Centre for Applied Macro- and Petroleum economics (CAMP)
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Nr 1/2010 og nr 2/2010 ble utgitt under navnet CAMAR Working Paper Series med ISSN 1892-2198. Fom nr 1/2011 skiftet serien navn til CAMP Working Paper Series med ISSN 1893-4811.
Recent Submissions
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Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
(CAMP Working Paper Series;09/2024, Working paper, 2024-08-29)In several scientific fields, such as finance, economics and bioinformatics, important theoretical and practical issues exist involving multimodal and asymmetric count data distributions due to heterogeneity of the underlying ... -
How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables
(CAMP Working Paper Series;01/2025, Working paper, 2025-01-29)This paper investigates the interactions between macroeconomic aggregates and income distribution by developing a structural VAR model with functional variables. With this novel empirical approach, we are able to identify ... -
Forecasting oil and gas Prices: A Model Combination Approach
(CAMP Working Paper Series;08/2024, Working paper, 2024-12-31)This paper advances energy price forecasting by extending state-of-the-art econometric models for oil markets to address the distinct characteristics of fragmented natural gas markets. Using a forecast combination framework, ... -
Piecing the puzzle: Real exchange rates and long-run fundamentals
(CAMP Working Paper Series;07/2024, Working paper, 2024-12-19)This paper examines the structural determinants of real exchange rates, emphasizing the persistent low frequency movements that traditional models, such as Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP), ... -
A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
(CAMP Working Paper Series;06/2024, Working paper, 2024-07-15)The Dynamic Nelson-Siegel (DNS) model implies that the instantaneous bond yield is a linear combination of yield curve’s level and slope factors. However, this constraint is not used in practice because it induces a ... -
Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations
(CAMP Working Paper Series;05/2024, Working paper, 2024-07-05)This paper demonstrates that inflation expectations have acted as significant amplifiers of recent global demand and supply shocks, thereby playing a crucial role in maintaining inflation at relatively high levels. This ... -
Taylor Rules with Endogenous Regimes
(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 ... -
Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility
(CAMP Working Paper Series;03/2024, Working paper, 2024-02-21)This paper proposes a fully nonparametric model to investigate the dynamics of intergenerational income mobility for discrete outcomes. In our model, an individual’s income class probabilities depend on parental income in ... -
The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve
(CAMP Working Paper Series;02/2024, Working paper, 2024-01-23)We investigate the influence of the U.S. government’s spending and taxation decisions, along with the monetary policy choices made by the Federal Reserve, on the dynamics of the nominal yield curve. Aggregate government ... -
Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption
(CAMP Working Paper Series;01/2024, Working paper, 2024-01-11)We employ a semiparametric functional coefficient panel approach to allow an economic relationship of interest to have both country-specific heterogeneity and a common component that may be nonlinear in the covariate and ... -
Business Cycle and Health Dynamics during the COVID-19 Pandemic. A Scandinavian Perspective
(CAMP Working Paper Series;15/2023, Working paper, 2023-12-21)We use a unique daily economic activity measure and manually audited nonpharmaceutical intervention indexes for Norway and Sweden to model the dynamic interaction between COVID-19, policy, health, and business cycles within ... -
Risky news and credit market sentiment
(CAMP Working Paper Series;14/2023, Working paper, 2023-12-14)The nonlinear nexus between financial conditions indicators and the conditional distribution of GDP growth has recently been challenged. We show how one can use textual economic news combined with a shallow Neural Network ... -
Fiscal Policy Regimes in Resource-Rich Economies
(CAMP Working Paper Series;13/2023, Working paper, 2023-10-21)We analyse fiscal policy in resource-rich economies using a novel Bayesian regime-switching panel model. The identified regimes capture pro- or countercyclical fiscal behaviour, while the switches between the regimes have ... -
Uncertainty and the Term Structure of Interest Rates
(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 ... -
Monetary policy shocks and exchange rate dynamics in small open economies
(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 ... -
Bayesian Mode Inference for Discrete Distributions in Economics and Finance
(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 ... -
A Bayesian DSGE Approach to Modelling Cryptocurrency
(CAMP Working Paper Series;09/2023, Working paper, 2023-09-21)We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. ... -
The Drivers of Emission Reductions in the European Carbon Market
(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 ... -
The interplay between monetary and fiscal policy in a small open economy
(CAMP Working Paper Series;07/2023, Working paper, 2023-08)We develop a theory for the optimal interaction between monetary and fiscal policy. While one might initially think that monetary and fiscal policy should pull in the same direction, we show within a simple model that this ... -
Monitoring multicountry macroeconomic risk
(CAMP Working Paper Series;06/2023, Working paper, 2023-08-03)We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ...
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