Viser treff 341-360 av 472

    • Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions 

      Binning, Andrew (Working Papers;14/2013, Working paper, 2013)
      I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and ...
    • Top Incomes, Rising Inequality, and Welfare 

      Lansing, Kevin J.; Markiewicz, Agnieszka (Working Papers;10/2012, Working paper, 2012)
      This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. ...
    • Contributions to a History of Prices in Norway: Monthly Price Indices, 1777-1920 

      Klovland, Jan Tore (Working Papers;23/2013, Working paper, 2013)
      This study reports the outcome of an effort to collect market price data for Norway with a view to constructing monthly price indices from the year 1777 to 1920. The material covers data on commodity prices from agriculture, ...
    • Petro Populism 

      Matsen, Egil; Natvik, Gisle James; Torvik, Ragnar (Working Papers;6/2012, Working paper, 2012)
      We aim to explain petro populism - the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income politicians need to remain in office over time. Hence, even a purely rent-seeking ...
    • Mismatch Shocks and Unemployment During the Great Recession 

      Furlanetto, Francesco; Groshenny, Nicolas (Working Papers;16/2013, Working paper, 2013)
      We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor-market matching process with a focus on the Great Recession. We conduct our analysis in the context of an estimated medium-scale ...
    • Robustifying Optimal Monetary Policy Using Simple Rules as Cross-Checks 

      Ilbas, Pelin; Røisland, Øistein; Sveen, Tommy (Working Papers;22/2012, Working paper, 2012)
      There are two main approaches to modelling monetary policy; simple instrument rules and optimal policy. We propose an alternative that combines the two by extending the loss function with a term penalizing deviations from ...
    • Identifying Cross-Sided Liquidity Externalities 

      Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;20/2012, Working paper, 2012)
      We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ...
    • Third-Order Approximation of Dynamic Models Without the Use of Tensors 

      Binning, Andrew (Working Papers;13/2013, Working paper, 2013)
      I outline a new method for finding third-order accurate solutions to dynamic general equilibrium models. I extend the Gomme & Klein (2011) solution for second-order approximations without using tensors, to a third-order. ...
    • Does Information Sharing Reduce the Role of Collateral as a Screening Device? 

      Karapetyan, Artashes; Stacescu, Bogdan (Working Papers;19/2012, Working paper, 2012)
      Information sharing and collateral reduce adverse selection costs, but are costly for lenders. When a bank learns more about the types of its rival's borrowers through information sharing (e.g., credit bureaus), it might ...
    • Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;20/2013, Working paper, 2013)
      Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model ...
    • The Daily Liquidity Effect in a Floor System – Empirical Evidence from the Norwegian Market 

      Syrstad, Olav (Working Papers;14/2012, Working paper, 2012)
      This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. The models are estimated on data from ...
    • Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 

      Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;19/2013, Working paper, 2013)
      This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ...
    • The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility 

      Clark, Todd E.; Ravazzolo, Francesco (Working Papers;9/2012, Working paper, 2012)
      This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive ...
    • What Drives Oil Prices? Emerging Versus Developed Economies 

      Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, Leif Anders (Working Papers;11/2012, Working paper, 2012)
      We analyze the importance of demand from emerging and developed economies as drivers of the real price of oil over the last two decades. Using a factor-augmented vector autoregressive (FAVAR) model that allows us to ...
    • Monetary Policy and Financial Stability in the Long Run 

      Cao, Jin; Chollete, Lorán (Working Papers;21/2013, Working paper, 2013)
      Most theoretical central bank models use short horizons and focus on a single tradeoff. However, in reality, central banks play complex, long-horizon games and face more than one tradeoff. We account for these issues in a ...
    • House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy 

      Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina (Working Papers;8/2012, Working paper, 2012)
      Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. ...
    • The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward 

      King, Michael R.; Osler, Carol; Rime, Dagfinn (Working Papers;12/2013, Working paper, 2013)
      Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure ...
    • Matching Efficiency and Business Cycle Fluctuations 

      Furlanetto, Francesco; Groshenny, Nicolas (Working Papers;7/2012, Working paper, 2012)
      A large decline in the efficiency of the U.S. labor market in matching unemployed workers and vacant jobs has been documented during the Great Recession. We use a simple New Keynesian model with search and matching frictions ...
    • From a Fixed Exchange Rate Regime to Inflation Targeting 

      Kleivset, Christoffer (Working Papers;13/2012, Working paper, 2012)
      This paper documents Norges Bank's role in the long transition period from a fixed exchange rate regime to inflation targeting in Norway. It is shown that the Bank's leadership and influential department leaders wanted ...
    • House Prices, Expectations, and Time-Varying Fundamentals 

      Gelain, Paolo; Lansing, Kevin J. (Working Papers;5/2013, Working paper, 2013)
      We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence ...