• 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 ...
    • The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve 

      Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian (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 ...
    • 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 ...
    • 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 ...
    • 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 ...
    • The interplay between monetary and fiscal policy in a small open economy 

      Røisland, Øistein; Sveen, Tommy; Torvik, Ragnar (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 ...
    • 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 economic development and oil discoveries 

      Hamang, Jonas Hveding (CAMP Working Paper Series;03/2022, Working paper, 2022-09-15)
      In this paper I use data on the location of all historic petroleum discoveries onshore to establish a new stylized fact: Economically developed areas are significantly more likely (about five percentage points) to contain ...
    • 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 ...
    • Lost in transition? Earnings losses of displaced petroleum workers 

      Ellingsen, Jon; Espegren, Caroline (CAMP Working Paper Series;06/2022, Working paper, 2022-12-01)
      We estimate the earnings losses of displaced petroleum workers using a matched employer-employee longitudinal data set from Norway, coupled with an event-study framework of the oil price drop in 2014. Displacement leads ...
    • 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 ...
    • Macroeconomic uncertainty and bank lending 

      Juelsrud, Ragnar E.; Larsen, Vegard H. (CAMP Working Paper Series;05/2022, Working paper, 2022-11)
      We investigate the impact of macro-related uncertainty on bank lending in Norway. We show that an increase in general macroeconomic uncertainty reduces bank lending. Importantly, however, we show that this effect is largely ...
    • Macroeconomics in the time of the Corona 

      Mehlum, Halvor; Torvik, Ragnar (CAMP Working Paper Series;04/2020, Working paper, 2020-06)
      For a developed market economies, the corona crisis is a new type of crisis, but this crisis has parallels to economies at other times, and to crises at other places. We discuss some mechanisms from the traditional macro ...
    • Markov Switching Panel with Network Interaction Effects 

      Agudze, Komla Mawulom; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (CAMP Working Paper Series;1, Working paper, 2018-01)
      The paper introduces a new dynamic panel model for large data sets of time series, each of them characterized by a series-specific Markov switching process. By introducing a neighbourhood system based on a network ...
    • Measuring sovereign contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)
      This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ...