• A composite likelihood approach for dynamic structural models 

      Canova, Fabio; Matthes, Christian (CAMP Working Paper Series Paper No. 10/2018;, Working paper, 2018-10-08)
      We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology ...
    • A New Monthly Indicator of Global Real Economic Activity 

      Ravazzolo, Francesco; Vespignani, Joaquin L. (CAMP Working Papers Series;2/2015, Working paper, 2015)
      In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ...
    • 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. ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 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 ...
    • Changing supply elasticities and regional housing booms 

      Aastveit, Knut Are; Albuquerque, Bruno; Anundsen, André (CAMP Working Paper Series;04/2019, Working paper, 2019-06-18)
      Recent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show that housing supply elasticities have ...
    • China’s Savings Multiplier 

      Mehlum, Halvor; Torvik, Ragnar; Valente, Simone (CAMP Working Paper Series;4/2013, Working paper, 2013)
      China’s growth is characterized by massive capital accumulation, made possible by high and increasing domestic savings. In this paper we develop a model with the aim of explaining why savings rates have been high and ...
    • 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 ...
    • 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 ...
    • Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;2, Working paper, 2018-01)
      This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ...
    • 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 ...
    • Density Forecasts with MIDAS Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (CAMP Working Paper Series;3/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...
    • 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 ...
    • Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation 

      Alstadheim, Ragna; Bjørnland, Hilde C.; Maih, Junior (CAMP Working Paper Series;9/2013, Working paper, 2013)
      Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their ...
    • 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 ...
    • Does oil promote or prevent coups? 

      Nordvik, Frode Martin (CAMP Working Papers Series;7/2014, Working paper, 2014)
      A large literature investigates the relation between oil and conflict, yet no empirical study has found any link between oil and coups d’´etat. Using a new data set on oil production separated into onshore and offshore ...