Immigration and the macroeconomy : some new empirical evidence

Proponemos un nuevo esquema de identificación VAR que nos permite separar perturbaciones migratorias de otras perturbaciones macroeconómicas. La identificación se logra imponiendo restricciones de signo a datos noruegos para el período I TR 1990-II TR 2014. La disponibilidad de series trimestrales para la inmigración neta es crucial para lograr identificación. En particular, la inmigración es una variable endógena en el modelo y puede responder al estado de la economía. Encontramos que las perturbaciones de oferta de mano de obra doméstica y las perturbaciones migratorias están bien identificadas y son los principales impulsores de la dinámica migratoria. Una perturbación exógena de inmigración reduce el desempleo (incluso entre los trabajadores nativos), tiene un pequeño efecto positivo sobre los precios y sobre las finanzas públicas, no afecta a los precios de la vivienda ni al crédito de los hogares y tiene un efecto negativo sobre la productividadWe propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 - 2014Q2. The availability of a quarterly series for net immigration is crucial to achieving identification. Notably, immigration is an endogenous variable in the model and can respond to the state of the economy. We find that domestic labour supply shocks and immigration shocks are well identified and are the dominant drivers of immigration dynamics. An exogenous immigration shock lowers unemployment (even among native workers), has a small positive effect on prices and on public finances, no impact on house prices and household credit, and a negative effect on productivit

Optimal merverdibeskatning av mediemarkeder : en tosidig analyse

Våre analyser gjennomført i Hotelling- og Saloprammeverket tyder på at anvendte beskatningsregimer i mediemarkeder ikke er samfunnsmessig optimale. En lav brukerbeskatning bidrar til en høyere brukerpris, overetablering og underannonsering. Vi mistenker at slike reguleringer er basert på analyser av ensidige markeder. Vår oppgave understreker at det er svært viktig for myndighetene å ta hensyn til tosidighet. Vi finner at bruk av differensiert merverdibeskatning i annonse- og brukermarkedet kan være effektivt for å regulere annonsevolum, etablering, kvalitet og lokalisering mot sosialt optimum. Vår analyse bidrar til eksisterende forskning ved at vi er de første til å analysere merverdibeskatning i Saloprammeverket og differensieringskostnader i Hotelling. Denne utredningen er gjennomført som et ledd i masterstudiet i økonomisk-administrative fag ved Norges Handelshøyskole og godkjent som sådan. Godkjenningen innebærer ikke at høyskolen innestår for de metoder som er anvendt, de resultater som er fremkommet eller de konklusjoner som er trukket i arbeidet

Quantifying macroeconomic uncertainty in Norway

This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the uncertainty forecasts. This approach helps provide deeper insights into the macroeconomic uncertainty surrounding forecasts than more traditional time-series models, where uncertainty is usually symmetric and with limited time-variation. Formal tests, such as the log score and the Continuous Ranked Probability Score (CRPS), show that using informative indicators tend to improve density forecasts, particularity in the medium run.publishedVersio

A SMARTer way to forecast

In this paper we describe the newly developed System for Model Analysis in Real Time (SMART) used for forecasting and model analysis in Norges Bank. While the long-term goal is to include all empirical models used in forecasting in Norges Bank, the emphasis in this paper will be on the empirical model systems for inflation and GDP. SMART builds on Norges Bank’s previous System for Averaging short-term Models (SAM), but with greater flexibility and a richer set of models. In addition, SMART contains a real-time database with a wide-ranging set of historical data, forecasts from empirical models, Norges Bank’s forecasts from Monetary Policy Reports (MPR) and forecasts from other institutions (e.g. Statistics Norway). Overall, SMART seems to provide good forecasts and will be a useful tool in the monetary policy process.publishedVersio

House Prices, Credit and the Effect of Monetary Policy in Norway: Evidence from Structural VAR Models

This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is large, while the effect on household credit is muted. This is consistent with a relatively small refinancing rate of the mortgage stock each quarter. Using monetary policy to guard against - financial instability by mitigating property-price movements may prove effective, but trying to mitigate household credit may prove costly in terms of GDP and inflation variation.publishedVersio

Effects of a New Monetary Policy Loss Function in NEMO

In this memo we provide technical documentation of the impulse responses to some representative shocks in NEMO. The impulse responses are shown both with the new specification of the monetary policy loss function presented in MPR 1/12 and with the specification used in the recent MPRs. The new monetary policy loss function entails a somewhat higher weight on output than the old. In addition, weight on deviations of the key policy rate from a simple rule in the old loss function is replaced by weight on deviations of the key policy rate from a normal level. In general, with the new loss function, the interest rate response to supply shocks will be smaller than with the old loss function. The interest rate responses to demand shocks have not changed much, while the response from an exchange rate shock is marginally smaller with the new loss function than with the ol

House Prices, Credit and the Effect of Monetary Policy in Norway: Evidence from Structural VAR Models

This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is large, while the effect on household credit is muted. This is consistent with a relatively small refinancing rate of the mortgage stock each quarter. Using monetary policy to guard against - financial instability by mitigating property-price movements may prove effective, but trying to mitigate household credit may prove costly in terms of GDP and inflation variation

Model Estimates of the Output Gap

This paper documents a set of models used by Norges Bank in estimating the output gap. The models take into account developments in key cyclical indicators such as GDP, unemployment, inflation, wage growth, investment, house prices and credit growth. As the output gap cannot be observed, there is no direct way of evaluating the estimated output gap. Criteria for a good estimate of the output gap can, however, be the extent to which the output gap estimates provide information about future developments in GDP growth, inflation and unemployment. Measured this way, the models have good forecasting properties compared with simple trend estimations solely based on GDP data. The forecasting properties for an average of the models are shown to be better than for each individual model. The models' estimates of the output gap also have relatively good real-time properties

Estimates of the Neutral Rate of Interest in Norway

In this paper, we estimate the neutral real rate for the Norwegian economy using two different empirical models, a vector autoregressive model with time-varying parameters (TVP-VAR) and a State-Space (SS) model similar to the Laubach-Williams model, respectively. In line with international evidence, all estimates indicate a falling trend. Furthermore, the estimates for Norway suggest that the Norwegian neutral short-term money market rate is now close to 0 percent in real terms.publishedVersio

Effects of a New Monetary Policy Loss Function in NEMO

In this memo we provide technical documentation of the impulse responses to some representative shocks in NEMO. The impulse responses are shown both with the new specification of the monetary policy loss function presented in MPR 1/12 and with the specification used in the recent MPRs. The new monetary policy loss function entails a somewhat higher weight on output than the old. In addition, weight on deviations of the key policy rate from a simple rule in the old loss function is replaced by weight on deviations of the key policy rate from a normal level. In general, with the new loss function, the interest rate response to supply shocks will be smaller than with the old loss function. The interest rate responses to demand shocks have not changed much, while the response from an exchange rate shock is marginally smaller with the new loss function than with the ol