Now showing items 21-40 of 101

    • Supply flexibility in the shale patch: Facts, no fiction 

      Bjørnland, Hilde C. (CAMP Working Paper Series;08/2019, Working paper, 2019-11-18)
      In two recent papers, Kilian and Zhou (2019) and Kilian (2019) have criticized Bjørnland, Nordvik, and Rohrer (2017), arguing that our finding of a large price elasticity of output for shale producers is not credible. We ...
    • 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 ...
    • A New Economic Framework: A DSGE Model with Cryptocurrency 

      Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;07/2019, Working paper, 2019-10-12)
      This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to evaluate the economic repercussions of cryptocurrency. We assume that cryptocurrency offers an alternative currency option to government currency ...
    • On the use of machine learning for causal inference in climate economics 

      Hovdahl, Isabel (CAMP Working Paper Series Paper;05/2019, Working paper, 2019-06)
      One of the most important research questions in climate economics is the relationship between temperatures and human mortality. This paper develops a procedure that enables the use of machine learning for estimating 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 ...
    • 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, ...
    • New Kid on the Block? China vs the US in World Oil Markets 

      Cross, Jamie; Nguyen, Bao H.; Zhang, Bo (CAMP Working Paper Series;02/2019, Working paper, 2019-04-08)
      China has recently overtaken the US to become the world largest importer of crude oil. In light of this fact, we formally compare contributions of demand shocks from China, the US and the rest of the world. We find that ...
    • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting 

      McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike (CAMP Working Paper Series;01/2019, Working paper, 2019-01-16)
      We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ...
    • On the China factor in international oil markets: A regime switching approach 

      Cross, Jamie L.; Hou, Chenghan; Nguyen, Bao H. (CAMP Working Paper Series Paper;11/2018, Working paper, 2018)
      We investigate the relationship between world oil markets and China's macroeconomic performance over the past two decades. Our analysis starts by proposing a simple method for disentangling real economic activity stemming ...
    • Mind the gap! Stylized dynamic facts and structural models. 

      Canova, Fabio; Ferroni, Filippo (CAMP Working Paper Series;13/2018, Working paper, 2018-12-11)
      We study what happens to identified shocks and to dynamic responses when the structural model features q disturbances and m endogenous variables, q ≤ m, but only m1 < q variables are used in the empirical model. Identified ...
    • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 

      Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey (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 

      Mehlum, Halvor; Torvik, Ragnar; Valente, Simone (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 

      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 ...
    • The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects 

      Bjørnland, Hilde C.; Zhulanova, Julia (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 

      Gundersen, Thomas S. (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 

      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 ...
    • Forecasting Cryptocurrencies Financial Time Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (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 

      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 ...
    • Predicting the Volatility of Cryptocurrency Time–Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (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 

      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 ...