Arbeidsnotater / Working Papers: Nye registreringer
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Nowcasting Using News Topics. Big Data Versus Big Bank
(Working Papers;20/2016, Working paper, 2016)The agents in the economy use a plethora of high frequency information, including news media, to guide their actions and thereby shape aggregate economic fluctuations. Traditional nowcasting approches have to a relatively ... -
Comparing Behavioural Heterogeneity Across Asset Classes
(Working Papers;12/2017, Working paper, 2017)We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence ... -
On the Concavity of the Consumption Function with Liquidity Constraints
(Working Papers;14/2016, Working paper, 2016)Carroll and Kimball (1996) prove that the consumption function is concave if infinitely-lived risk-averse households have a utility function which exhibits Hyperbolic Absolute Risk Aversion (HARA), face income uncertainty, ... -
Norwegian Interbank Market’s Response to Changes in Liquidity Policy
(Working Papers;7/2017, Working paper, 2017)We investigate pricing and activity in the Norwegian unsecured overnight interbank market in response to a shift in the central bank's liquidity policy. In October 2011, to encourage interbank trading, banks were allotted ... -
The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference
(Working Papers;10/2017, Working paper, 2017)This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density ... -
Getting a Foot on the Housing Ladder: The Role of Parents in Giving a Leg-Up
(Working Papers;19/2017, Working paper, 2017)In this paper we question whether parental resources are important for first-time buyers? We find a nuanced set of results. First, when parents help out financially, it clearly increases the probability of entering the ... -
Fire Sales, Indirect Contagion and Systemic Stress Testing
(Working Papers;2/2017, Working paper, 2017)We present a framework for quantifying the impact of fi re sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may ... -
Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support
(Working Papers;2/2016, Working paper, 2016)We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over ... -
Disability Benefits, Consumption Insurance, and Household Labor Supply
(Working Papers;16/2017, Working paper, 2017)While a mature literature finds that Disability Insurance (DI) receipt discourages work, the welfare implications of these findings depend on two rarely studied economic quantities: the full cost of DI allowances to ... -
Supply Flexibility in the Shale Patch: Evidence from North Dakota
(Working Papers;9/2017, Working paper, 2017)We question whether supply flexibility in oil production depends on the type of extraction technology. In particular, we ask if shale oil producers respond to price incentives when producing oil or completing new wells. ... -
Central Clearing and Risk Transformation
(Working Papers;3/2017, Working paper, 2017)The clearing of over-the-counter transactions through central counterparties (CCPs), one of the pillars of financial reform following the crisis of 2007-2008, has promoted CCPs as key elements of the new global financial ... -
Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
(Working Papers;13/2017, Working paper, 2017)We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing ... -
Financial Imbalances, Crisis Probability and Monetary Policy in Norway
(Working Papers;21/2017, Working paper, 2017)We assess the strength of the impact of a monetary policy shock on financial crisis probability in Norway. Policy effects go via the interest rate impact on credit, house prices and banks’ wholesale funding. We find that ... -
Do Central Banks Respond Timely to Developments in the Global Economy?
(Working Papers;19/2016, Working paper, 2016)Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze ... -
Agreeing on Disagreement: Heterogeneity or Uncertainty?
(Working Papers;4/2016, Working paper, 2016)Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to ... -
Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
(Working Papers;11/2017, Working paper, 2017)Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, ... -
Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
(Working Papers;3/2016, Working paper, 2016)The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ... -
Exchange Rates, Interest Rates and the Global Carry Trade
(Working Papers;14/2017, Working paper, 2017)We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies ... -
Testing for Micro Efficiency in the Housing Market
(Working Papers;6/2016, Working paper, 2016)While aggregate house price indices display time persistence, less is known about micro persistence. This article proposes that absence of micro persistence implies that an excessively high or low sell price in one transaction ... -
Components of Uncertainty
(Working Papers;5/2017, Working paper, 2017)Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle ...