Now showing items 29-48 of 98

    • Forecasting Cryptocurrencies Financial Time Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;5, Working paper, 2018-03)
      This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ...
    • Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach 

      Ferrari, Davide; Ravazzolo, Francesco; Vespignani, Joaquin (CAMP Working Paper Series;11/2019, Working paper, 2019-12)
      This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially ...
    • Forecasting GDP with global components. This time is different 

      Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, Leif Anders (CAMP Working Papers Series;1/2015, Working paper, 2015)
      A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. ...
    • Foreign shocks 

      Bergholt, Drago (CAMP Working Papers Series;11/2015, Working paper, 2015)
      How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm ...
    • Foreign Shocks in an Estimated Multi-Sector Model 

      Bergholt, Drago (CAMP Working Paper Series;4/2014, Working paper, 2014)
      How are macroeconomic fluctuations in open economies affected by international business cycles? To shed some light on this question, I develop and estimate a medium scale DSGE model for a small open economy. The model ...
    • Global and regional business cycles: Shocks and propagations 

      Thorsrud, Leif Anders (CAMP Working Paper Series;3/2013, Working paper, 2014-06-24)
      We study the synchronization of real and nominal variables across four dfferent regions of the world, Asia, Europe, North and South America, covering 32 different countries. Employing a FAVAR framework, we distinguish ...
    • Growth with Age-Dependent Preferences 

      Mehlum, Halvor; Torvik, Ragnar; Valente, Simone (CAMP Working Paper Series Paper No. 14/2018;, Working paper, 2018-12-10)
      We study the consequences of age-dependent preferences for economic growth and structural change in a two-sector model with overlapping generations and nondimishing returns to capital. Savings and accumulation rates depend ...
    • House prices and stock prices: Different roles in the U.S. monetary transmission mechanism 

      Bjørnland, Hilde C.; Jacobsen, Dag Henning (CAMP Working Paper Series;1/2012, Working paper, 2012)
      We analyze the role of house and stock prices in the monetary policy transmission mechanism in the U.S. using a structural VAR model. The VAR is identifed using a combination of short-run and long-run (neutrality) ...
    • How does monetary policy respond to exchange rate 

      Bjørnland, Hilde C.; Halvorsen, Jørn I. (CAMAR Working Paper Series;1/2010, Working paper, 2010)
      This paper analyzes how monetary policy has responded to exchange rate movements in six open economies, paying particular attention to the two-way interaction between monetary policy and the exchange rate. We address this ...
    • The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway 

      Olsen, Helene; Wieslander, Harald (CAMP Working Paper Series;02/2020, Working paper, 2020-03)
      We search for leading determinants of financial instability in Norway using a signaling approach, and examine how these respond to a monetary policy shock with the use of structural VAR models. We find that the wholesale ...
    • Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model 

      Binning, Andrew; Maih, Junior (CAMP Working Paper Series;3/2016, Working paper, 2016)
      The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ...
    • The Inefficient Combination: Competitive Markets, Free Entry, and Democracy 

      Mehlum, Halvor; Natvik, Gisle; Torvik, Ragnar (CAMP Working Paper Series;02/2021, Working paper, 2021-01-27)
      We show that under fairly general conditions, the combination of (i) competitive markets, (ii) free entry, and (iii) democracy is inconsistent with allocative efficiency. This fundamental impossibility result, which has ...
    • 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 ...
    • Interactions between eurozone and US booms and busts: A bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Paper Series;8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Papers Series; 8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • 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 ...
    • Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model 

      Bjørnland, Hilde C.; Binning, Andrew; Maih, Junior (CAMP Working Paper Series;09/2019, Working paper, 2019-11)
      We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is ...
    • Joint Prediction Bands for Macroeconomic Risk Management 

      Akram, Farooq; Binning, Andrew; Maih, Junior (CAMP Working Paper Series;5/2016, Working paper, 2016)
      In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ...
    • Large Time-Varying Volatility Models for Electricity Prices 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;05/2020, Working paper, 2020-07-02)
      We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ...
    • Local Natural Resource Curse? 

      Borge, Lars-Erik; Parmer, Pernille; Torvik, Ragnar (CAMP Working Paper Series;5/2013, Working paper, 2013)
      The large variation in revenues among Norwegian local governments can partly be explained by revenues collected from hydropower production. This revenue variation, combined with good data availability, can be used to ...