Blar i BI Research Centre's Series på forfatter "Cross, Jamie L."

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    • Bayesian Mode Inference for Discrete Distributions in Economics and Finance 

      Cross, Jamie L.; Hoogerheide, Lennart; Labonne, Paul; Van Dijk, Herman K. (CAMP Working Paper Series;11/2023, Working paper, 2023-06-27)
      Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a ...

    • The Drivers of Emission Reductions in the European Carbon Market 

      Bjørnland, Hilde C.; Cross, Jamie L.; Kapfhammer, Felix (CAMP Working Paper Series;08/2023, Working paper, 2023-09-17)
      This paper studies the drivers of emission reductions in the carbon market of the European Union Emission Trading System (EU ETS) since its inception in 2005. We introduce a novel empirical framework that facilitates the ...

    • 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 ...

    • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 

      Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey (CAMP Working Paper Series Paper No. 12/2018;, Working paper, 2018-11)
      We estimate the effects of domestic and international sources of macroeconomic uncertainty in three small open economy (SOE) inflation targeting countries: Australia, Canada and New Zealand. To this end, we propose a structural ...

    • Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs 

      Cross, Jamie L.; Hou, Chenghan; Koop, Gary; Poon, Aubrey (CAMP Working Paper Series;04/2021, Working paper, 2021-06-15)
      Vector autoregressions with stochastic volatility in both the conditional mean and variance are commonly used to estimate the macroeconomic effects of uncertainty shocks. Despite their popularity, intensive computational ...

    • Monetary policy shocks and exchange rate dynamics in small open economies 

      Terrell, Madison; Haque, Qazi; Cross, Jamie L.; Tchatoka, Firmin Doko (CAMP Working Paper Series;10/2023, Working paper, 2023-06-29)
      This paper investigates the relationship between monetary policy shocks and real exchange rates in several small open economies. To that end, we develop a novel identification strategy for time-varying structural vector ...

    • Oil and the Stock Market Revisited: A mixed functional VAR approach 

      Bjørnland, Hilde C.; Chang, Yoosoon; Cross, Jamie L. (CAMP Working Paper Series;03/2023, Working paper, 2023-03-13)
      This paper proposes a new mixed vector autoregression (MVAR) model to examine the relationship between aggregate time series and functional variables in a multivariate setting. The model facilitates a re examination of the ...

    • On the China factor in international oil markets: A regime switching approach 

      Cross, Jamie L.; Hou, Chenghan; Nguyen, Bao H. (CAMP Working Paper Series Paper;11/2018, Working paper, 2018)
      We investigate the relationship between world oil markets and China's macroeconomic performance over the past two decades. Our analysis starts by proposing a simple method for disentangling real economic activity stemming ...

    • 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 ...

    • The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil 

      Cross, Jamie L.; Nguyen, Bao H.; Tran, Trung Duc (CAMP Working Paper Series;06/2021, Working paper, 2021-11-01)
      Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand as a composite shock, known as storage demand shocks, due to difficulties in identifying these distinct ...

    • Uncertainty and the Term Structure of Interest Rates 

      Cross, Jamie L.; Poon, Aubrey; Zhu, Dan (CAMP Working Paper Series;12/2023, Working paper, 2023-10-13)
      We present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established ...