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Norges Bank
(44 results)-
White Papers
New Perspectives On Depreciation Shocks As A Source Of Business Cycle Fluctuations
February 1, 2011, 12:00am PST
In this paper the authors study the transmission for capital depreciation shocks. The existing literature in the Real Business Cycle tradition has concluded that these shocks are irrelevant for...
Provided by Norges Bank
-
White Papers
The Relationship Between Bankruptcy Risk And Growth For Non-Listed Firms
December 1, 2010, 12:00am PST
The authors investigate the relationship between bankruptcy risks and expected future sales growth for Norwegian non-listed firms for the period 1988-2007. They find that firms with high...
Provided by Norges Bank
-
White Papers
Combining Predictive Densities Using Bayesian Filtering With Applications To US Economics Data
December 20, 2010, 12:00am PST
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative...
Provided by Norges Bank
-
White Papers
Loose Commitment In Medium-Scale Macroeconomic Models: Theory And An Application
December 1, 2010, 12:00am PST
This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment in linear quadratic models. As opposed to the existing literature, the authors' method can be...
Provided by Norges Bank
-
White Papers
The Long-run Exchange Rate For NOK: A BEER Approach
October 15, 2010, 12:00am PDT
This paper investigates a long-run relation for the trade weighted NOK exchange rate. The author finds that the NOK Trade Weighted Index (TWI) cointegrates with the real oil price, the price...
Provided by Norges Bank
-
White Papers
Oil And US GDP: A Real-Time Out-Of-Sample Examination
September 15, 2010, 12:00am PDT
The authors study the real-time Granger-causal relationship between crude oil prices and US GDP growth through a simulated Out-Of-Sample (OOS) forecasting exercise; they also provide strong...
Provided by Norges Bank
-
White Papers
Voting When The Stakes Are High
August 30, 2010, 12:00am PDT
Rational choice theories of electoral participation stress that an individual's decision to vote depends on her expected net benefit from doing so. If this instrumental motive is relevant, then...
Provided by Norges Bank
-
White Papers
Government Spending Shocks And Rule-of-thumb Consumers: The Role Of Steady State Inequality
August 17, 2010, 12:00am PDT
Galí, López-Salido, and Vallés (2007) suggest that because part of the population follows a rule-of-thumb by which they spend their entire disposable income each period, private consumption...
Provided by Norges Bank
-
White Papers
Why Do Firms Pay For Liquidity Provision In Limit Order Markets?
June 30, 2010, 12:00am PDT
In recent years, a number of electronic limit order markets have reintroduced market makers for some securities (Designated Market Makers). This trend has mainly been initiated by financial...
Provided by Norges Bank
-
White Papers
The Taylor Principle In A Medium-scale Macroeconomic Model
May 28, 2010, 12:00am PDT
The Taylor Principle is often used to explain macroeconomic stability (see, e.g., Clarida et al. 2000). The reason is that this simple principle guarantees determinacy, i.e., local uniqueness of...
Provided by Norges Bank
-
White Papers
Conditional Forecasts In DSGE Models
April 27, 2010, 12:00am PDT
New-generation DSGE models are sometimes misspecified in dimensions that matter for their forecasting performance. The paper suggests one way to improve the forecasts of a DSGE model using...
Provided by Norges Bank
-
White Papers
Weights And Pools For A Norwegian Density Combination
May 19, 2010, 12:00am PDT
The authors apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler...
Provided by Norges Bank
-
White Papers
Why Do People Give Less Weight To Advice The Further It Is From Their Initial Opinion?
April 16, 2010, 12:00am PDT
Experimental studies on decision making based on advice received from others find that the weight put on the advice is negatively related to the distance between the advice and the decision...
Provided by Norges Bank
-
White Papers
Simple Rules Versus Optimal Policy: What Fits?
April 7, 2010, 12:00am PDT
The authors estimate a small open-economy DSGE model for Norway with two specifications of monetary policy: a simple instrument rule and optimal policy based on an intertemporal loss function. The...
Provided by Norges Bank
-
White Papers
Mean Reversion In Profitability For Non-listed Firms
December 20, 2009, 12:00am PST
The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. The authors investigate the mean reversion in accounting...
Provided by Norges Bank
-
White Papers
Optimality Of Prompt Corrective Action In A Continuous - Time Model With Recapitalization Possibility
December 1, 2009, 12:00am PST
Prompt Corrective Action (PCA) is a system of predetermined capital/asset ratios that trigger supervisory actions by a banking regulator. The authors' paper addresses the optimality of this...
Provided by Norges Bank
-
White Papers
The Information Content Of Market Liquidity: An Empirical Analysis Of Liquidity At The Oslo Stock Exchange?
November 1, 2009, 12:00am PDT
The authors investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in...
Provided by Norges Bank
-
White Papers
Combining VAR And DSGE Forecast Densities
November 5, 2009, 12:00am PST
A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken...
Provided by Norges Bank
-
White Papers
Bagehot For Beginners: The Making Of Lending Of Last Resort Operations In The Mid-19th Century
October 5, 2009, 12:00am PDT
In this paper, the authors survey the development of lending of last resort operations in the mid-19th century. They identify and document critical dimensions of the extension of lending of last...
Provided by Norges Bank
-
White Papers
Macro Modelling With Many Models
August 17, 2009, 12:00am PDT
The authors argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as 'Ensemble modelling'....
Provided by Norges Bank
-
White Papers
Social Capital And The Viability Of Stakeholder-Oriented Firms: Evidence From Norwegian Savings Banks
July 31, 2009, 12:00am PDT
Stakeholder oriented governance systems are often thought to hamper efficiency. The authors show that social capital improves the viability of stakeholder-oriented firms in competitive markets....
Provided by Norges Bank
-
White Papers
Bootstrapping The Likelihood Ratio Cointegration Test In Error Correction Models With Unknown Lag Order
July 14, 2009, 12:00am PDT
The authors investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data...
Provided by Norges Bank
-
White Papers
Forecast Accuracy And Economic Gains From Bayesian Model Averaging Using Time Varying Weight
June 23, 2009, 12:00am PDT
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are...
Provided by Norges Bank
-
White Papers
Monetary Policy And Exchange Rate Overshooting: Dornbusch Was Right After All
June 4, 2009, 12:00am PDT
Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects...
Provided by Norges Bank
-
White Papers
The Political Economy Of Fiscal Deficits And Government Production
March 30, 2009, 12:00am PDT
This paper analyzes a framework where policymakers decide how to spend public resources on physical capital and labor in order to produce two public goods. Candidate policymakers disagree about...
Provided by Norges Bank
-
White Papers
The Role Of House Prices In The Monetary Policy Transmission Mechanism In Small Open Economies
April 27, 2009, 12:00am PDT
The authors analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of...
Provided by Norges Bank
-
White Papers
The Role Of House Prices In The Monetary Policy Transmission Mechanism In The U.S.
December 4, 2008, 12:00am PST
The authors analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run...
Provided by Norges Bank
-
White Papers
Estimating The Output Gap In Real Time: A Factor Model Approach
December 9, 2008, 12:00am PST
An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces...
Provided by Norges Bank
-
White Papers
Communicating Monetary Policy Intentions: The Case Of Norges Bank
November 24, 2008, 12:00am PST
Monetary policy works mainly through private agents' expectations. How precisely future policy intentions are communicated has, according to theory, implications for the outcome of monetary...
Provided by Norges Bank
-
White Papers
Does The Law Of One Price Hold In International Financial Markets? Evidence From Tick Data
October 1, 2008, 12:00am PDT
This paper investigates the validity of the Law of One Price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for...
Provided by Norges Bank
-
White Papers
Liquidity And The Business Cycle
July 9, 2008, 12:00am PDT
The authors show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is...
Provided by Norges Bank
-
White Papers
Fiscal Shocks And Real Rigidities
June 1, 2008, 12:00am PDT
In this paper, the authors show that empirically plausible results on the effects of fiscal shocks in Galí, López-Salido and Vallés (2007) rely on a high degree of price stickiness and a large...
Provided by Norges Bank
-
White Papers
Does Monetary Policy React To Asset Prices? Some International Evidence
April 22, 2008, 12:00am PDT
This paper attempts to measure the reaction of monetary policy to the stock market. The authors apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of...
Provided by Norges Bank
-
White Papers
Business Cycle Analysis And VARMA Models
April 14, 2008, 12:00am PDT
Can long-run identified Structural Vector AutoRegressions (SVARs) discriminate between competing models in practice? Several authors have suggested SVARs fail partly because they are finite-order...
Provided by Norges Bank
-
White Papers
The Risk Components Of Liquidity
March 4, 2008, 12:00am PST
Does liquidity risk differ depending on the choice of liquidity proxy? Unlike literature that considers common liquidity variation, the authors focus on identifying different components of...
Provided by Norges Bank
-
White Papers
Combining Forecast Densities From VARs With Uncertain Instabilities
January 21, 2008, 12:00am PST
Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model...
Provided by Norges Bank
-
White Papers
Robust-satisficing Monetary Policy Under Parameter Uncertainty
December 22, 2007, 12:00am PST
The authors employ the robust-satisficing approach to derive robust monetary policy when parameters of a macro model are uncertain. There is a trade-off between robustness of policies and their...
Provided by Norges Bank
-
White Papers
Liquidity And Asset Pricing: Evidence On The Role Of Investor Holding Period
January 10, 2008, 12:00am PST
The authors use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns....
Provided by Norges Bank
-
White Papers
Estimating The Natural Rates In A Simple New Keynesian Framework
December 19, 2007, 12:00am PST
The time-varying natural rate of interest and output and the implied medium-term inflation target for the US economy are estimated over the period 1983-2005. The estimation is conducted within the...
Provided by Norges Bank
-
White Papers
Nowcasting Norwegian GDP: The Role Of Asset Prices In A Small Open Economy
January 11, 2008, 12:00am PST
This paper finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. Other important blocks of data are labor...
Provided by Norges Bank
-
White Papers
What Captures Liquidity Risk? A Comparison Of Trade And Order Based Liquidity Factors
June 5, 2007, 12:00am PDT
Is the effect of liquidity risk on asset prices sensitive to the choice of liquidity proxy? In addressing this fundamental question, the authors achieve two main results. First, when they estimate...
Provided by Norges Bank
-
White Papers
Life-cycle Patterns Of Interest Rate Markups In Small Firm Finance
September 4, 2007, 12:00am PDT
The authors derive empirical implications from a stylized theoretical model of bank-borrower relationships. Banks' interest rate markups are predicted to follow a life-cycle pattern over the...
Provided by Norges Bank
-
White Papers
Rule-Of-Thumb Consumers, Productivity And Hours
October 1, 2007, 12:00am PDT
In this paper, the authors study the transmission mechanisms of productivity shocks in a model with rule-of-thumb consumers. In the literature, this financial friction has been studied only with...
Provided by Norges Bank
-
White Papers
A Quantitative Discursive Dilemma
September 29, 2008, 12:00am PDT
The typical judgment aggregation problem in economics and other fields is the following: A group of people has to judge (estimate) the value of an uncertain variable y which is a function of k...
Provided by Norges Bank
-
White Papers
Nowcasting Norwegian GDP: The Role Of Asset Prices In A Small Open Economy
January 11, 2008, 12:00am PST
This paper finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. Other important blocks of data are labor...
Provided by Norges Bank
-
White Papers
Estimating The Natural Rates In A Simple New Keynesian Framework
December 19, 2007, 12:00am PST
The time-varying natural rate of interest and output and the implied medium-term inflation target for the US economy are estimated over the period 1983-2005. The estimation is conducted within the...
Provided by Norges Bank
-
White Papers
Liquidity And Asset Pricing: Evidence On The Role Of Investor Holding Period
January 10, 2008, 12:00am PST
The authors use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns....
Provided by Norges Bank
-
White Papers
Robust-satisficing Monetary Policy Under Parameter Uncertainty
December 22, 2007, 12:00am PST
The authors employ the robust-satisficing approach to derive robust monetary policy when parameters of a macro model are uncertain. There is a trade-off between robustness of policies and their...
Provided by Norges Bank
-
White Papers
Combining Forecast Densities From VARs With Uncertain Instabilities
January 21, 2008, 12:00am PST
Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model...
Provided by Norges Bank
-
White Papers
The Risk Components Of Liquidity
March 4, 2008, 12:00am PST
Does liquidity risk differ depending on the choice of liquidity proxy? Unlike literature that considers common liquidity variation, the authors focus on identifying different components of...
Provided by Norges Bank
-
White Papers
Business Cycle Analysis And VARMA Models
April 14, 2008, 12:00am PDT
Can long-run identified Structural Vector AutoRegressions (SVARs) discriminate between competing models in practice? Several authors have suggested SVARs fail partly because they are finite-order...
Provided by Norges Bank
-
White Papers
Does Monetary Policy React To Asset Prices? Some International Evidence
April 22, 2008, 12:00am PDT
This paper attempts to measure the reaction of monetary policy to the stock market. The authors apply the procedure of Rigobon and Sack (2003) to identify and estimate a VAR in the presence of...
Provided by Norges Bank
-
White Papers
Fiscal Shocks And Real Rigidities
June 1, 2008, 12:00am PDT
In this paper, the authors show that empirically plausible results on the effects of fiscal shocks in Galí, López-Salido and Vallés (2007) rely on a high degree of price stickiness and a large...
Provided by Norges Bank
-
White Papers
Liquidity And The Business Cycle
July 9, 2008, 12:00am PDT
The authors show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is...
Provided by Norges Bank
-
White Papers
Does The Law Of One Price Hold In International Financial Markets? Evidence From Tick Data
October 1, 2008, 12:00am PDT
This paper investigates the validity of the Law of One Price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for...
Provided by Norges Bank
-
White Papers
Communicating Monetary Policy Intentions: The Case Of Norges Bank
November 24, 2008, 12:00am PST
Monetary policy works mainly through private agents' expectations. How precisely future policy intentions are communicated has, according to theory, implications for the outcome of monetary...
Provided by Norges Bank
-
White Papers
Estimating The Output Gap In Real Time: A Factor Model Approach
December 9, 2008, 12:00am PST
An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces...
Provided by Norges Bank
-
White Papers
The Role Of House Prices In The Monetary Policy Transmission Mechanism In The U.S.
December 4, 2008, 12:00am PST
The authors analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run...
Provided by Norges Bank
-
White Papers
The Role Of House Prices In The Monetary Policy Transmission Mechanism In Small Open Economies
April 27, 2009, 12:00am PDT
The authors analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of...
Provided by Norges Bank
-
White Papers
The Political Economy Of Fiscal Deficits And Government Production
March 30, 2009, 12:00am PDT
This paper analyzes a framework where policymakers decide how to spend public resources on physical capital and labor in order to produce two public goods. Candidate policymakers disagree about...
Provided by Norges Bank
-
White Papers
Monetary Policy And Exchange Rate Overshooting: Dornbusch Was Right After All
June 4, 2009, 12:00am PDT
Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects...
Provided by Norges Bank
-
White Papers
Forecast Accuracy And Economic Gains From Bayesian Model Averaging Using Time Varying Weight
June 23, 2009, 12:00am PDT
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are...
Provided by Norges Bank
-
White Papers
Bootstrapping The Likelihood Ratio Cointegration Test In Error Correction Models With Unknown Lag Order
July 14, 2009, 12:00am PDT
The authors investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data...
Provided by Norges Bank
-
White Papers
Social Capital And The Viability Of Stakeholder-Oriented Firms: Evidence From Norwegian Savings Banks
July 31, 2009, 12:00am PDT
Stakeholder oriented governance systems are often thought to hamper efficiency. The authors show that social capital improves the viability of stakeholder-oriented firms in competitive markets....
Provided by Norges Bank
-
White Papers
Macro Modelling With Many Models
August 17, 2009, 12:00am PDT
The authors argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as 'Ensemble modelling'....
Provided by Norges Bank
-
White Papers
Bagehot For Beginners: The Making Of Lending Of Last Resort Operations In The Mid-19th Century
October 5, 2009, 12:00am PDT
In this paper, the authors survey the development of lending of last resort operations in the mid-19th century. They identify and document critical dimensions of the extension of lending of last...
Provided by Norges Bank
-
White Papers
Combining VAR And DSGE Forecast Densities
November 5, 2009, 12:00am PST
A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken...
Provided by Norges Bank
-
White Papers
The Information Content Of Market Liquidity: An Empirical Analysis Of Liquidity At The Oslo Stock Exchange?
November 1, 2009, 12:00am PDT
The authors investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in...
Provided by Norges Bank
-
White Papers
Optimality Of Prompt Corrective Action In A Continuous - Time Model With Recapitalization Possibility
December 1, 2009, 12:00am PST
Prompt Corrective Action (PCA) is a system of predetermined capital/asset ratios that trigger supervisory actions by a banking regulator. The authors' paper addresses the optimality of this...
Provided by Norges Bank
-
White Papers
Mean Reversion In Profitability For Non-listed Firms
December 20, 2009, 12:00am PST
The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. The authors investigate the mean reversion in accounting...
Provided by Norges Bank
-
White Papers
Simple Rules Versus Optimal Policy: What Fits?
April 7, 2010, 12:00am PDT
The authors estimate a small open-economy DSGE model for Norway with two specifications of monetary policy: a simple instrument rule and optimal policy based on an intertemporal loss function. The...
Provided by Norges Bank
-
White Papers
Why Do People Give Less Weight To Advice The Further It Is From Their Initial Opinion?
April 16, 2010, 12:00am PDT
Experimental studies on decision making based on advice received from others find that the weight put on the advice is negatively related to the distance between the advice and the decision...
Provided by Norges Bank
-
White Papers
Weights And Pools For A Norwegian Density Combination
May 19, 2010, 12:00am PDT
The authors apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler...
Provided by Norges Bank
-
White Papers
Conditional Forecasts In DSGE Models
April 27, 2010, 12:00am PDT
New-generation DSGE models are sometimes misspecified in dimensions that matter for their forecasting performance. The paper suggests one way to improve the forecasts of a DSGE model using...
Provided by Norges Bank
-
White Papers
The Taylor Principle In A Medium-scale Macroeconomic Model
May 28, 2010, 12:00am PDT
The Taylor Principle is often used to explain macroeconomic stability (see, e.g., Clarida et al. 2000). The reason is that this simple principle guarantees determinacy, i.e., local uniqueness of...
Provided by Norges Bank
-
White Papers
Why Do Firms Pay For Liquidity Provision In Limit Order Markets?
June 30, 2010, 12:00am PDT
In recent years, a number of electronic limit order markets have reintroduced market makers for some securities (Designated Market Makers). This trend has mainly been initiated by financial...
Provided by Norges Bank
-
White Papers
Government Spending Shocks And Rule-of-thumb Consumers: The Role Of Steady State Inequality
August 17, 2010, 12:00am PDT
Galí, López-Salido, and Vallés (2007) suggest that because part of the population follows a rule-of-thumb by which they spend their entire disposable income each period, private consumption...
Provided by Norges Bank
-
White Papers
Voting When The Stakes Are High
August 30, 2010, 12:00am PDT
Rational choice theories of electoral participation stress that an individual's decision to vote depends on her expected net benefit from doing so. If this instrumental motive is relevant, then...
Provided by Norges Bank
-
White Papers
Oil And US GDP: A Real-Time Out-Of-Sample Examination
September 15, 2010, 12:00am PDT
The authors study the real-time Granger-causal relationship between crude oil prices and US GDP growth through a simulated Out-Of-Sample (OOS) forecasting exercise; they also provide strong...
Provided by Norges Bank
-
White Papers
The Long-run Exchange Rate For NOK: A BEER Approach
October 15, 2010, 12:00am PDT
This paper investigates a long-run relation for the trade weighted NOK exchange rate. The author finds that the NOK Trade Weighted Index (TWI) cointegrates with the real oil price, the price...
Provided by Norges Bank
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