Browsing Centre for Applied Macro- and Petroleum economics (CAMP) by Title
Now showing items 9-28 of 132
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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. ... -
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 ... -
Behavioral changes and policy effects during Covid-19
(CAMP Working Paper Series;07/2020, Working paper, 2020-09-17)We exploit unique Norwegian day-by-day transaction and bid-by-bid auction data in order to examine how market participants reacted to the spreading news of Covid-19 in early March 2020, the lock-down on March 12, and the ... -
Boom or gloom? Examining the Dutch disease in a two-speed economy
(CAMP Working Paper Series;6/2013, Working paper, 2013)Traditional studies of the Dutch disease do not typically account for productiv- ity spillovers between the booming energy sector and non-oil sectors. This study identifies and quantifies these spillovers using a Bayesian ... -
Boom or Gloom? Examining the Dutch Disease in Two-Speed Economies
(CAMP Working Paper Series;6/2014, Working paper, 2014)Traditional studies of the Dutch disease do not account for productivity spillovers between the booming resource sector and other domestic sectors. We put forward a simple theory model that allows for such spillovers. ... -
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 ... -
Business cycle narratives
(CAMP Working Paper Series;6, Working paper, 2018-04)This article quantifies the epidemiology of media narratives relevant to business cycles in the US, Japan, and Europe (euro area). We do so by first constructing daily business cycle indexes computed on the basis of the ... -
Changing supply elasticities and regional housing booms
(CAMP Working Paper Series;04/2019, Working paper, 2019-06-18)Recent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show that housing supply elasticities have ... -
China’s Savings Multiplier
(CAMP Working Paper Series;4/2013, Working paper, 2013)China’s growth is characterized by massive capital accumulation, made possible by high and increasing domestic savings. In this paper we develop a model with the aim of explaining why savings rates have been high and ... -
Climate Risk and Commodity Currencies
(CAMP Working Paper Series;10/2020, Working paper, 2020-12-03)The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We ... -
Commodity Futures and Forecasting Commodity Currencies
(CAMP Working Paper Series;7/2016, Working paper, 2016)This paper analyzes the extent to which information in commodity futures markets is useful for out-of-sample forecasting of commodity currencies. In the earlier literature, commodity price changes are documented to be weak ... -
Commodity prices and fiscal policy design: Procyclical despite a rule
(CAMP Working Paper Series;5/2015, Working paper, 2015)We analyse if the adoption of a fiscal spending rule insulates the domestic economy from commodity price fluctuations in a resource-rich economy. To do so we develop a time-varying Dynamic Factor Model, in which we allow ... -
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 ... -
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
(CAMP Working Paper Series;2, Working paper, 2018-01)This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ... -
Components of Uncertainty
(CAMP Working Paper Series;4/2017, Working paper, 2017)Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identfication strategy to ... -
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 ... -
Deadly Variation: The Effect of Temperature Variability on Mortality
(CAMP Working Paper Series;01/2020, Working paper, 2020-02-02)While economists have focused on the effect of mean temperatures on mortality, climate scientists have emphasized that global warming might not only lead to an increase in mean temperatures, but can potentially also affect ... -
Density Forecasts with MIDAS Models
(CAMP Working Paper Series;3/2014, Working paper, 2014)In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ... -
Do central banks respond timely to developments in the global economy?
(CAMP Working Paper Series;8/2016, Working paper, 2016)Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze ... -
Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation
(CAMP Working Paper Series;9/2013, Working paper, 2013)Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their ...