Applied Macroeconomics and Time Series

Here we have gathered our research on applied macroeconomics and time series. Our research on this topic includes forecasting financial series and macroeconomic variables such as GDP, and  research on relevant methodology for macroeconomic research. 

  • Forecasting Cryptocurrencies Financial Time Series (Catania, Grassi and Ravazzolo)
  • Mending the broken link: heterogeneous bank lending and monetary policy pass-through (Altavilla, Canova and Ciccarelli)
  • Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness (Canova and Sahneh)
  • The Value of News for Economic Developments (Larsen and Thorsrud)
  • Predicting the Volatility of Cryptocurrency Time-Series (Catania, Grassi and Ravazzolo)
    • Working Paper (2018) 
    • Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 203-207
  • Growth with Age-Dependent Preferences (Mehlum, Torvik and Valente)
  • Mind the gap! Stylized dynamic facts and structural models (Canova and Ferroni)
  • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach (Cross, Hou and Poon)
  • On the China factor in international oil markets: A regime switching approach (Cross, Hou and Nguyen)
  • A composite likelihood approach for dynamic structural models (Canova and Matthes)
  • State Space Models with Endogenous Regime Switching (Chang, Maih and Tan)
  • Business cycle narratives (Larsen and Thorsrud)
  • Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration (Gianfreda, Ravazzolo and Rossini)
  • Markov Switching Panel with Network Interaction Effects (Agudze, Billio, Casarin and Ravazzolo)
  • Modelling Occasionally Binding Constraints Using Regime-Switching (Binning and Maih)
  • Asymmetric effects of monetary policy in regional housing markets (Aastveit and Anundsen)
  • Components of Uncertainty (Larsen)
  • Measuring sovereign contagion in Europe (Caporin, Pelizzon, Ravazzolo and Rigobon)
  • Emission Trading with Fiscal Externalities: The Case for a Common Carbon Tax for the Non-ETS Emissions in the EU (Andersen and Greaker)
    • Published in: Environmental and Resource Economics, 2017, 1–21
  • Density Forecasts with MIDAS Models (Aastveit, Foroni and Ravazzolo)
    • Working Paper (2014)
    • Published in: Journal of Applied Econometrics, 2017, vol 32(4), 783–801
  • Forecasting GDP with global components. This time is different. (Bjørnland, Ravazzolo and Thorsrud)
    • Working Paper (2015)
    • Published in: International Journal of Forecasting, 2017, vol. 33(1), 153-173

  • Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts (Kruger, Clark and Ravazzolo)
    • Working Paper (2015)
    • Published in: Journal of Business & Economic Statistics, 2017, vol. 35 (3), 470-485
  • Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model (Billio, Casarin, Ravazzolo and Van Dijk)
    • Published in: Journal of Applied Econometrics, 2016, Vol 31(7), 1352–1370
  • Optimal portfolio choice under decision-based model combinations (Pettenuzzu and Ravazzolo)
  • The world is not enough! Small open economies and regional dependence (Aastveit, Bjørnland and Thorsrud)
  • The Savings Multiplier (Mehlum, Torvik and Valente)
  • Do central banks respond timely to developments in the global economy? (Bjørnland, Thorsrud and Zahiri)
  • Nowcasting using news topics Big Data versus big bank (Thorsrud)
  • Joint Prediction Bands for Macroeconomic Risk Management (Akram, Binning and Maih)
  • Words are the new numbers: A newsy coincident index of business cycles (Thorsrud)
  • Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model (Binning and Maih)
  • Approximating time-varying structural models with time-invariant structures (Canova, Ferroni and Matthes)