Research Centre

Centre for Applied Macroeconomics and Commodity Prices (CAMP)

CAMP is established to bring together economists working on applied macroeconomic issues, with special emphasis on energy economics.

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 under Model and Parameter Instability (Catania, Grassi and Ravazzolo). Published in: International Journal of Forecasting vol 35 (2019) pp. 485–501
  • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting (McAlinn, Aastveit, Nakajima and West). Forthcoming in: Journal of the American Statistical Association (JASA)
  • Detecting and Analyzing the Effects of Time-Varying Parameters in DSGE Models (Canova, Ferroni and Matthes). Forthcoming in: International Economic Review
  • On the use of machine learning for causal inference in climate economics (Hovdahl)
  • Changing supply elasticities and regional housing booms (Aastveit, Albuquerque and Anundsen)
  • News-driven inflation expectations and information rigidities (Larsen, Thorsrud and Zhulanova)
  • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting (McAlinn, Aastveit, Nakajima and West)
  • A New Monthly Indicator of Global Real Economic Activity (Ravazzolo and Vespignani). Forthcoming in: Canadian Journal of Economics 
  • Forecasting Cryptocurrencies Financial Time Series (Catania, Grassi and Ravazzolo). Forthcoming in: International Journal of Forecasting
  • Residential investment and recession predictability (Aastveit, Anundsen and Herstad). Forthcoming in: International Journal of Forecasting.
  • Oil and macroeconomic (in)stability (Bjørnland, Larsen and Maih). Published in: American Economic Journal: Macroeconomics, 2018, Vol.10(4), pp.128-151.
  • Mending the broken link: heterogeneous bank lending and monetary policy pass-through (Altavilla, Canova and Ciccarelli). Forthcoming in: Journal  of  Monetary Economics
  • Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness (Canova and Sahneh). Published in: Journal of the European Economic Association, 2018, Vol. 16(4), pp.1069-1093.
  • The Value of News for Economic Developments (Larsen and Thorsrud). Published in: Journal of Econometrics Volume 210, Issue 1, May 2019, Pages 203-218
  • Predicting the Volatility of Cryptocurrency Time-Series (Catania, Grassi and Ravazzolo). 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). Published in: Journal of Financial Stability, 2017, vol 34, 150-181.
  • 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). 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). 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). 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). Published in: Journal of Applied Econometrics, 2016, Vol 31(7).
  • The world is not enough! Small open economies and regional dependence (Aastveit, Bjørnland and Thorsrud). Published in: Scandinavian Journal of Economics, 2016 vol. 118(1), 168-195.
  • The Savings Multiplier (Mehlum, Torvik and Valente). Published in: Journal of Monetary Economics, 2016, vol. 83(C), 90-105.
  • Do central banks respond timely to developments in the global economy? (Bjørnland, Thorsrud and Zahiri). Forthcoming in: Oxford Bulletin of Economics and Statistics.
  • 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). Publised in: Journal of Business & Economic Statistics , 2018.
  • 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)