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Financial Shocks and Economic Fluctuations: Evidence form Norway

Ræder, Ulrik Johan Gierløff; Strømsnes, Remi Endre
Master thesis
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2605270.pdf (3.065Mb)
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https://hdl.handle.net/11250/2688628
Utgivelsesdato
2020
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  • Master of Science [963]
Sammendrag
In this paper, we evaluate the importance of shocks originating in the financial

sector on the Norwegian macroeconomic variables. We estimate demand, supply,

monetary policy, investment, and financial shocks in a Bayesian VAR model with

sign restrictions. We run three different setups. Firstly, the baseline model is

estimated where we find that financial shocks are an important driver for

investment and stock prices in the short-run and for the interest rate in the longrun.

Moreover, financial shocks explain a limited share of the fluctuations in

output and prices across all horizons. Surprisingly, monetary policy shocks are an

important driver across all variables. By disentangling the financial shock into a

credit and housing shock, we find that housing shocks have a dominant role in

explaining the fluctuations in the variables, while the credit shocks are negligible.

Lastly, the exchange rate model is estimated, where we look at how shocks from

the baseline model can explain the fluctuations in the exchange rate. The results

show that monetary policy shocks are the main driver for explaining the shortterm

fluctuations, while investment shocks become the main driver in the long

run.
Beskrivelse
Masteroppgave(MSc) in Master of Business - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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