Working Paper

from Norges Bank
Contact information at EDIRC.
Series data maintained by ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2013/13: Third-order approximation of dynamic models without the use of tensors Abstract I outline a new method for finding third-order accurate solutions to dynamic general equilibrium models. I extend the Gomme & Klein (2011) solution for second-order approximations without using tensors, to a third-order. In particular I derive a third-order matrix chain rule and use this to solve the third-order approximation. My solution method is easier to understand and code-up, and faster to implement in Matlab. I provide Matlab code and demonstrate my solution method with a simple RBC model. The resulting code is up to 80 times faster than Matlab code using tensor notation

Andrew Binning

2013/12: The market microstructure approach to foreign exchange: Looking back and looking forward Abstract Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data surprisingly well. But FX markets are evolving rapidly in response to new electronic trading technologies. Transparency has risen, trading costs have tumbled, and transaction speed has accelerated as new players have entered the market and existing players have modified their behavior. These changes will have profound effects on exchange rate dynamics. Looking forward, we highlight fundamental yet unanswered questions on the nature of private information, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure explanations for long-standing exchange rate puzzles

Michael R. King, Carol Osler and Dagfinn Rime

2013/11: Announcements of interest rate forecasts: Do policymakers stick to them?

Nikola Mirkov and Gisle James Natvik

2013/10: Oil price shocks and monetary policy in a data-rich environment

Knut Are Aastveit

2013/09: Implicit intraday interest rate in the UK unsecured overnight money market

Marius Jurgilas and Filip Zikes

2013/08: Global and regional business cycles. Shocks and propagations

Leif Anders Thorsrud

2013/07: Explaining interest rate decisions when the MPC members believe in different stories

Carl Andreas Claussen and Øistein Røisland

2013/06: A survey of econometric methods for mixed-frequency data

Claudia Foroni and Massimiliano Marcellino

2013/05: House prices, expectations, and time-varying fundamentals

Paolo Gelain and Kevin Joseph Lansing

2013/04: The influence of the Taylor rule on US monetary policy

Pelin Ilbas, Øistein Røisland and Tommy Sveen

2013/03: Monetary policy decisions – comparing theory and “inside” information from MPC members

Mikael Apel, Carl Andreas Claussen, Petra Gerlach-Kristen, Petra Lennartsdotter and Øistein Røisland

2013/02: Financing Japan’s World War II occupation of Southeast Asia

Gregg Huff and Shinobu Majima

2013/01: Misallocation and the recovery of manufacturing TFP after a financial crisis

Kaiji Chen and Alfonso Irarrazabal

2012/24: Oil price density forecasts: exploring the linkages with stock markets

Marco Jacopo Lombardi and Francesco Ravazzolo

2012/23: An equilibrium model of credit rating agencies

Steinar Holden, Gisle James Natvik and Adrien Vigier

2012/22: Robustifying optimal monetary policy using simple rules as cross-checks

Pelin Ilbas, Øistein Røisland and Tommy Sveen

2012/21: Macro effects of capital requirements and macroprudential policy

Qaisar Farooq Akram

2012/20: Identifying cross-sided liquidity externalities

Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham

2012/19: Does information sharing reduce the role of collateral as a screening device?

Artashes Karapetyan and Bogdan Stacescu

2012/18: Collateral and repeated lending

Artashes Karapetyan and Bogdan Stacescu

2012/17: The relation between banks' funding costs, retail rates and loan volumes: An analysis of Norwegian bank micro data

Arvid Raknerud and Bjørn Helge Vatne

2012/16: Norges Bank 1999-2010: Governance and structural reforms

Harald Bøhn

2012/15: The Bank of England as the World gold market-maker during the Classical gold standard era, 1889-1910

Stefano Ugolini

2012/14: The daily liquidity effect in a floor system – Empirical evidence from the Norwegian market

Olav Syrstad

2012/13: From a fixed exchange rate regime to inflation targeting - A documentation paper on Norges Bank and monetary policy, 1992-2001

Christoffer Kleivset

2012/12: Implications of insights from behavioral economics for macroeconomic models

Steinar Holden

2012/11: What drives oil prices? Emerging versus developed economies

Knut Are Aastveit, Hilde C. Bjørnland and Leif Anders Thorsrud

2012/10: Top incomes, rising inequality, and welfare

Kevin Joseph Lansing and Agnieszka Markiewicz

2012/09: The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Todd Clark and Francesco Ravazzolo

2012/08: House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy

Paolo Gelain, Kevin Joseph Lansing and Caterina Mendicino

2012/07: Matching efficiency and business cycle fluctuations

Francesco Furlanetto and Nicolas Groshenny

2012/06: Petro populism

Egil Matsen, Gisle James Natvik and Ragnar Torvik

2012/05: Measuring sovereign contagion in Europe

Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon

2012/04: Combination schemes for turning point predictions

Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman K. van Dijk

2012/03: Why do banking crises occur? The American subprime crisis compared with the Norwegian banking crisis 1987-92

Sverre Knutsen

2012/02: Central banks under German rule during World War II: The case of Norway

Harald Espeli

2012/01: The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

Dagfinn Rime and Hans Jørgen Tranvåg

2011/23: Information sharing and information acquisition: Ownership and coverage

Artashes Karapetyan and Bogdan Stacescu

2011/22: The hidden costs of hidden debt

Johan Almenberg and Artashes Karapetyan

2011/21: Financial crises and monetary expansion

Ola Honningdal Grytten

2011/20: Independence within Government: A Comparative Perspective on Central Banking in Norway 1945-1970

Christian Venneslan, Ragnar Trøite, Christoffer Kleivset and Bastian Klunde

2011/19: Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns

Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora

2011/18: Asset pricing with concentrated ownership of capital

Kevin Joseph Lansing

2011/17: Sunshine trading: Flashes of trading intent at the NASDAQ

Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham

2011/16: The world is not enough! Small open economies and regional dependence

Knut Are Aastveit, Hilde C. Bjørnland and Leif Anders Thorsrud

2011/15: What do we really know about the long-term evolution of central banking? Evidence from the past, insights for the present

Stefano Ugolini

2011/14: Investment shocks and macroeconomic co-movement

Francesco Furlanetto, Gisle James Natvik and Martin Seneca

2011/13: Illiquidity, insolvency, and banking regulation

Jin Cao

2011/12: "Interest rate trap", or: Why does the central bank keep the policy rate too low for too long time?

Jin Cao and Gerhard Illing

2011/11: Nowcasting GDP in real-time: A density combination approach

Knut Are Aastveit, Karsten R. Gerdrup, Anne Sofie Jore and Leif Anders Thorsrud