Centre for Applied Macro- and Petroleum economics (CAMP): Nye registreringer
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A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
(CAMP Working Paper Series;06/2024, Working paper, 2024-07-15)The Dynamic Nelson-Siegel (DNS) model implies that the instantaneous bond yield is a linear combination of yield curve’s level and slope factors. However, this constraint is not used in practice because it induces a ... -
Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations
(CAMP Working Paper Series;05/2024, Working paper, 2024-07-05)This paper demonstrates that inflation expectations have acted as significant amplifiers of recent global demand and supply shocks, thereby playing a crucial role in maintaining inflation at relatively high levels. This ... -
Taylor Rules with Endogenous Regimes
(CAMP Working Paper Series;04/2024, Working paper, 2024-05-07)The Fed’s policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to ... -
Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility
(CAMP Working Paper Series;03/2024, Working paper, 2024-02-21)This paper proposes a fully nonparametric model to investigate the dynamics of intergenerational income mobility. In our model, an individual’s income class probabilities depend on parental income in a manner that accommodates ... -
The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve
(CAMP Working Paper Series;02/2024, Working paper, 2024-01-23)We investigate the influence of the U.S. government’s spending and taxation decisions, along with the monetary policy choices made by the Federal Reserve, on the dynamics of the nominal yield curve. Aggregate government ... -
Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption
(CAMP Working Paper Series;01/2024, Working paper, 2024-01-11)We employ a semiparametric functional coefficient panel approach to allow an economic relationship of interest to have both country-specific heterogeneity and a common component that may be nonlinear in the covariate and ... -
Business Cycle and Health Dynamics during the COVID-19 Pandemic. A Scandinavian Perspective
(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 ... -
Risky news and credit market sentiment
(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 ... -
Fiscal Policy Regimes in Resource-Rich Economies
(CAMP Working Paper Series;13/2023, Working paper, 2023-10-21)We analyse fiscal policy in resource-rich economies using a novel Bayesian regime-switching panel model. The identified regimes capture pro- or countercyclical fiscal behaviour, while the switches between the regimes have ... -
Uncertainty and the Term Structure of Interest Rates
(CAMP Working Paper Series;12/2023, Working paper, 2023-10-13)We present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established ... -
Monetary policy shocks and exchange rate dynamics in small open economies
(CAMP Working Paper Series;10/2023, Working paper, 2023-06-29)This paper investigates the relationship between monetary policy shocks and real exchange rates in several small open economies. To that end, we develop a novel identification strategy for time-varying structural vector ... -
Bayesian Mode Inference for Discrete Distributions in Economics and Finance
(CAMP Working Paper Series;11/2023, Working paper, 2023-06-27)Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a ... -
A Bayesian DSGE Approach to Modelling Cryptocurrency
(CAMP Working Paper Series;09/2023, Working paper, 2023-09-21)We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. ... -
The Drivers of Emission Reductions in the European Carbon Market
(CAMP Working Paper Series;08/2023, Working paper, 2023-09-17)This paper studies the drivers of emission reductions in the carbon market of the European Union Emission Trading System (EU ETS) since its inception in 2005. We introduce a novel empirical framework that facilitates the ... -
The interplay between monetary and fiscal policy in a small open economy
(CAMP Working Paper Series;07/2023, Working paper, 2023-08)We develop a theory for the optimal interaction between monetary and fiscal policy. While one might initially think that monetary and fiscal policy should pull in the same direction, we show within a simple model that this ... -
Monitoring multicountry macroeconomic risk
(CAMP Working Paper Series;06/2023, Working paper, 2023-08-03)We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ... -
Probabilistic Quantile Factor Analysis
(CAMP Working Paper Series;05/2023, Working paper, 2023-08-03)This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is ... -
Where do they care? The ECB in the media and inflation expectations
(CAMP Working Paper Series;04/2023, Working paper, 2023-05-10)This paper examines how news coverage of the European Central Bank (ECB) affects consumer inflation expectations in the four largest euro area countries. Utilizing a unique dataset of multilingual European news articles, ... -
Oil and the Stock Market Revisited: A mixed functional VAR approach
(CAMP Working Paper Series;03/2023, Working paper, 2023-03-13)This paper proposes a new mixed vector autoregression (MVAR) model to examine the relationship between aggregate time series and functional variables in a multivariate setting. The model facilitates a re examination of the ... -
Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring
(CAMP Working Paper Series;02/2023, Working paper, 2023-02-27)Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful ...