Now showing items 41-60 of 105

    • The Value of News 

      Larsen, Vegard H.; Thorsrud, Leif Anders (CAMP Working Paper Series;6/2015, Working paper, 2015)
      We decompose a major business newspaper according to the topics it writes about, and show that the topics have predictive power for key economic variables and, especially noteworthy, for asset prices. Unexpected ...
    • Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness 

      Canova, Fabio; Sahneh, Mehdi Hamidi (CAMP Working Paper Series;2/2016, Working paper, 2016)
      Non-fundamentalness arises when observables do not contain enough information to recover the vector of structural shocks. Using Granger causality tests, the literature suggested that many small scale VAR models are ...
    • Words are the new numbers: A newsy coincident index of business cycles 

      Thorsrud, Leif Anders (CAMP Working Paper Series;4/2016, Working paper, 2016)
      In this paper I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data is decomposed into time series representing newspaper topics ...
    • 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 ...
    • 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. ...
    • Commodity Futures and Forecasting Commodity Currencies 

      Ravazzolo, Francesco; Sveen, Tommy; Zahiri, Sepideh K. (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 ...
    • Mending the broken link: heterogeneous bank lending and monetary policy pass-through 

      Altavilla, Carlo; Canova, Fabio; Ciccarelli, Matteo (CAMP Working Paper Series;9/2016, Working paper, 2016)
      We analyze the pass-through of monetary policy measures to lending rates to fi rms and households in the euro area using a novel bank-level dataset. Banks characteristics such as the capital ratio, the exposure to sovereign ...
    • Approximating time varying structural models with time invariant structures 

      Canova, Fabio; Ferroni, Filippo; Matthes, Christian (CAMP Working Paper Series;1/2016, Working paper, 2016)
      The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. ...
    • 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 ...
    • Do central banks respond timely to developments in the global economy? 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders; Zahiri, Sepideh Khayati (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 ...
    • 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 ...
    • Supply Flexibility in the Shale Patch: Evidence from North Dakota 

      Bjørnland, Hilde C.; Nordvik, Frode Martin; Rohrer, Maximilian (CAMP Working Paper Series;2/2017, Working paper, 2017)
      We analyse if output exibility in oil production depends on the extraction technology. In particular, we ask to what extent shale oil producers respond to price incentives by changing completion of new wells as well as oil ...
    • Components of Uncertainty 

      Larsen, Vegard Høghaug (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 ...
    • Should Developing Countries Establish Petroleum Funds? 

      Torvik, Ragnar (CAMP Working Paper Series;3/2017, Working paper, 2017)
      Many natural-resource-abundant countries have established petroleum funds as part of their strategy to manage their resource wealth. This paper examines reasons that such funds may be established, discusses how these funds ...
    • Asset returns, news topics and media effects 

      Høghaug Larsen, Vegard; Thorsrud, Leif Anders (CAMP;5, Working paper, 2017-09-19)
      We decompose the textual data in a daily Norwegian business newspaper into news topics and investigate their predictive and causal role for asset prices. Our three main findings are: (1) a one unit innovation in the news ...
    • 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 ...
    • Residential investment and recession predictability 

      Aastveit, Knut Are; Anundsen, Andr K.; Herstad, Eyo I. (CAMP Working Paper Series;8, Working paper, 2017-12)
      We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ...
    • Asymmetric effects of monetary policy in regional housing markets 

      Aastveit, Knut Are; Anundsen, André K. (CAMP Working Paper Series;7, Working paper, 2017-12)
      The responsiveness of house prices to monetary policy shocks depends both on the nature of the shock – expansionary versus contractionary – and on city-specific housing supply elasticities. We test and find supporting ...
    • Residential investment and recession predictability 

      Aastveit, Knut Are; Anundsen, Andre K.; Herstad, Eyo I. (CAMP Working Paper Series;8, Working paper, 2017-12)
      We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ...
    • Modelling Occasionally Binding Constraints Using Regime-Switching 

      Binning, Andrew; Maih, Junior (CAMP Working Paper Series;9, Working paper, 2017-12)
      Occasionally binding constraints are part of the economic landscape: for instance recent experience with the global financial crisis has highlighted the gravity of the lower bound constraint on interest rates; mortgagors ...