Now showing items 56-75 of 98

    • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting 

      McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike (CAMP Working Paper Series;01/2019, Working paper, 2019-01-16)
      We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ...
    • Narrative monetary policy surprises and the media 

      ter Ellen, Saskia; Larsen, Vegard H.; Thorsrud, Leif Anders (CAMP Working Paper Series;06/2019, Working paper, 2019-10-16)
      We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage explained by central bank ...
    • New Kid on the Block? China vs the US in World Oil Markets 

      Cross, Jamie; Nguyen, Bao H.; Zhang, Bo (CAMP Working Paper Series;02/2019, Working paper, 2019-04-08)
      China has recently overtaken the US to become the world largest importer of crude oil. In light of this fact, we formally compare contributions of demand shocks from China, the US and the rest of the world. We find that ...
    • News media vs. FRED-MD for macroeconomic forecasting 

      Ellingsen, Jon; Larsen, Vegard H.; Thorsrud, Leif Anders (CAMP Working Paper Series;08/2020, Working paper, 2020-10-08)
      Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer ...
    • News-driven inflation expectations and information rigidities 

      Larsen, Vegard H.; Thorsrud, Leif Anders; Zhulanova, Julia (CAMP Working Paper Series;03/2019, Working paper, 2019-04-23)
      We investigate the role played by the media in the expectations formation process of households. Using a news-topic-based approach we show that news types the media choose to report on, e.g., (Internet) technology, health, ...
    • Nowcasting GDP in Real-Time: A Density Combination Approach 

      Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (CAMP Working Paper Series;1/2011, Working paper, 2011)
      In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, ...
    • Nowcasting using news topics Big Data versus big bank 

      Thorsrud, Leif Anders (CAMP Working Paper Series;6/2016, Working paper, 2016)
      The agents in the economy use a plethora of high frequency information, including news media, to guide their actions and thereby shape aggregate economic fluctuations. Traditional nowcasting approches have to a relatively ...
    • Oil and Civil Conflict: On and Off (Shore) 

      Andersen, Jørgen Juel; Nordvik, Frode Martin; Tesei, Andrea (CAMP Working Paper Series;1/2017, Working paper, 2017)
      We reconsider the relationship between oil and conflict, focusing on the location of oil resources. In a panel of 132 countries over the period 1962-2009, we show that oil windfalls increase the probability of conflict in ...
    • Oil and Fiscal Policy Regimes 

      Bjørnland, Hilde Christiane; Casarin, Roberto; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;11, Working paper, 2020-12-29)
      We analyse fiscal policy responses in oil rich countries by developing a Bayesian regime-switching panel country analysis. We use parameter restrictions to identify procyclical and countercyclical fiscal policy regimes ...
    • Oil and macroeconomic (in)stability 

      Bjørnland, Hilde C.; Larsen, Vegard H. (CAMP Working Paper Series;7/2015, Working paper, 2015)
      We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a regime-switching structural model we revisit the timing of the Great Moderation and the sources of changes in ...
    • Oil and macroeconomic (in)stability 

      Bjørnland, Hilde C.; Larsen, Vegard H.; Maih, Junior (CAMP Working Paper Series;No. 6/2017, Working paper, 2017-11)
      We analyze the role of oil price volatility in reducing U.S. macroeconomic insta- bility. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of ...
    • Oil and US GDP: A Real-Time Out-of Sample Examination 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Paper Series;2/2011, Working paper, 2011)
      We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," ...
    • Oil price density forecasts: Exploring the linkages with stock markets 

      Lombardi, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;3/2012, Working paper, 2012)
      In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such ...
    • Oil-Price Density Forecasts of U.S. GDP 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Papers Series;10/2015, Working paper, 2015)
      We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to ...
    • 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 ...
    • On the use of machine learning for causal inference in climate economics 

      Hovdahl, Isabel (CAMP Working Paper Series Paper;05/2019, Working paper, 2019-06)
      One of the most important research questions in climate economics is the relationship between temperatures and human mortality. This paper develops a procedure that enables the use of machine learning for estimating the ...
    • OPEC's crude game: The supply curve in a dynamic, strategic environment 

      Hvinden, Even Comfort (CAMP Working Paper Series;10/2019, Working paper, 2019-11)
      The market behavior nationalized oil companies in the Organization of Petroleum Exporting Countries (OPEC) is starkly time-varying. I rationalize OPEC's behavior in an infinitely repeated game of Cournot competition with ...
    • OPEC’s Crude Game: Strategic Competition and Regime-switching in Global Oil Markets 

      Gundersen, Thomas Størdal; Hvinden, Even Soltvedt (CAMP Working Paper Series;01/2021, Working paper, 2021-01-25)
      We develop a model of oligopolistic competition under imperfect monitoring and dynamic observable demand. Efficient symmetric equilibria feature disciplined cooperative regimes interrupted by rare but severe price wars. ...
    • Optimal Portfolio Choice under Decision-Based Model Combinations 

      Pettenuzzo, Davide; Ravazzolo, Francesco (CAMP Working Paper Series;9/2015, Working paper, 2015)
      We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...
    • Petro Populism 

      Matsen, Egil; Natvik, Gisle J.; Torvik, Ragnar (CAMP Working Paper Series;1/2014, Working paper, 2014)
      We aim to explain petro populism|the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income politicians need to remain in office over time. Hence, even a rent-seeking ...