• CREDIT RATING AND DEBT CRISES 

      Holden, Steinar; Natvik, Gisle James; Vigier, Adrien Henri (Journal article; Peer reviewed, 2018)
      We develop an equilibrium theory of credit rating in the presence of rollover risk. By influencing rational creditors, ratings affect sovereigns' probability of default, which in turn affects ratings. Our analysis reveals ...
    • Does publication of interest rate paths provide guidance? 

      Natvik, Gisle James; Rime, Dagfinn; Syrstad, Olav (Journal article; Peer reviewed, 2020)
      Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we ...
    • Leaning Against The Credit Cycle 

      Natvik, Gisle James; Gelain, Paolo; Lansing, Kevin (Journal article; Peer reviewed, 2018)
      How should a central bank act to stabilize the ratio of debt over gross domestic product (GDP)? We show how the persistent nature of household debt shapes the answer to this question. In environments where households repay ...
    • Monetary Policy and Household Debt 

      Gulbrandsen, Magnus Andreas Haare; Natvik, Gisle James (Journal article; Peer reviewed, 2020)
      We address the interplay between household debt accumulation and monetary policy. Monetary policy likely affects household debt-to-income ratios via disposable income and inflation, not just by changing the financial ...
    • The bank-sovereign nexus: Evidence from a non-bailout episode 

      Caporin, Massimiliano; Natvik, Gisle James; Ravazzolo, Francesco; Santucci de Magistris, Paolo (Journal article; Peer reviewed, 2019)
      We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We ...