Short- and Long-term Drivers of the Norwegian Krone

Abstract

This thesis examines the short- and long-term drivers of the EURNOK nominal exchange rate from 2000 to 2023. With contemporaneous regressions, we emphasize the increasing relevance of the OSEBX and volatility measures in explaining exchange rate fluctuations. Next, our cointegration analysis reveals a persistent long-term relationship between the exchange rate and OSEBX from 2013 to 2019. Further, we identify a long-term relationship with the interest differential from March 25, 2022 to December 31, 2023. Finally, we observe that the productivity differential was cointegrated with the exchange rate from 2015 to 2023 and reveal that lagged decreases in relative productivity are linked with the depreciation of the NOK.