Centre for Applied Macro- and Petroleum economics (CAMP): Recent submissions
Now showing items 61-80 of 131
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International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach
(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 ... -
Growth with Age-Dependent Preferences
(CAMP Working Paper Series Paper No. 14/2018;, Working paper, 2018-12-10)We study the consequences of age-dependent preferences for economic growth and structural change in a two-sector model with overlapping generations and nondimishing returns to capital. Savings and accumulation rates depend ... -
A composite likelihood approach for dynamic structural models
(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 ... -
The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects
(CAMP Working Paper Series Paper No. 8/2018;, Working paper, 2018-10-16)We analyze if the transmission of oil price shocks in the U.S. economy has changed as a result of the shale oil boom. To do so we allow for spillovers at the state level, as well as aggregate country level effects. We ... -
The Impact of U.S. Supply Shocks on the Global Oil Price
(CAMP Working Paper Series;7, Working paper, 2018-04)I examine the role of the U.S. shale oil boom in driving global oil prices. Using a structural vector autoregressive (SVAR) model that identifies separate oil supply shocks for the U.S. and OPEC, I find that U.S. supply ... -
Business cycle narratives
(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 ... -
Forecasting Cryptocurrencies Financial Time Series
(CAMP Working Paper Series;5, Working paper, 2018-03)This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ... -
Dutch Disease Dynamics Reconsidered
(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 ... -
Predicting the Volatility of Cryptocurrency Time–Series
(CAMP Working Paper Series;3, Working paper, 2018-02)Cryptocurrencies have recently gained a lot of interest from investors, central banks and governments worldwide. The lack of any form of political regu- lation and their market far from being “efficient”, require new forms ... -
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
(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 ... -
Markov Switching Panel with Network Interaction Effects
(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 ... -
Residential investment and recession predictability
(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
(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 ... -
Asymmetric effects of monetary policy in regional housing markets
(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
(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 ... -
Oil and macroeconomic (in)stability
(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 ... -
Asset returns, news topics and media effects
(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 ... -
Components of Uncertainty
(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?
(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 ... -
Supply Flexibility in the Shale Patch: Evidence from North Dakota
(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 ...