Employee Profile

Knut Are Aastveit

Adjunct Professor - Department of Economics


Aastveit, Knut Are; Albuquerque, Bruno & Anundsen, André Kallåk (2023)

Changing Supply Elasticities and Regional Housing Booms

Journal of Money, Credit and Banking, 55(7), s. 1749- 1783. Doi: 10.1111/jmcb.13009

Developments in U.S. house prices over the past decade mirror those of the 1996–2006 boom. Construction activity has, however, been weak. Using data for 254 U.S. metropolitan areas, we show that housing supply elasticities have fallen markedly in recent years. We find that housing supply elasticities have declined more in areas in which land-use regulation has tightened the most, and in areas that experienced the sharpest housing busts. Consistent with the declining housing supply elasticities, we find that monetary policy shocks have had a stronger effect on house prices during the past decade than during the previous boom. At the same time, building permits respond less.

Aastveit, Knut Are; Bjørnland, Hilde C & Cross, Jamie (2023)


Review of Economics and Statistics, 105(3), s. 733- 743. Doi: 10.1162/rest_a_01073

Aastveit, Knut Are; Cross, Jamie & van Dijk, Herman K. (2022)

Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil

Journal of business & economic statistics Doi: 10.1080/07350015.2022.2039159

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter-dependencies among models. To illustrate the usefulness of the method, we present an extensive set of empirical results about time- varying forecast uncertainty and risk for the real price of oil over the period 1974–2018. We show that the combination approach systematically outperforms commonly used benchmark models and combination approaches, both in terms of point and density forecasts. The dynamic patterns of the estimated individual model weights are highly time-varying, reflecting a large time variation in the relative performance of the various individual models. The combination approach has built-in diagnostic information measures about forecast inaccuracy and/or model set incompleteness, which provide clear signals of model incompleteness during three crisis periods. To highlight that our approach also can be useful for policy analysis, we present a basic analysis of profit-loss and hedging against price risk.

Aastveit, Knut Are & Anundsen, André Kallåk (2022)

Asymmetric effects of monetary policy in regional housing markets

American Economic Journal: Macroeconomics, 14(4), s. 499- 529. Doi: 10.1257/mac.20190011 - Full text in research archive

The responsiveness of house prices to monetary policy shocks depends on the nature of the shock—expansionary versus contractionary—and on local housing supply elasticities. These findings are established using a panel of 263 US metropolitan areas. Expansionary monetary policy shocks have a larger impact on house prices in supply inelastic areas. Contractionary shocks are orthogonal to housing supply elasticities. In supply elastic areas, contractionary shocks have a greater impact on house prices than expansionary shocks. The opposite holds true in supply inelastic areas. We attribute this to asymmetric housing supply adjustments.

Aastveit, Knut Are; Furlanetto, Francesco & Loria, Francesca (2021)

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Review of Economics and Statistics Doi: 10.1162/rest_a_01120 - Full text in research archive

We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and stochastic volatility. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to ination, the output gap, house prices and stock prices. Our results indicate that the systematic component of monetary policy in the U.S. responded to real stock price growth significantly but episodically, mainly around recessions and periods of financial instability, and took real house price growth into account only in the years preceding the Great Recession. Around half of the estimated response captures the predictor role of asset prices for future ination and real economic activity, while the remaining component reects a direct response to stock prices and house prices.

McAlinn, Kenichiro; Aastveit, Knut Are, Nakajima, Jouchi & West, Mike (2019)

Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting

Journal of the American Statistical Association Doi: 10.1080/01621459.2019.1660171 - Full text in research archive

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, with detailed application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS evaluates- sequentially and adaptively over time- varying forecast biases and facets of miscalibration of individual forecast densities for multiple time series, and- critically- their time-varying inter-dependencies. We define BPS methodology for a new class of dynamic multivariate latent factor models implied by BPS theory. Structured dynamic latent factor BPS is here motivated by the application context- sequential forecasting of multiple US macroeconomic time series with forecasts generated from several traditional econometric time series models. The case study highlights the potential of BPS to improve of forecasts of multiple series at multiple forecast horizons, and its use in learning dynamic relationships among forecasting models or agents.

Aastveit, Knut Are; Anundsen, Andre Kallåk & Herstad, Eyo A. Ildahl (2018)

Residential investment and recession predictability

International Journal of Forecasting Doi: 10.1016/j.ijforecast.2018.09.008

We assess the importance of residential investment for the prediction of economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with different leading indicators and evaluate their relative prediction accuracies using the area under the receiver operating characteristic curve as our forecasting performance metric. We document that residential investment contains information that is useful for predicting recessions both in-sample and out-of-sample. This result is robust to adding typical leading indicators, such as the term spread, stock prices, consumer confidence surveys and oil prices. It is shown that residential investment is particularly useful for the prediction of recessions for countries with high home-ownership rates. Finally, in a separate exercise for the US, we show that the predictive ability of residential investment is — in a broad sense — robust to employing real-time data.

Aastveit, Knut Are; Natvik, Gisle James & Sola, Sergio (2017)

Economic uncertainty and the influence of monetary policy

Journal of International Money and Finance, 76, s. 50- 67. Doi: 10.1016/j.jimonfin.2017.05.003

This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We use several measures of U.S. economic uncertainty, and estimate their interaction with monetary policy shocks as identified through structural vector autoregressions. We find that U.S. monetary policy shocks affect economic activity less when uncertainty is high, in line with “real-option” effects from theory. Holding uncertainty constant, the effect on investment is approximately halved when uncertainty is in its top instead of its bottom decile.

Aastveit, Knut Are; Bjørnland, Hilde C & Thorsrud, Leif Anders (2016)

The World Is Not Enough! Small Open Economies and Regional Dependence

The Scandinavian Journal of Economics, 118(1), s. 168- 195. Doi: 10.1111/sjoe.12126

Aastveit, Knut Are; Jore, Anne Sofie & Ravazzolo, Francesco (2016)

Identification and real-time forecasting of Norwegian business cycles

International Journal of Forecasting, 32(2), s. 283- 292. Doi: 10.1016/j.ijforecast.2015.06.006

Bjørnland, Hilde C; Thorsrud, Leif Anders & Aastveit, Knut Are (2014)

What drives oil prices? Emerging versus Developed Economies

Journal of applied econometrics, 30(7), s. 1013- 1028. Doi: 10.1002/jae.2406

Aastveit, Knut Are (2014)

Oil price shocks in a data-rich environment

Energy Economics, 45, s. 268- 279. Doi: 10.1016/j.eneco.2014.07.006

Aastveit, Knut Are & Trovik, Tørres (2014)

Estimating the output gap in real time: A factor model approach

Quarterly Review of Economics and Finance, 54(2), s. 180- 193. Doi: 10.1016/j.qref.2013.09.003

Aastveit, Knut Are; Gerdrup, Karsten R., Jore, Anne Sofie & Thorsrud, Leif Anders (2014)

Nowcasting GDP in real time: a density combination approach

Journal of business & economic statistics, 32(1), s. 48- 68. Doi: 10.1080/07350015.2013.844155

Aastveit, Knut Are & Trovik, Tørres (2012)

Nowcasting norwegian GDP: the role of asset prices in a small open economy

Empirical Economics, 42(1), s. 95- 119. Doi: 10.1007/s00181-010-0429-9

Aastveit, Knut Are; Anundsen, André Kallåk, Kivedal, Bjørnar Karlsen & Røed Larsen, Erling (2023)

Housing bubble scars

[Article in business/trade/industry journal]. Housing Lab Working Paper Series

Anundsen, André Kallåk; Aastveit, Knut Are & Albuquerque, Bruno (2019)

Changing supply elasticities and regional housing cycles

[Academic lecture]. Forskningsseminar på Handelshøyskolen - OsloMet.

Anundsen, André Kallåk; Aastveit, Knut Are & Albuquerque, Bruno (2019)

Changing supply elasticities and regional housing cycles

[Academic lecture]. Housing in the 21st century.

Bjørnland, Hilde C; Aastveit, Knut Are & Thorsrud, Leif Anders (2012)

What drives oil prices? Emerging versus developed economies

[Report]. Handelshøyskolen BI.

Aastveit, Knut Are; Thorsrud, Leif Anders, Gerdrup, Karsten & Jore, Anne Sofie (2011)

Nowcasting GDP in Real-Time: A Density Combination Approach

[Report]. Handelshøyskolen BI.

Bjørnland, Hilde C; Aastveit, Knut Are & Thorsrud, Leif Anders (2011)

The world is not enough! Small open economies and regional dependence

[Report]. Handelshøyskolen BI.

Bjørnland, Hilde C; Thorsrud, Leif Anders & Aastveit, Knut Are (2011)

The World is not enough! Small open ecnomics and regional dependence

[Report]. Norges Bank.

Aastveit, Knut Are & Trovik, Tørres (2008)

Nowcasting Norwegian GDP: The Role of Asset Prices in a Small Open Economy

[Academic lecture]. The 23rd Annual Congress of the European Economic Association.

Aastveit, Knut Are & Trovik, Tørres (2008)

Nowcasting Norwegian GDP: The Role of Asset Prices in a Small Open Economy

[Academic lecture]. The 28th International Symposium on Forecasting.

Aastveit, Knut Are & Trovik, Tørres (2008)

Estimating the Ouptut Gap in Real Time: A Factor Model Approach

[Academic lecture]. The 14th International Conference on Computing in Economics and Finance.

Aastveit, Knut Are & Trovik, Tørres (2008)

Estimating the Output Gap in Real Time: A Factor Model Approach

[Academic lecture]. The 4th Annual CIRANO Workshop on Data Revision in Macroeconomic Forecasting and Policy.

Aastveit, Knut Are & Trovik, Tørres (2008)

Estimating the Output Gap in Real Time: A Factor Model Approcah

[Academic lecture]. The 28 International Symposium on Forecasting.

Academic Degrees
Year Academic Department Degree
2010 University of Oslo Ph.D Dr. Oecon.
2005 University of Oslo Master Cand. Oecon
2002 University of Oslo Bachelor
Work Experience
Year Employer Job Title
2017 - Present Norges Bank Research Deputy Director
2017 - Present BI Norwegian Business School and CAMP Researcher II
2016 - 2017 Norges Bank Research Senior Researcher
2011 - 2015 Norges Bank Senior Adviser, Monetary policy department
2009 - 2011 Norges Bank Senior Economist, Monetary policy, Economics department
2006 - 2009 Norges Bank Affiliated research economist, Monetary policy, Research department
2005 - 2009 University of Oslo Research fellow at Department of Economics
2005 - 2005 Norges Bank Economist, Financial stability, Financial markets department
2004 - 2005 Norges Bank Student internship, Financial stability