• Asymmetric effects of monetary policy in regional housing markets 

      Aastveit, Knut Are; Anundsen, André K. (CAMP Working Paper Series;7, Working paper, 2017-12)
      The responsiveness of house prices to monetary policy shocks depends both on the nature of the shock – expansionary versus contractionary – and on city-specific housing supply elasticities. We test and find supporting ...
    • Asymmetric effects of monetary policy in regional housing markets 

      Aastveit, Knut Are; Anundsen, André Kallåk (Journal article; Peer reviewed, 2021)
      The responsiveness of house prices to monetary policy shocks depends on the nature of the shock—expansionary versus contractionary—and on local housing supply elasticities. These findings are established using a panel of ...
    • Changing supply elasticities and regional housing booms 

      Aastveit, Knut Are; Albuquerque, Bruno; Anundsen, André (CAMP Working Paper Series;04/2019, Working paper, 2019-06-18)
      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 that housing supply elasticities have ...
    • Density Forecasts with MIDAS Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (CAMP Working Paper Series;3/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...
    • Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis 

      Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca (Journal article; Peer reviewed, 2021)
      We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and ...
    • The household effects of mortgage regulation 

      Aastveit, Knut Are; Juelsrud, Ragnar Enger; Wold, Ella Getz (CAMP Working Paper Series;07/2021, Working paper, 2021-12)
      We evaluate the impact of mortgage regulation on child and parent household balance sheets, highlighting important trade-offs in terms of financial vulnerability. Using Norwegian tax data, we show that loan-to-value caps ...
    • The housing channel of intergenerational wealth persistence 

      Getz Wold, Ella; Aastveit, Knut Are; Eylands Brandsaas, Eirik; Enger Juelsrud, Ragnar; James Natvik, Gisle (HOFIMAR Working Paper Series;6/2024, Working paper, 2024-09)
      We use Norwegian micro data and a life-cycle model with housing to study how wealth transmits across generations through the housing market. A mediation analysis reveals large housing gaps based on parental wealth. A ...
    • Inflation expectations and the pass-through of oil prices 

      Aastveit, Knut Are; Bjørnland, Hilde Christiane; Cross, Jamie L. (CAMP Working Paper Series;03/2020, Working paper, 2020-06-25)
      Do inflation expectations and the associated pass-though 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 ...
    • Inflation expectations and the pass-through of oil prices 

      Cross, Jamie; Bjørnland, Hilde C; Aastveit, Knut Are (Journal article; Peer reviewed, 2021)
      Inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global oil market. We establish this result using a structural VAR model of the global oil ...
    • The leverage-liquidity trade-of mortgage regulation 

      Aastveit, Knut Are; Enger Juelsrud, Ragnar; Getz Wold, Ella (HOFIMAR Working Paper Series;4/2023, Working paper, 2023)
      We evaluate the impact of loan-to-value restrictions on household financial vulnerability. Using Norwegian tax data, we first document a beneficial leverage effect, in which households respond to the regulation by reducing ...
    • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting 

      McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike (CAMP Working Paper Series;01/2019, Working paper, 2019-01-16)
      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, ...
    • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting 

      Aastveit, Knut Are; McAlinn, Kenichiro; Nakajima, Jouchi; West, Mike (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, ...
    • Nowcasting GDP in real time: a density combination approach 

      Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (Journal article; Peer reviewed, 2014)
      In this paper, we use U.S. real-time data to produce combined density nowcasts of quarterly GDP growth, using a system of three commonly used model classes. We update the density nowcast for every new data release ...
    • Nowcasting GDP in Real-Time: A Density Combination Approach 

      Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (CAMP Working Paper Series;1/2011, Working paper, 2011)
      In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, ...
    • The Price Responsiveness of Shale Producers: Evidence From Micro Data 

      Aastveit, Knut Are; Bjørnland, Hilde C.; Gundersen, Thomas S. (CAMP Working Paper Series;05/2021, Working paper, 2021-09-11)
      Shale oil producers respond positively and significantly to favourable oil price signals. This finding is established using a novel proprietary data set consisting of more than 200,000 shale wells across ten U.S. states ...
    • Quantifying time-varying forecast uncertainty and risk for the real price of oil 

      Aastveit, Knut Are; Cross, Jamie L.; van Dijk, Herman K. (CAMP Working Paper Series;03/2021, Working paper, 2021-06-01)
      We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...
    • Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil 

      Aastveit, Knut Are; Cross, Jamie; van Dijk, Herman K. (Peer reviewed; Journal article, 2022)
      We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...
    • Residential investment and recession predictability 

      Aastveit, Knut Are; Anundsen, Andr K.; Herstad, Eyo I. (CAMP Working Paper Series;8, Working paper, 2017-12)
      We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ...
    • Residential investment and recession predictability 

      Aastveit, Knut Are; Anundsen, Andre K.; Herstad, Eyo I. (CAMP Working Paper Series;8, Working paper, 2017-12)
      We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ...
    • Taylor Rules with Endogenous Regimes 

      Aastveit, Knut Are; Cross, Jamie; Furlanetto, Francesco; Van Dijk, Herman K. (CAMP Working Paper Series;04/2024, Working paper, 2024-05-07)
      The Fed’s policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to ...