| 1. |
- Gustafsson, Peter, et al.
(författare)
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Macroeconomic effects of a decline in housing prices in Sweden
- 2016
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Ingår i: Journal of Policy Modeling. - : Elsevier. - 0161-8938 .- 1873-8060. ; 38:2, s. 242-255
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Tidskriftsartikel (refereegranskat)abstract
- Real housing prices in Sweden have roughly doubled the last 15 years. The rise in housing prices has coincided with a rise in household debt, sparking debate about both the presence of financial imbalances in the Swedish economy and the macroeconomic effects that a correction of these imbalances would have. In this paper, we conduct a quantitative assessment of the macroeconomic effects of a considerable decline inhousing prices using a Bayesian VAR model. Results show that a 20% drop in housing prices would lead to a recession-like impact on household consumption and unemployment. The impact would be even greater if falling housing prices coincided with a global economic downturn. This information should be useful to policymakers. If a fall in housing prices were to materialize, more expansionary stabilization policies would be motivated in order to dampen the effects on the real economy.
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| 2. |
- Stockhammar, Pär, et al.
(författare)
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Do inflation expectations granger cause inflation?
- 2018
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Ingår i: Economia Politica. - : Springer. - 1120-2890 .- 1973-820X. ; 35:2, s. 403-431
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate whether survey measures of inflation expectations in Sweden Granger cause Swedish CPI inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the inclusion of inflation expectations in the models tends to improve forecast precision. However, the improvement is typically small enough that it could be described as economically irrelevant. One exception can possibly be found in the expectations of businesses in the National Institute of Economic Research's Economic Tendency Survey; when included in the models, these improve forecast precision in a meaningful way at short horizons. Taken together, it seems that the inflation expectations studied here do not provide a silver bullet for those who try to improve VAR-based forecasts of Swedish inflation. The largest benefits from using these survey expectations may instead perhaps be found among analysts and policy makers; they can after all provide relevant information concerning, for example, the credibility of the inflation target or challenges that the central bank might face when conducting monetary policy.
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| 3. |
- Stockhammar, Pär, et al.
(författare)
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Effects of US Policy uncertainty on Swedish GDP growth
- 2016
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 50:2, s. 443-462
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we study the effects of US policy uncertainty—measured as the policy uncertainty index of Baker et al. (Measuring economic policy uncertainty, 2013)—on Swedish GDP growth.Another source of spillovers of shocks to small open economies is thereby examined. We apply both Bayesian VAR models and spectral analysis to quarterly data from 1988 to 2013. Results show that increasing US policy uncertainty has significant negative effects on Swedish GDP growth. The effect seems to primarily stem from effects on investment growth and export growth. Our findings should prove useful to those who analyse and forecast the Swedish economy and potentially also other similar small open economies.
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| 4. |
- Stockhammar, Pär, et al.
(författare)
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The Impact of US Uncertainty Shocks on Small Open Economies
- 2017
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Ingår i: Open Economies Review. - : Springer. - 0923-7992 .- 1573-708X. ; 28:2, s. 347-368
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate the impact of US uncertainty shocks on GDP growth in nine small open economies: Australia, Canada, Denmark, Finland, Iceland, New Zealand, Norway, Sweden and the United Kingdom. We compare the impact of two types of shocks: i) stock market volatility shocks and ii) policy uncertainty shocks. Using quarterly data from 1986Q1 to 2016Q1, this issue is analysed using Bayesian VAR models. Our results suggest that policy uncertainty seems to matter more than stock market volatility. Stock market volatility shocks appear to robustly have significant effects on Danish GDP growth. Policy uncertainty shocks, on the other hand, reliably lowers GDP growth in all five Nordic countries in a statistically significant manner. Statistically significant effects of policy uncertainty shocks on the Anglo-Saxon countries in our sample are harder to establish and are, in our preferred specification, only found for the United Kingdom.
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| 5. |
- Österholm, Pär, 1974-, et al.
(författare)
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The euro crisis and Swedish GDP growth – a study of spillovers
- 2014
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Ingår i: Applied Economics Letters. - : Taylor & Francis. - 1350-4851 .- 1466-4291. ; 21:16, s. 1105-1110
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Tidskriftsartikel (refereegranskat)abstract
- In this article, a Bayesian VAR model is used to study the effects of euro area shocks on GDP growth in the small open economy of Sweden. A novel feature is that the new policy uncertainty index of Baker et al. (2013) is introduced in the model. The model behaves well in terms of reasonable impulse response functions. The specific effects of the euro crisis is investigated through a historical decomposition which shows that shocks to euro area GDP growth have been a reasonably important factor for Swedish GDP growth, supporting it during 2010 and holding it back thereafter. Generally, shocks to policy uncertainty have held back Swedish GDP growth during the euro crises.
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| 6. |
- Abrego, Lisandro, et al.
(författare)
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External Linkages and Economic Growth in Colombia : Insights from a Bayesian VAR Model
- 2010
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Ingår i: The World Economy. - : Wiley-Blackwell. - 0378-5920 .- 1467-9701. ; 33:12, s. 1788-1810
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the sensitivity of Colombian GDP growth to the surrounding macroeconomic environment. We estimate a Bayesian VAR model with informative steady-state priors for the Colombian economy using quarterly data from 1995 to 2007. A variance decomposition shows that world GDP growth and government spending are the most important factors, explaining roughly 17 and 16 per cent of the variance in Colombian GDP growth respectively. The model, which is shown to forecast well out-of-sample, can also be used to analyse alternative scenarios. Generating both endogenous and conditional forecasts, we show that the impact on Colombian GDP growth of a substantial downturn in world GDP growth would be non-negligible but that the decline still would be mild by historical standards.
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| 7. |
- Antipin, Jan-Erik, et al.
(författare)
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Forecasting Inflation Using Constant Gain Least Squares
- 2014
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Ingår i: Australian Economic Papers. - : John Wiley & Sons. - 0004-900X .- 1467-8454. ; 53:1-2, s. 2-15
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Tidskriftsartikel (refereegranskat)abstract
- This paper assesses the usefulness of constant gain least squares when forecasting inflation.An out-of-sample forecast exercise is conducted, in which univariate autoregressive models for inflation in Australia, Sweden, the United Kingdom and the United States are used. The results suggest that it is possible to improve the forecast accuracy by employing constant gain least squares instead of ordinary least squares. In particular, when using a gain of 0.05, constant gain least squares generally outperforms the corresponding autoregressive model estimated with ordinary least squares. In fact, at longer forecast horizons, the root mean square forecast error is reliably lowered for all four countries and for all lag lengths considered in the study.
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| 8. |
- Antipin, Jan-Erik, et al.
(författare)
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On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate
- 2014
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Ingår i: Applied Economics Quarterly. - Berlin : Duncker & Humblot. - 1611-6607 .- 1865-5122. ; 60:4, s. 315-336
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we assess the usefulness of constant gain least squares (CGLS) when forecasting the unemployment rate. Using quarterly data from 1970 to 2009, we conduct an out-of-sample forecast exercise in which univariate autoregressive models for the unemployment rate in Australia, Sweden, the United Kingdom and the United States are employed. Results show that CGLS very rarely outperforms OLS. At horizons of six to eight quarters, OLS is always associated with higher forecast precision, regardless of model size or gain employed for Australia, Sweden and the United States. Our findings suggest that while CGLS has been shown valuable when forecasting certain macroeconomic time series, it has shortcomings when forecasting the unemployment rate. One problematic feature is found to be an increased tendency for the autoregressive model to have explosive dynamics when estimated with CGLS.
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| 9. |
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| 10. |
- Armelius, Hanna, et al.
(författare)
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The evolution of the natural rate of interest : evidence from the Scandinavian countries
- 2024
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 66:4, s. 1633-1659
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, the natural rate of interest in Denmark, Norway and Sweden is estimated. This is done by augmenting the Laubach and Williams (Rev Econ Stat 85:1063-1070, 2003) framework with a dynamic factor model linked to economic indicators--a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.
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