Arbeidsnotater / Working Papers: Nye registreringer
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Climate risk and commodity currencies
(Working Paper;18/2020, Working paper, 2020)The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We ... -
Nowcasting Norwegian household consumption with debit card transaction data
(Working Paper;17/2020, Working paper, 2020)We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors ... -
Multiple credit constraints and timevarying macroeconomic dynamics
(Working Paper;10/2020, Working paper, 2020)I explore the macroeconomic implications of borrowers facing both loan-to-value (LTV) and debt-service-to-income (DTI) limits, using an estimated DSGE model. I identify when each constraint dominated over the period ... -
News media vs. FRED-MD for macroeconomic forecasting
(Working Paper;14/2020, Working paper, 2020)Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer ... -
Opacity and risk-taking: Evidence from Norway
(Working Paper;12/2020, Working paper, 2020)This paper investigates how balance sheet opacity affects banks' risk-taking behavior. We measure bank balance sheet opacity according to two metrics: the ratio of available-for-sale (AFS) securities and the ratio of ... -
Estimating hysteresis effects
(Working Paper;13/2020, Working paper, 2020)In this paper we extend the standard Blanchard-Quah decomposition to enable fluctuations in aggregate demand to have a long-run impact on the productive capacity of the economy through hysteresis effects. These demand ... -
Price-setting in the foreign exchange swap market: Evidence from order flow
(Working Paper;16/2020, Working paper, 2020)This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) ... -
Covered Interest Parity in long-dated securities
(Working Paper;11/2020, Working paper, 2020)This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or ... -
Granular credit risk
(Working Paper;15/2020, Working paper, 2020)What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an ... -
Countercyclical capital requirement reductions, state dependence and macroeconomic outcomes
(Working Paper;9/2020, Working paper, 2020)We use bank-, loan- and firm-level data together with a quasi-natural experiment to estimate the impact of capital requirement reductions on bank lending and real economic outcomes. We find that capital requirement reductions ... -
The interaction between macroprudential and monetary policies: The cases of Norway and Sweden
(Working Paper;8/2020, Working paper, 2020)To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and ... -
Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity
(Working Paper;7/2020, Working paper, 2020)This paper documents the suite of models used by Norges Bank to estimate the output gap. The models are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the ... -
Expectations switching in a DSGE model of the UK
(Working Paper;4/2020, Working paper, 2020)Rational expectations (RE) has been dominant both in the economic literature and in the macromodels routinely used in central banks. The RE assumption has recently come under attack as one of the drawbacks of the Dynamic ... -
Inflation expectations and the pass-through of oil prices
(Working Paper;5/2020, Working paper, 2020)Do inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global market for crude oil? We answer this question with a novel structural vector ... -
Mortgage regulation and financial vulnerability at the household level
(Working Paper;6/2020, Working paper, 2020)We evaluate the impact of mortgage regulation on credit volumes, household balance sheets and the reaction to adverse economic shocks. Using a comprehensive dataset of all housing transactions in Norway matched with buyers' ... -
Bonds, currencies and expectational errors
(Working Paper;3/2020, Working paper, 2020)We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel ... -
How broadband internet affects labor market matching
(Working Paper;1/2020, Working paper, 2020)How the internet affects job matching is not well understood due to a lack of data on job vacancies and quasi-experimental variation in internet use. This paper helps fill this gap using plausibly exogenous roll-out of ... -
Location, location, location! - A quality-adjusted rent index for the Oslo office market
(Working Paper;2/2020, Working paper, 2020)In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases ... -
Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model
(Working Paper;22/2019, Working paper, 2019)We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is ... -
State dependence of monetary policy across business, credit and interest rate cycles
(Working Paper;21/2019, Working paper, 2019)We investigate how the business, credit and interest rate cycles affect the monetary transmission mechanism, using state-dependent local projection methods and data from 18 advanced economies. We exploit the time-series ...