
(Working Papers;9/2005, Working paper, 2005)We investigate whether there is a case for asset prices in interest rates rules within a small econometric model of the Norwegian economy, modeling the interdependence of the real economy, credit and three classes of ... -
A Quantitative Discursive Dilemma
(Working Papers;7/2007, Working paper, 2007)The typical judgment aggregation problem in economics and other fields is the following: A group of people has to judge/estimate the value of an uncertain variable y which is a function of κ other variables, i.e. y=D(χ1, ... -
Forecasting Inflation with an Uncertain Output Gap
(Working Papers;2/2006, Working paper, 2006)The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This ... -
How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
(Working Papers;15/2008, Working paper, 2008)This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this ... -
The Dynamics of Operating Income in the Norwegian Banking Sector
(Working Papers;13/2008, Working paper, 2008)The banking literature contains only a handful of studies of how bank revenues vary over the business cycle, and nearly all of these studies look exclusively on the net interest margin. The general conclusion has been that ... -
Combining Inflation Density Forecasts
(Working Papers;22/2008, Working paper, 2008)In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback-Leibler divergence. In particular, we apply a similar suite of models to four different data sets ... -
Monetary Policy Under the Gold Standard - Examining the Case of Norway, 1893-1914
(Working Papers;14/2008, Working paper, 2008)This essay examines Norwegian monetary policy under the final decades of the classical international gold standard regime prior to World War I. While the evidence clearly demonstrates that the commitment to gold convertibility ... -
On the Design of Monetary Policy Committees
(Working Papers;6/2008, Working paper, 2008)Keynote lecture prepared for the Norges Bank research workshop “Monetary Policy Committees,” Oslo, September 6-7, 2007. -
Fiscal Shocks and Real Rigidities
(Working Papers;10/2008, Working paper, 2008)In this paper we show that empirically plausible results on the effects of fiscal shocks in Galí, López-Salido and Vallés (2007) rely on a high degree of price stickiness and a large percentage of financially constrained ... -
Oil Price Shocks and Stock Market Booms in an Oil Exporting Country
(Working Papers;16/2008, Working paper, 2008)This paper analyses the effects of oil price shocks on stock returns in Norway, an oil exporting country, highlighting the transmission channels of oil prices for macroeconomic behaviour. To capture the interaction between ... -
Estimating the Output Gap in Real Time: A Factor Model Approach
(Working Papers;23/2008, Working paper, 2008)An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces errors in the gap due to ... -
Does Monetary Policy React to Asset Prices? Some International Evidence
(Working Papers;7/2008, Working paper, 2008)This paper attempts to measure the reaction of monetary policy to the stock market. We apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure ... -
Asymmetric Information in the Interbank Foreign Exchange Market
(Working Papers;25/2008, Working paper, 2008)This paper provides evidence of private information in the interdealer foreign exchange market. In so doing it provides support for the hypothesis that information is an important reason for the strong positive correlation ... -
Identifying the Interdependence Between Us Monetary Policy and the Stock Market
(Working Papers;4/2008, Working paper, 2008)We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a ... -
The Role of House Prices in the Monetary Policy Transmission Mechanism in the U.S.
(Working Papers;24/2008, Working paper, 2008)We analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run (neutrality) restrictions, allowing ...