SwePub - sökning: WFRF:(Österholm Pär)

Numrering	Referens	Omslagsbild	Hitta
1.	Gustafsson, Peter, et al. (författare) Macroeconomic effects of a decline in housing prices in Sweden 2016 Ingår i: Journal of Policy Modeling. - : Elsevier. - 0161-8938 .- 1873-8060. ; 38:2, s. 242-255 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.
2.	Stockhammar, Pär, et al. (författare) Do inflation expectations granger cause inflation? 2018 Ingår i: Economia Politica. - : Springer. - 1120-2890 .- 1973-820X. ; 35:2, s. 403-431 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.
3.	Stockhammar, Pär, et al. (författare) Effects of US Policy uncertainty on Swedish GDP growth 2016 Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 50:2, s. 443-462 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.
4.	Stockhammar, Pär, et al. (författare) The Impact of US Uncertainty Shocks on Small Open Economies 2017 Ingår i: Open Economies Review. - : Springer. - 0923-7992 .- 1573-708X. ; 28:2, s. 347-368 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.
5.	Österholm, Pär, 1974-, et al. (författare) The euro crisis and Swedish GDP growth – a study of spillovers 2014 Ingår i: Applied Economics Letters. - : Taylor & Francis. - 1350-4851 .- 1466-4291. ; 21:16, s. 1105-1110 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.
6.	Abrego, Lisandro, et al. (författare) External Linkages and Economic Growth in Colombia : Insights from a Bayesian VAR Model 2010 Ingår i: The World Economy. - : Wiley-Blackwell. - 0378-5920 .- 1467-9701. ; 33:12, s. 1788-1810 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.
7.	Andersson, Andreas, et al. (författare) Forecasting Real Exchange Rate Trends Using Age Structure Data – The Case of Sweden 2005 Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1466-4291 .- 1350-4851. ; 12:5, s. 267-272 Tidskriftsartikel (populärvet., debatt m.m.)abstract Theory predicts that life cycle saving and consumption behaviour could cause real exchange rate variations as the age structure varies. Time series regressions show that the Swedish demographic structure has significant explanatory power on the real exchange rate during 1960 to 2002. A model using age shares as regressors is used for medium-term out-of-sample forecasts, which perform well both compared to na ve forecasts and forecasts based on an autoregressive model.
8.	Andersson, Andreas, et al. (författare) Population Age Structure and Real Exchange Rates in the OECD 2006 Ingår i: International Economic Journal. ; 20:1, s. 1-18 Tidskriftsartikel (refereegranskat)
9.	Andersson, Andreas, et al. (författare) The Impact of Demography on the Real Exchange Rate 2001 Rapport (övrigt vetenskapligt/konstnärligt)
10.	Andersson, Andreas, et al. (författare) The impact of demography on the real exchange rate 2001 Rapport (övrigt vetenskapligt/konstnärligt)abstract Theory predicts that life cycle saving mechanisms will cause real exchange rate variations as the age structure varies. We investigate the impact of demography on the Swedish real exchange rate, measured as the real TCW index, during 1960 to 2000. Time series regressions show that the Swedish demographic structure has significant explanatory power on the real exchange rate. A model using age shares alone as regressors is used for medium term out-of-sample forecasts, outperforming both a naive forecast and forecasts based on an autoregressive model. Finally we use the estimated model in order to make forecasts of the Swedish real exchange rate up to 2015. The model predicts that the Swedish age structure will have a depreciating effect on the real exchange rate up to 2007 followed by an appreciating effect in the end of the forecasting period.
11.	Andersson, Fredrik N G, et al. (författare) Inflation illiteracy - a micro-data analysis 2023 Ingår i: Sveriges Riksbank Economic Review. - 2001-029X. ; 2023:2, s. 106-119 Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract Using micro-level survey data from the National Institute of EconomicResearch’s Economic Tendency Survey, we find that a relatively largeshare of Swedish households is ill-informed about the rate of inflation inthe economy, with perceived and expected rates of inflation deviatingsubstantially from official measures. Probit analysis of the data indicatesthat such inflation illiteracy is related to respondent characteristics,including income, education and sex. Finally, we show that the treatmentof extreme-value answers has a substantial effect on the aggregated timeseries typically reported and discussed.
12.	Antipin, Jan-Erik, et al. (författare) Forecasting Inflation Using Constant Gain Least Squares 2014 Ingår i: Australian Economic Papers. - : John Wiley & Sons. - 0004-900X .- 1467-8454. ; 53:1-2, s. 2-15 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.
13.	Antipin, Jan-Erik, et al. (författare) On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate 2014 Ingår i: Applied Economics Quarterly. - Berlin : Duncker & Humblot. - 1611-6607 .- 1865-5122. ; 60:4, s. 315-336 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.
14.	Apel, Mikael, et al. (författare) Alltför långtgående slutsatser om implikationerna av sekulär stagnation för penningpolitiken 2017 Ingår i: Ekonomisk Debatt. - Stockholm : Nationalekonomiska Föreningen. - 0345-2646. ; 45:7, s. 65-67 Tidskriftsartikel (populärvet., debatt m.m.)
15.	Armelius, Hanna, et al. (författare) The evolution of the natural rate of interest : evidence from the Scandinavian countries 2024 Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 66:4, s. 1633-1659 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.
16.	Assarsson, Bengt, et al. (författare) Do Swedish Consumer Confidence Indicators Do What They Are Intended to Do? 2015 Ingår i: Applied Economics Quarterly. - Berlin : Dunker & Humblot. - 1611-6607 .- 1865-5122. ; 61:4, s. 391-404 Tidskriftsartikel (refereegranskat)abstract In this paper, we investigate whether the two main consumer confidence indicators available for Sweden – that of the National Institute of Economic Research and that of the European Commission – can nowcast Swedish household consumption expenditure. In a simulated out-of-sample nowcast exercise, we find that the consumer confidence indicator of the National Institute of Economic Research appears most useful for this purpose. The root mean square error of the nowcast from the model employing this indicator is the lowest of all models relying on survey data. The nowcasting performance of the model using the consumer confidence indicator of the European Commission is less impressive; while it outperforms the simplest possible benchmark model, its root mean square error is considerably higher than that of the model relying on the consumer confidence indicator of the National Institute of Economic Research. An implication of our findings is that while the European Commission’s survey programme may have been successful in creating a set of harmonised data for the member countries of the European Union, it is not obvious that the harmonised indicators are the most relevant ones for analysis, nowcasting or forecasting in each country.
17.	Beechey, Meredith, et al. (författare) A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy 2008 Ingår i: The Economic Record. - : Wiley. - 0013-0249 .- 1475-4932. ; 84:267, s. 449-465 Tidskriftsartikel (refereegranskat)abstract This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar.
18.	Beechey, Meredith, 1973-, et al. (författare) Central bank forecasts of policy interest rates : An evaluation of the first years 2014 Ingår i: Economic notes - Monte dei Paschi di Siena. - : John Wiley & Sons. - 0391-5026 .- 1468-0300. ; 43:1, s. 63-78 Tidskriftsartikel (refereegranskat)abstract In recent years, the central banks of Norway and Sweden have published their endogenous policy interest‐rate forecasts. In this paper, we evaluate those forecasts alongside policy‐rate expectations inferred from market pricing. We find that for both economies, there are only small differences in relative forecasting precision between the central bank and market‐implied measures. However, both types of forecast fail tests for unbiasedness and efficiency at longer horizons.
19.	Beechey, Meredith, et al. (författare) Estimating the US trend short-term interest rate 2023 Ingår i: Finance Research Letters. - : Elsevier. - 1544-6123 .- 1544-6131. ; 55:Part A Tidskriftsartikel (refereegranskat)abstract We estimate the trend short-term interest rate in the United States using an unobserved-components stochastic-volatility model with interest-rate and survey data from 1998Q2 to 2022Q4. Our results indicate that the trend short-term interest rate has drifted down during most of the sample and remains low in a historical perspective, despite the recent sharp increase in the short-term interest rate.
20.	Beechey, Meredith, et al. (författare) Forecasting inflation in an inflation-targeting regime : A role for informative steady-state priors 2010 Ingår i: International Journal of Forecasting. - : Elsevier. - 0169-2070 .- 1872-8200. ; 26:2, s. 248-264 Tidskriftsartikel (refereegranskat)abstract Inflation targeting as a monetary-policy regime is widely associated with an explicit numerical target for the rate of inflation. This paper investigates whether the forecasting performance of Bayesian autoregressive models can be improved by incorporating information about the target. We compare a mean-adjusted specification, which allows an informative prior on the distribution for the steady state of the process, to traditional methodology. We find that the out-of-sample forecasts of the mean-adjusted autoregressive model outperform those of the traditional specification, often by non-trivial amounts, for five early adopters of inflation targeting. It is also noted that as the sample lengthens, the posterior distribution of steady-state inflation narrows more for countries with explicit point targets.
21.	Beechey, Meredith, 1973-, et al. (författare) Policy interest-rate expectations in Sweden : a forecast evaluation 2014 Ingår i: Applied Economics Letters. - : Taylor & Francis. - 1350-4851 .- 1466-4291. ; 21:14, s. 984-991 Tidskriftsartikel (refereegranskat)abstract In this article, we evaluate two types of Swedish policy interest-rate expectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of financial-market economists and from Swedish financial markets, and they are carefully matched by date to ensure comparability. Results show that both kinds of expectations suffer from bias and inefficiency, and in terms of forecast precision there is no clear winner. We do find, though, evidence that the forecast accuracy of both kinds of policy-rate expectations has improved since the Riksbank started publishing its own policyrate forecast, suggesting that this communication strategy has been beneficial from a policy perspective.
22.	Beechey, Meredith, et al. (författare) Revisiting the uncertain unit root in GDP and CPI : Testing for non-linear trend reversion 2008 Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765 .- 1873-7374. ; 100:2, s. 221-223 Tidskriftsartikel (refereegranskat)abstract We test for the presence of a unit root in U.S. GDP and CPI, allowing for non-linear trend reversion under the alternative hypothesis. In contrast to most previous results, we find evidence in favour of trend stationarity for both variables.
23.	Beechey, Meredith, et al. (författare) Testing the expectations hypothesis when interest rates are near integrated 2009 Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266 .- 1872-6372. ; 33:5, s. 934-943 Tidskriftsartikel (refereegranskat)abstract Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in 10 of the 14 countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia.
24.	Beechey, Meredith, et al. (författare) The Rise and Fall of U.S. Inflation Persistence 2007 Rapport (övrigt vetenskapligt/konstnärligt)abstract This paper estimates the path of inflation persistence in the United States over the last 50 years and draws implications about the evolution of the Federal Reserve's monetary policy preferences. Standard models of central bank optimization predict that the central bank's preference for output stability is a determinant of inflation persistence. Hence, time variation of that preference should be reflected in changes in inflation persistence. We estimate an ARMA(1,q) model with a time-varying autoregressive parameter for monthly U.S. inflation data from 1955 to 2006.The coefficients provide an estimate of the inflation target and the path of inflation persistence. The estimated inflation target over the sample is approximately 2.8 percent and we find that inflation persistence declined substantially during Volcker and Greenspan's tenures to a level significantly less than one and significantly below that of the 1970s and early 1980s.
25.	Beechey, Meredith, 1973-, et al. (författare) The Rise and Fall of U.S. Inflation Persistence 2012 Ingår i: The International Journal of Central Banking. - : Association of the International Journal of Central Banking. - 1815-4654 .- 1815-7556. ; 8:3, s. 55-86 Tidskriftsartikel (refereegranskat)abstract We estimate the path of inflation persistence in the United States over the last 50 years using an ARMA model of inflation with time-varying autoregressive parameter. The model is motivated by the familiar New-Keynesian framework which, paired with a common model of monetary-policy optimization, predicts that the central bank’s relative preference for output stability is a determinant of inflation persistence. As such, time variation of the relative preference for output stability can generate time-varying inflation persistence. The estimated ARMA model provides an estimate of the inflation objective and the path of inflation persistence. The estimated path of inflation persistence is consistent with a general reading of Federal Reserve history; inflation persistence is estimated to have declined substantially during Volcker and Greenspan’s tenures from the high persistence of the 1970s. Interpreted in light of the theoretical framework, the results suggest that the Federal Reserve has placed increasing weight on inflation stability in recent decades.
26.	Beechey, Meredith, 1973-, et al. (författare) Time-varying inflation persistence in the Euro area 2009 Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 26:2, s. 532-535 Tidskriftsartikel (refereegranskat)abstract This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour.
27.	Berger, Helge, et al. (författare) A note of caution on the relation between money growth and inflation 2023 Ingår i: Scottish Journal of Political Economy. - : John Wiley & Sons. - 0036-9292 .- 1467-9485. ; 70:5, s. 479-496 Tidskriftsartikel (refereegranskat)abstract We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect of money growth on inflation weakened notably after the 1980s before strengthening after 2020. There is evidence that this time variation is related to the pace of price changes, as we find that the maximum impact of money growth on inflation is increasing in the trend level of inflation. These results caution against asserting a simple, time-invariant relationship when modeling the joint dynamics of monetary aggregates and consumer prices.
28.	Berger, Helge, et al. (författare) Does Money Granger Cause Inflation in the Euro Area? : Evidence from Out-of-Sample Forecasts Using Bayesian VARs 2011 Ingår i: The Economic Record. - : Wiley-Blackwell. - 0013-0249 .- 1475-4932. ; 87:276, s. 45-60 Tidskriftsartikel (refereegranskat)abstract We use Bayesian estimation techniques to assess whether money growth Grangercauses inflation in the USA. We investigate the issue of Granger-causality out-of-sample and find that including money growth in simple VAR models of inflation does systematically improve out-of-sample forecasting accuracy. This holds for a long forecasting sample 1960–2005, as well for more recent subperiods, including the Volcker and Greenspan eras. However, the contribution of money to inflation forecasting accuracy is quantitatively limited and tends to be close to negligible in recent subperiods.
29.	Berger, Helge, et al. (författare) Does Money Growth Granger-Cause Inflation in the Euro Area? : Evidence from Out-of-Sample Forecasts Using Bayesian VARs 2007 Rapport (övrigt vetenskapligt/konstnärligt)abstract We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth Granger-causes inflation in the euro area. Based on data from 1970 to 2006 and forecasting horizons of up to 12 quarters, there is surprisingly strong evidence that including money improves forecasting accuracy. The results are very robust with regard to alternative treatments of priors and sample periods. That said, there is also reason not to overemphasize the role of money. The predictive power of money growth for inflation is substantially lower in more recent sample periods compared to the 1970s and 1980s. This cautions against using money-based inflation models anchored in very long samples for policy advice.
30.	Berger, Helge, et al. (författare) Does Money matter for U.S. Inflation? : Evidence from Bayesian VARs 2011 Ingår i: CESifo Economic Studies. - : Oxford University Press. - 1610-241X .- 1612-7501. ; 57:3, s. 531-550 Tidskriftsartikel (refereegranskat)abstract We use Bayesian estimation techniques to assess whether money growth Granger causes inflation in the USA. We investigate the issue of Granger-causality out-of-sample and find that including money growth in simple VAR models of inflation does systematically improve out-of-sample forecasting accuracy. This holds for a long forecasting sample 1960–2005, as well for more recent subperiods, including the Volcker and Greenspan eras. However, the contribution of money to inflation forecasting accuracy is quantitatively limited and tends to be close to negligible in recent subperiods.
31.	Berger, Helge, et al. (författare) Does money still matter for U.S. output? 2009 Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 102:3, s. 143-146 Tidskriftsartikel (refereegranskat)abstract In this note, we use an out-of-sample approach to investigate whether money growth Granger-causes output growth in the United States. We find that after the ‘Great moderation,’ the Granger-causal role of money appears to have vanished completely.
32.	Billstam, Maria, et al. (författare) Quasi-Real-Time Data of the Economic Tendency Survey 2017 Ingår i: Journal of Business Cycle Research. - : Springer. - 2509-7962 .- 2509-7970. ; 13:1, s. 105-138 Tidskriftsartikel (refereegranskat)abstract Survey data from businesses and households are widely used for forecasting and economic analysis. In Sweden, the most important survey of this kind is the Economic Tendency Survey of the National Institute of Economic Research. A shortcoming with this survey is that real-time data of it largely are unavailable. In this paper, we describe how two quasi-real-time data sets of this survey have been constructed – one monthly and one quarterly. The term “quasi-real-time data” refers to data which are not actual real-time data but have been created in order to provide a close approximation to real-time data. The data sets consist of monthly/quarterly vintages of the most important series of the survey, including the main confidence indicators. A natural usage of these data sets is evaluations of model-based forecasts and nowcasts. We illustrate this with an application to Swedish GDP growth. This shows that several of the studied indicators from the Economic Tendency Survey appear to have positive nowcast content for GDP growth.
33.	Carlsson, Mikael, et al. (författare) Testing for Purchasing Power Parity in Cointegrated Panels 2008 Rapport (övrigt vetenskapligt/konstnärligt)abstract This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent float period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Although the shortcomings of previous methods do matter in various cases, the overall results are the same across approaches: The strong PPP hypothesis is forcefully rejected in favor of the weak PPP hypothesis with heterogeneous cointegrating vectors. As a consequence, the strong PPP hypothesis does not even seem to be an acceptable approximation of observed data.
34.	Dale, Spencer, et al. (författare) Imperfect Central Bank Communication : Information versus Distraction 2011 Ingår i: The International Journal of Central Banking. - : Association of the International Journal of Central Banking. - 1815-4654 .- 1815-7556. ; 7:2, s. 3-39 Tidskriftsartikel (refereegranskat)abstract Much of the information communicated by central banks is noisy or imperfect. This paper considers the potential benefits and limitations of central bank communications in a model of imperfect knowledge and learning. It is shown that the value of communicating imperfect information is ambiguous. If the public is able to assess accurately the quality of the imperfect information communicated by a central bank, such communication can inform and improve the public’s decisions and expectations. But if not, communicating imperfect information has the potential to mislead and distract. The risk that imperfect communication may detract from the public’s understanding should be considered in the context of a central bank’s communications strategy. The risk of distraction means the central bank may prefer to focus its communication policies on the information it knows most about. Indeed, conveying more certain information may improve the public’s understanding to the extent that it “crowds out” a role for communicating imperfect information.
35.	Dale, Spencer, et al. (författare) Imperfect Central Bank Communication : Information versus Distraction 2008 Rapport (populärvet., debatt m.m.)abstract Much of the information communicated by central banks is noisy or imperfect. This paper considers the potential benefits and limitations of central bank communications in a model of imperfect knowledge and learning. It is shown that the value of communicating imperfect information is ambiguous. If the public is able to assess accurately the quality of the imperfect information communicated by a central bank, such communication can inform and improve the publics decisions and expectations. But if not, communicating imperfect communication has the potential to mislead and distract. The risk that imperfect communication may detract from the publics understanding should be considered in the context of a central banks communications strategy. The risk of distraction means the central bank may prefer to focus its communication policies on the information it knows most about. Indeed, conveying more certain information may improve the publics understanding to the extent that it "crowds out" a role for communicating imperfect information.
36.	Danielsson, Petter, et al. (författare) En prognosutvärdering av inflations- och löneförväntningarna i Prospera-enkäten 2020 Ingår i: Ekonomisk Debatt. - Lund : Nationalekonomiska föreningen. - 0345-2646. ; 48:5, s. 26-37 Tidskriftsartikel (populärvet., debatt m.m.)abstract I denna artikel analyseras inflations- och löneförväntningarna i Prospera-enkäten ur ett prognosperspektiv. Resultaten indikerar att alla grupper i enkäten förefaller att på samtliga prognoshorisonter systematiskt ha överskattat inflationsutfallen. Löneförväntningarna verkar å andra sidan i viss utsträckning ha underskattat utfallen i lönetillväxt, åtminstone på den kortaste prognoshorisonten. Det finns även indikationer på att såväl inflations- som löneförväntningarna inte är effektiva ur ett prognoshänseende. Sammantaget förefaller det som om förväntningarna i Prospera-enkäten har vissa brister rörande väntevärdesriktighet och prognoseffektivitet. Beträffande prognosprecision kan det noteras att penningmarknadsaktörerna är den mest träffsäkra gruppen när det gäller inflationsförväntningarna medan arbetstagarorganisationerna har högst prognosprecision på ett- och tvåårshorisonten rörande löneförväntningarna.
37.	Flodberg, Caroline, et al. (författare) A Statistical Analysis of Revisions of Swedish National Accounts Data 2017 Ingår i: Finnish economic papers. - : Taloustieteellinen Yhdistys. - 0784-5197. ; 28:1, s. 10-33 Tidskriftsartikel (refereegranskat)abstract In this paper, we study revisions of Swedish national accounts data. Three aspects of the revisions are considered: volatility, unbiasedness and forecast efficiency. Our results indicate that the properties of the revisions are more problematic for the production side than for the expenditure side. The high volatility of the revisions on the production side indicates that it is generally difficult to make clear cut statements concerning production across industries within the business sector based on the initial data release; it is also likely to make forecasting more difficult.
38.	Fregert, Klas, et al. (författare) Europa med nationalräkenskapsmått 2017. - 12 Ingår i: Marknad och politik. - Lund : Studentlitteratur. - 9789144119328 ; , s. 353-372 Bokkapitel (populärvet., debatt m.m.)
39.	Gustavsson, Magnus, et al. (författare) Does the Labor-Income Process Contain a Unit Root? : Evidence from Individual-Specific Time Series 2010 Rapport (övrigt vetenskapligt/konstnärligt)abstract Employing econometric methods for univariate time series, this paper investigates the empirical validity of assuming a unit root in individuals’ labor-income processes. Using a Swedish register-based longitudinal dataset which allows us to follow a cohort of workers from 1968 to 2005, we are able to obtain distributions of median unbiased estimates of localto-unity parameters. The results indicate that earnings for the representative worker are governed by a process where shocks to earnings have fairly high persistence but are both economically and statistically significantly different from having permanent effects; that is, the largest autoregressive root is less than unity. These results add to the studies that question the heavy use of unit-root processes for earnings in calibrations of life-cycle models.
40.	Gustavsson, Magnus, 1972-, et al. (författare) Does the labor-income process contain a unit root? : Evidence from individual-specific time series 2014 Ingår i: Journal of Economic Dynamics and Control. - : Elsevier. - 0165-1889 .- 1879-1743. ; 47, s. 152-167 Tidskriftsartikel (refereegranskat)abstract Calibrations of models related to life-cycle behavior of consumption and saving often invoke the important assumption of a unit root in individuals' labor-income process. We for the first time test this assumption using methods for univariate time series. Based on longitudinal register data from 1968 to 2005, we first estimate an autoregressive model for each individual using a method for approximately median-unbiased estimation. We then exploit the resulting distribution of the individual-specific estimates to draw inference about the presence of a unit root. Results indicate that earnings for the representative worker are governed by a process where shocks to earnings have moderate persistence and are both economically and statistically significantly different from having permanent effects. These results question the heavy use of unit-root processes for earnings.
41.	Gustavsson, Magnus, et al. (författare) Does Unemployment Hysteresis Equal Employment Hysteresis? 2006 Rapport (övrigt vetenskapligt/konstnärligt)abstract This paper investigates if conclusions regarding labour market hysteresis differ depending on whether employment or unemployment rates are studied. Applying a range of unit-root tests to monthly data from Australia, Austria, Canada, Finland, Sweden, the U.K. and the U.S., we find results for employment rates that contrast those based on unemployment rates. In particular, rather than the mixed evidence for hysteresis found using unemployment rates, employment rates result in unequivocal evidence of hysteresis in Australia, Canada and the U.S.. These findings cast doubt on previous conclusions in the literature.
42.	Gustavsson, Magnus, et al. (författare) Does Unemployment Hysteresis Equal Employment Hysteresis? 2007 Ingår i: The Economic Record. - : Wiley. - 0013-0249 .- 1475-4932. ; 83:261, s. 159-173 Tidskriftsartikel (refereegranskat)abstract This paper investigates if conclusions regarding labour market hysteresis differ depending on whether employment or unemployment rates are studied. Applying a range of unit-root tests to monthly data from Australia, Austria, Canada, Finland, Sweden, the U.K. and the U.S., we find results for employment rates that contrast those based on unemployment rates. In particular, rather than the mixed evidence for hysteresis found using unemployment rates, employment rates result in unequivocal evidence of hysteresis in Australia, Canada and the U.S.. These findings cast doubt on previous conclusions in the literature.
43.	Gustavsson, Magnus, 1972-, et al. (författare) Hysteresis and Non-Linearities in Unemployment Rates 2006 Ingår i: Applied Economics Letters. - 1350-4851 .- 1466-4291. ; 13:9, s. 545-548 Tidskriftsartikel (refereegranskat)
44.	Gustavsson, Magnus, et al. (författare) Labor-Force Participation Rates and the Informational Value of Unemployment Rates : Evidence from Disaggregated US Data 2010 Rapport (övrigt vetenskapligt/konstnärligt)abstract The informational value of the aggregate US unemployment rate has recently been questioned because of a unit root in the labor-force participation rate; the lack of mean reversion implies that long-run changes in unemployment rates are highly unlikely to reflect long-run changes in joblessness. This paper shows that this critique also extends to unemployment rates for sub-populations, such as prime-aged males.
45.	Gustavsson, Magnus, et al. (författare) Labor-force participation rates and the informational value of unemployment rates : Evidence from disaggregated US data 2012 Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 116:3, s. 408-410 Tidskriftsartikel (refereegranskat)abstract The informational value of the aggregate US unemployment rate has recently been questioned because of a unit root in the labor-force participation rate; the lack of mean reversion implies that long-run changes in unemployment rates are highly unlikely to reflect long-run changes in joblessness. This note shows that this critique also extends to unemployment rates for sub-populations, such as prime-aged males.
46.	Gustavsson, Magnus, et al. (författare) Mean reversion in the US unemployment rate - evidence from bootstrapped out-of-sample forecasts 2011 Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 18:7, s. 643-646 Tidskriftsartikel (refereegranskat)abstract This article investigates whether the US unemployment rate is best described as a unit-root or mean-reverting process. An out-of-sample forecast exercise is conducted in which the performance of an autoregressive (AR) model with an imposed unit root is compared with that of a mean-reverting AR model. A bootstrap distribution for the relative root mean square forecast error is generated and provides strong support for mean reversion in the US unemployment rate.
47.	Gustavsson, Magnus, et al. (författare) The informational value of unemployment statistics : A note on the time series properties of participation rates 2006 Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 92:3, s. 428-433 Tidskriftsartikel (refereegranskat)abstract Using a battery of unit root tests, we show that labor force participation rates in Australia, Canada and the U.S. are non-stationary. This implies that great care is needed before unemployment rates are used as measures of joblessness.
48.	Gustavsson, Magnus, et al. (författare) The Informational Value of Unemployment Statistics : A note on the time series properties of participation rates 2006 Ingår i: Economics Letters. - 0165-1765 .- 1873-7374. ; 92:3, s. 428-433 Tidskriftsartikel (refereegranskat)
49.	Gustavsson, Magnus, et al. (författare) The presence of unemployment hysteresis in OECD : what can we learn from out-of-sample forecasts? 2010 Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 38:3, s. 779-792 Tidskriftsartikel (refereegranskat)abstract This paper investigates the relevance of unemployment hysteresis in seventeen OECD countries. We employ an out-of-sample forecast exercise in which a mean-reverting autoregressive model is compared to an autoregressive model with an imposed unit root. A substantial difference in forecasting performance between the two models is established for many countries, but the results are mixed in their strength. The evidence for unemployment hysteresis in Austria, Finland, Iceland, Israel, Italy, Japan and Sweden is, however, convincing. For no country can unambiguous support for a mean reverting unemployment rate be found.
50.	Hjalmarsson, Erik, 1975, et al. (författare) A micro-data analysis of households’ expectations of mortgage rates 2019 Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765 .- 1873-7374. ; 185 Tidskriftsartikel (refereegranskat)abstract We analyse micro-level survey data, ranging from 2010 to 2017, on Swedish households’ mortgage-rate expectations. Our key finding is that expectations at the longest horizon are significantly related to age, where the youngest age group has the lowest expectations.

Skapa referenser, mejla, bekava och länka

Länka till träfflistan

Träfflista för sökning "WFRF:(Österholm Pär) "

Avgränsa träffmängd

År