Arbeidsnotater / Working Papers: Nye registreringer
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Sigma Point Filters for Dynamic Nonlinear Regime Switching Models
(Working Papers;10/2015, Working paper, 2015)In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ... -
The Decentralised Central Bank: Regional Bank Rate Autonomy in Norway, 1850-1892
(Working Papers;20/2015, Working paper, 2015)Before 1893 the regional branches of Norges Bank set their own bank rates. We discuss how bank rate autonomy could be reconciled with the fixed exchange rate commitments of the silver and gold standard. Although the ... -
A New Monthly Indicator of Global Real Economic Activity
(Working Papers;6/2015, Working paper, 2015)In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ... -
Forecasting GDP with Global Components. This Time Is Different
(Working Papers;5/2015, Working paper, 2015)A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. We ... -
Did Us Consumers ”Save for a Rainy Day” Before the Great Recession?
(Working Papers;8/2015, Working paper, 2015)The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions ... -
Have Standard VARs Remained Stable Since the Crisis?
(Working Papers;13/2014, Working paper, 2014)Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ... -
OPEC's Market Power: An Empirical Dominant Firm Model for the Oil Market
(Working Papers;3/2014, Working paper, 2014)In this paper we estimate a dominant firm-competitive fringe model for the crude oil market using quarterly data on oil prices for the 1986-2009 period. All the estimated structural parameters have the expected sign and ... -
Notes on the Underground: Monetary Policy in Resource-Rich Economies
(Working Papers;2/2015, Working paper, 2015)How should monetary policy respond to a commodity price shock in a resource-rich economy? We study optimal monetary policy in a simple model of an oil exporting economy to provide a first answer to this question. The central ... -
Identification of Financial Factors in Economic Fluctuations
(Working Papers;9/2014, Working paper, 2014)We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock ... -
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
(Working Papers;12/2015, Working paper, 2015)A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ... -
Forecasting Recessions in Real Time
(Working Papers;2/2014, Working paper, 2014)We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of ... -
Boom or Gloom? Examining the Dutch Disease in Two-Speed Economies
(Working Papers;12/2014, Working paper, 2014)Traditional studies of the Dutch disease do not account for productivity spillovers between the booming resource sector and other domestic sectors. We put forward a simple theory model that allows for such spillovers. We ... -
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
(Working Papers;11/2014, Working paper, 2014)This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ... -
Combined Density Nowcasting in an Uncertain Economic Environment
(Working Papers;17/2014, Working paper, 2014)We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and ... -
Using Low Frequency Information for Predicting High Frequency Variables
(Working Papers;13/2015, Working paper, 2015)We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure ... -
Supply Restrictions, Subprime Lending and Regional US House Prices
(Working Papers;18/2014, Working paper, 2014)With regard to the recent US house price cycle, we analyze how the interaction between housing supply restrictions, mortgage credit constraints and a price-to-price feedback loop affects house price volatility. Considering ... -
Salience of Debt and Homebuyers’ Credit Decisions
(Working Papers;21/2015, Working paper, 2015)We show how a regulatory disclosure of hidden debt can eliminate a large mispricing in housing. In a setting where homebuyers must combine several sources of debt, they are biased towards hidden loans, especially if they ... -
Leaning Against the Credit Cycle
(Working Papers;4/2015, Working paper, 2015)We study the interaction between monetary policy and household debt dynamics. To this end, we develop a dynamic stochastic general equilibrium model where household debt is amortized gradually, and only new loans are ... -
Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content
(Working Papers;14/2015, Working paper, 2015)Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ... -
Regional US House Price Formation: One Model Fits All?
(Working Papers;8/2014, Working paper, 2014)Does a "one model fits all" approach apply to the econometric modeling of regional house price determination? To answer this question, we utilize a panel of 100 US Metropolitan Statistical Areas over the period 1980q1-2010q2. ...