Arbeidsnotater / Working Papers: Nye registreringer
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The decline of the labor share: new empirical evidence
(Working Paper;18/2019, Working paper, 2019)We estimate a structural vector autoregressive model in order to quantify four main explanations for the decline of the US labor income share: (i) rising market power of firms, (ii) falling market power of workers, (iii) ... -
The macroeconomic effects of forward communication
(Working Paper;20/2019, Working paper, 2019)This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ... -
The Saving and Employment Effects of Higher Job Loss Risk
(Working Paper;17/2019, Working paper, 2019)In this paper we use Norwegian tax data and a novel natural experiment to isolate the impact of job loss risk on saving behavior. We find that a one percentage point increase in job loss risk increases liquid savings by ... -
Does Publication of Interest Rate Paths Provide Guidance?
(Working Paper;16/2019, Working paper, 2019)Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we ... -
Narrative monetary policy surprises and the media
(Working Paper;19/2019, Working paper, 2019)We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage that can be explained by central ... -
The shale oil boom and the U.S. economy: Spillovers and time-varying effects
(Working Paper;14/2019, Working paper, 2019)We analyze if the transmission of oil price shocks on the U.S. economy has changed with the shale oil boom. To do so, we put forward a framework that allows for spillovers between industries and learning by doing (LBD) ... -
Oil price drivers, geopolitical uncertainty and oil exporters’ currencies
(Working Paper;15/2019, Working paper, 2019)Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether ... -
Liquidity at risk: Joint stress testing of solvency and liquidity
(Working Paper;11/2019, Working paper, 2019)The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may ... -
Burying Libor
(Working Paper;13/2019, Working paper, 2019)We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model in which banks and non-banks can lend to each other, subject to realistic regulatory constraints, we ... -
Partially Censored Posterior for robust and efficient risk evaluation
(Working Paper;12/2019, Working paper, 2019)A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ... -
Computing the Distribution: Adaptive Finite Volume Methods for Economic Models with Heterogeneous Agents
(Working Paper;10/2019, Working paper, 2019)Solving economic models with heterogenous agents requires computing aggregate dynamics consistent with individual behaviors. This paper introduces the finite volume method from the mathe-matics literature to enlarge the set ... -
Collateral Damaged? Priority Structure, Credit Supply, and Firm Performance
(Working Paper;9/2019, Working paper, 2019)A unique legal reform in 2004 in Sweden redistributed collateral rights from banks holding floating liens to unsecured creditors without changing the value of assets on firms’ balance sheets. Using a country-wide panel of ... -
Changing Supply Elasticities and Regional Housing Booms
(Working Paper;8/2019, Working paper, 2019)Recent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show hat housing supply elasticities have ... -
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
(Working Paper;7/2019, Working paper, 2019)A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination ... -
Microstructure of Foreign Exchange Markets
(Working Paper;6/2019, Working paper, 2019)This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then ... -
News-Driven Inflation Expectations and Information Rigidities
(Working Paper;5/2019, Working paper, 2019)We investigate the role played by the media in the expectations formation process of households. Using a novel news-topic-based approach we show that news types the media choose to report on, e.g., fiscal policy, health, ... -
Negative Nominal Interest Rates and the Bank Lending Channel
(Working Paper;4/2019, Working paper, 2019)Following the crisis of 2008, several central banks engaged in a new experiment by setting negative policy rates. Using aggregate and bank level data, we document that deposit rates stopped responding to policy rates once ... -
“Leaning Against the Wind”, Macroprudential Policy and the Financial Cycle
(Working Paper;1/2019, Working paper, 2019)Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, ... -
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
(Working Paper;2/2019, Working paper, 2019)We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ... -
Fertility Cost, Intergenerational Labor Division, and Female Employment
(Working Paper;3/2019, Working paper, 2019)China has set to increase the minimum retirement age, to ease the pressure from pension expenditure and the falling labor supply caused by the aging population. However, policy debates have so far neglected the crucial ...