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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 Downloads
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 Downloads
Michael R. King, Carol Osler and Dagfinn Rime
2013/11: Announcements of interest rate forecasts: Do policymakers stick to them? Downloads
Nikola Mirkov and Gisle James Natvik
2013/10: Oil price shocks and monetary policy in a data-rich environment Downloads
Knut Are Aastveit
2013/09: Implicit intraday interest rate in the UK unsecured overnight money market Downloads
Marius Jurgilas and Filip Zikes
2013/08: Global and regional business cycles. Shocks and propagations Downloads
Leif Anders Thorsrud
2013/07: Explaining interest rate decisions when the MPC members believe in different stories Downloads
Carl Andreas Claussen and Øistein Røisland
2013/06: A survey of econometric methods for mixed-frequency data Downloads
Claudia Foroni and Massimiliano Marcellino
2013/05: House prices, expectations, and time-varying fundamentals Downloads
Paolo Gelain and Kevin Joseph Lansing
2013/04: The influence of the Taylor rule on US monetary policy Downloads
Pelin Ilbas, Øistein Røisland and Tommy Sveen
2013/03: Monetary policy decisions – comparing theory and “inside” information from MPC members Downloads
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 Downloads
Gregg Huff and Shinobu Majima
2013/01: Misallocation and the recovery of manufacturing TFP after a financial crisis Downloads
Kaiji Chen and Alfonso Irarrazabal
2012/24: Oil price density forecasts: exploring the linkages with stock markets Downloads
Marco Jacopo Lombardi and Francesco Ravazzolo
2012/23: An equilibrium model of credit rating agencies Downloads
Steinar Holden, Gisle James Natvik and Adrien Vigier
2012/22: Robustifying optimal monetary policy using simple rules as cross-checks Downloads
Pelin Ilbas, Øistein Røisland and Tommy Sveen
2012/21: Macro effects of capital requirements and macroprudential policy Downloads
Qaisar Farooq Akram
2012/20: Identifying cross-sided liquidity externalities Downloads
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
2012/19: Does information sharing reduce the role of collateral as a screening device? Downloads
Artashes Karapetyan and Bogdan Stacescu
2012/18: Collateral and repeated lending Downloads
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 Downloads
Arvid Raknerud and Bjørn Helge Vatne
2012/16: Norges Bank 1999-2010: Governance and structural reforms Downloads
Harald Bøhn
2012/15: The Bank of England as the World gold market-maker during the Classical gold standard era, 1889-1910 Downloads
Stefano Ugolini
2012/14: The daily liquidity effect in a floor system – Empirical evidence from the Norwegian market Downloads
Olav Syrstad
2012/13: From a fixed exchange rate regime to inflation targeting - A documentation paper on Norges Bank and monetary policy, 1992-2001 Downloads
Christoffer Kleivset
2012/12: Implications of insights from behavioral economics for macroeconomic models Downloads
Steinar Holden
2012/11: What drives oil prices? Emerging versus developed economies Downloads
Knut Are Aastveit, Hilde C. Bjørnland and Leif Anders Thorsrud
2012/10: Top incomes, rising inequality, and welfare Downloads
Kevin Joseph Lansing and Agnieszka Markiewicz
2012/09: The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility Downloads
Todd Clark and Francesco Ravazzolo
2012/08: House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy Downloads
Paolo Gelain, Kevin Joseph Lansing and Caterina Mendicino
2012/07: Matching efficiency and business cycle fluctuations Downloads
Francesco Furlanetto and Nicolas Groshenny
2012/06: Petro populism Downloads
Egil Matsen, Gisle James Natvik and Ragnar Torvik
2012/05: Measuring sovereign contagion in Europe Downloads
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
2012/04: Combination schemes for turning point predictions Downloads
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 Downloads
Sverre Knutsen
2012/02: Central banks under German rule during World War II: The case of Norway Downloads
Harald Espeli
2012/01: The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence Downloads
Dagfinn Rime and Hans Jørgen Tranvåg
2011/23: Information sharing and information acquisition: Ownership and coverage Downloads
Artashes Karapetyan and Bogdan Stacescu
2011/22: The hidden costs of hidden debt Downloads
Johan Almenberg and Artashes Karapetyan
2011/21: Financial crises and monetary expansion Downloads
Ola Honningdal Grytten
2011/20: Independence within Government: A Comparative Perspective on Central Banking in Norway 1945-1970 Downloads
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 Downloads
Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora
2011/18: Asset pricing with concentrated ownership of capital Downloads
Kevin Joseph Lansing
2011/17: Sunshine trading: Flashes of trading intent at the NASDAQ Downloads
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
2011/16: The world is not enough! Small open economies and regional dependence Downloads
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 Downloads
Stefano Ugolini
2011/14: Investment shocks and macroeconomic co-movement Downloads
Francesco Furlanetto, Gisle James Natvik and Martin Seneca
2011/13: Illiquidity, insolvency, and banking regulation Downloads
Jin Cao
2011/12: "Interest rate trap", or: Why does the central bank keep the policy rate too low for too long time? Downloads
Jin Cao and Gerhard Illing
2011/11: Nowcasting GDP in real-time: A density combination approach Downloads
Knut Are Aastveit, Karsten R. Gerdrup, Anne Sofie Jore and Leif Anders Thorsrud
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