Browsing Centre for Applied Macro- and Petroleum economics (CAMP) by Author "Thorsrud, Leif Anders"

Now showing items 1-20 of 23

    • 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 ...

    • Behavioral changes and policy effects during Covid-19 

      Anundsen, André Kallåk; Kivedal, Bjørnar Karlsen; Larsen, Erling Røed; Thorsrud, Leif Anders (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 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders (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 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders (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 

      Bjørnland, Hilde C.; Jensen, Malin C.; Thorsrud, Leif Anders (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 

      Larsen, Vegard H.; Thorsrud, Leif Anders (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 ...

    • Climate Risk and Commodity Currencies 

      Kapfhammer, Felix; Larsen, Vegard H.; Thorsrud, Leif Anders (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 prices and fiscal policy design: Procyclical despite a rule 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders (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 ...

    • 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 ...

    • Does forecast combination improve Norges Bank inflation forecasts? 

      Bjørnland, Hilde C.; Gerdrup, Karsten; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (CAMAR Working Paper Series;2/2010, Working paper, 2010)
      We develop a system that provides model-based forecasts for inflation in Norway. We recursively evaluate quasi out-of-sample forecasts from a large suite of models from 1999 to 2009. The performance of the models are then ...

    • Dutch Disease Dynamics Reconsidered 

      Bjørnland, Hilde C.; Thorsrud, Leif Anders; Torvik, Ragnar (CAMP Working Paper Series;4, Working paper, 2018-02)
      In this paper we develop the first model to incorporate the dynamic productivity consequences of both the spending effect and the resource movement effect of oil abundance. We show that doing so dramatically alters the ...

    • 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. ...

    • 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 ...

    • 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 ...

    • 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 ...

    • Risky news and credit market sentiment 

      Labonne, Paul; Thorsrud, Leif Anders (CAMP Working Paper Series;14/2023, Working paper, 2023-12-14)
      The nonlinear nexus between financial conditions indicators and the conditional distribution of GDP growth has recently been challenged. We show how one can use textual economic news combined with a shallow Neural Network ...

    • 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 ...