Centre for Applied Macro- and Petroleum economics (CAMP): Nye registreringer
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Words are the new numbers: A newsy coincident index of business cycles
(CAMP Working Paper Series;4/2016, Working paper, 2016)In this paper I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data is decomposed into time series representing newspaper topics ... -
Nowcasting using news topics Big Data versus big bank
(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 ... -
Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
(CAMP Working Paper Series;3/2016, Working paper, 2016)The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ... -
Commodity Futures and Forecasting Commodity Currencies
(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 ... -
Mending the broken link: heterogeneous bank lending and monetary policy pass-through
(CAMP Working Paper Series;9/2016, Working paper, 2016)We analyze the pass-through of monetary policy measures to lending rates to fi rms and households in the euro area using a novel bank-level dataset. Banks characteristics such as the capital ratio, the exposure to sovereign ... -
Approximating time varying structural models with time invariant structures
(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. ... -
Joint Prediction Bands for Macroeconomic Risk Management
(CAMP Working Paper Series;5/2016, Working paper, 2016)In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ... -
Do central banks respond timely to developments in the global economy?
(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 ... -
Foreign shocks
(CAMP Working Papers Series;11/2015, Working paper, 2015)How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm ... -
Oil-Price Density Forecasts of U.S. GDP
(CAMP Working Papers Series;10/2015, Working paper, 2015)We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to the ... -
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
(CAMP Working Paper Series;8/2015, Working paper, 2015)This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting ... -
Oil and macroeconomic (in)stability
(CAMP Working Paper Series;7/2015, Working paper, 2015)We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a regime-switching structural model we revisit the timing of the Great Moderation and the sources of changes in ... -
Commodity prices and fiscal policy design: Procyclical despite a rule
(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 ... -
Optimal Portfolio Choice under Decision-Based Model Combinations
(CAMP Working Paper Series;9/2015, Working paper, 2015)We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ... -
The Value of News
(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 ... -
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model
(CAMP Working Papers Series; 8/2014, Working paper, 2014)Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ... -
Sigma Point Filters For Dynamic Nonlinear Regime Switching Models
(CAMP Working Papers Series;4/2015, Working paper, 2015)In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic ... -
A New Monthly Indicator of Global Real Economic Activity
(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 ... -
The Political Economy of Public Income Volatility: With an Application to the Resource Curse
(CAMP Working Papers Series;3/2015, Working paper, 2015)We develop a model of the political consequences of public income volatility. As is standard, political incentives create inefficient policies, but we show that making income uncertain creates specific new effects. Future ... -
Forecasting GDP with global components. This time is different
(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. ...