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CAMP

Research Themes and Funding

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. 

  • Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility (Yoosoon Chang, Steven N. Durlauf, Bo Hu and Joon Y. Park)
  • The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve (Yoosoon Chang, Fabio Gómez-Rodríguez and Christian Matthes)
  • Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption (Yoosoon Chang, Yongok Choi, Chang Sik Kim, J. Isaac Miller and Joon Y. Park)
  • Samspillet mellom penge- og finanspolitikken i en liten, åpen økonomi (Øistein Røisland, Tommy Sveen and Ragnar Torvik)
  • Business Cycle and Health Dynamics during the COVID-19 Pandemic. A Scandinavian Perspective (Hilde C. Bjørnland, Malin C. Jensen and Leif Anders Thorsrud)
  • Risky news and credit market sentiment (Paul Labonne and Leif Anders Thorsrud)
  • Uncertainty and the Term Structure of Interest Rates (Jamie L. Cross, Aubrey Poon and Dan Zhu)
  • Bayesian Mode Inference for Discrete Distributions in Economics and Finance (Jamie Cross, Lennart Hoogerheide, Paul Labonne and Herman K. van Dijk)
  • Monetary policy shocks and exchange rate dynamics in small open economies (Madison Terrell, Qazi Haque, Jamie L. Cross and Firmin Doko Tchatoka)
  • A Bayesian DSGE Approach to Modelling Cryptocurrency (Stylianos Asimakopoulos, Marco Lorusso and Francesco Ravazzolo)
  • The interplay between monetary and fiscal policy in a small open economy (Øistein Røisland, Tommy Sveen and Ragnar Torvik)
  • Monitoring multicountry macroeconomic risk (Dimitris Korobilis and Maximilian Schröder)
  • Probabilistic Quantile Factor Analysis (Dimitris Korobilis and Maximilian Schröder)
  • Where do they care? The ECB in the media and inflation expectations (Vegard Høghaug Larsen, Nicolò Maffei-Faccioli and Laura Pagenhardt)
  • Nowcasting GDP with a pool of factor models and a fast estimation algorithm (Sercan Eraslan and Maximilian Schröder)
    • Forthcoming in: International Journal of Forecasting
  • Dominant Drivers of National Inflation (Jan Ditzen and Francesco Ravazzolo)
  • Macroeconomic uncertainty and bank lending (Ragnar E. Juelsrud and Vegard H. Larsen)
  • The household effects of mortgage regulation (Knut Are Aastveit, Ragnar Enger Juelsrud and Ella Getz Wold)
  • Inflation expectations and the pass-through of oil prices (Knut Are Aastveit, Hilde C. Bjørnland and Jamie Cross).
  • Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs (Jamie L. Cross, Chenghan Hou, Gary Koop and Aubrey Poon).
  • A composite likelihood approach for dynamic structural models (Fabio Canova and Christian Matthes). Published in: The Economic Journal , Vol. 131, pages 2447-2477.
  • Dealing with misspecification in macroeconometric models (Fabio Canova and Christian Matthes). Published in: Quantitative Economics, Volume 12, Issue 2 (May 2021)
  • Components of uncertainty (Larsen). Published in: International Economic Review, Vol. 62, No. 2, May 2021 DOI:  https://doi.org/10.1111/iere.12499
  • The macroeconomics of COVID-19: a two-sector interpretation (Mehlum and Torvik).
    • Published in: Review of Keynesian Economics, 2021, Vol. 9 No. 2, Summer 2021, pp. 165–174, DOI: https://doi.org/10.4337/roke.2021.02.01
  • Time-Varying Trend Models for Forecasting Inflation in Australia (Cross, Zhang and Guo)
  • News media vs. FRED-MD for macroeconomic forecasting (Ellingsen, Larsen and Thorsrud)
  • Behavioral changes and policy effects during Covid-19 (Anundsen, Kivedal and Larsen)
  • Proper scoring rules for evaluating asymmetry in density forecasting (Iacopini, Ravazzolo and Rossini)
  • Macroeconomics in the time of the Corona (Mehlum and Torvik)
  • News-driven inflation expectations and information rigidities (Larsen, Thorsrud and Zhulanova). Published in: Journal of Monetary Economics, 2020, https://doi.org/10.1016/j.jmoneco.2020.03.004
  • The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway (Olsen and Wieslander)
  • Macroeconomic Forecasting with Large Bayesian VARs: Global-local priors and the Illusion of Sparsity (Cross, Hou and Poon). Published in: International Journal of Forecasting, Volume 36, Issue 3, July–September 2020, Pages 899-915
  • Mending the broken link: heterogeneous bank lending and monetary policy pass-through (Altavilla, Canova and Ciccarelli). Published in: Journal  of  Monetary Economics, Volume 110, April 2020, Pages 81-98
  • Detecting and Analyzing the Effects of Time-Varying Parameters in DSGE Models (Canova, Ferroni and Matthes). Published in: International Economic Review, Vol. 61, No. 1, February 2020
  • Growth with Age-Dependent Preferences (Mehlum, Torvik and Valente) Published in: Journal of International Trade & Economic Development, 2020
  • Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model (Binning, Bjørnland and Maih)
  • A New Economic Framework: A DSGE Model with Cryptocurrency (Asimakopoulos, Lorusso and Ravazzolo)
  • Narrative monetary policy surprises and the media (Ter Ellen, Larsen and Thorsrud)
  • 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
  • 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). Published in: International Journal of Forecasting, 2019, 35(2), 485-501
  • Residential investment and recession predictability (Aastveit, Anundsen and Herstad). Published in: International Journal of Forecasting: 2019, Vol. 35(4), pp. 1790-1799
  • 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 endogenous synchronization 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).
    • Published in: Oxford Bulletin of Economics and Statistics, 2020, 82: 285-310. 
    • Working Paper (2016)
  • 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)