Time‐Varying Dynamics of the Norwegian Economy
| Autor: | Q. Farooq Akram, Haroon Mumtaz |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Counterfactual thinking
Economics and Econometrics Stochastic volatility Great Moderation Inflation targeting media_common.quotation_subject 05 social sciences Monetary policy Norwegian language.human_language Interest rate Economy 0502 economics and business Economics language 050207 economics Volatility (finance) 050205 econometrics media_common |
| Zdroj: | The Scandinavian Journal of Economics. 121:407-434 |
| ISSN: | 1467-9442 0347-0520 |
| DOI: | 10.1111/sjoe.12270 |
| Popis: | We use TVP-VAR models to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. Notably, we find that inflation persistence falls during the inflation targeting period, while the volatility of inflation and nominal exchange rates increases. Observed time variation in correlations between interest rates and the macro variables largely reflect prevailing monetary policy regimes. An increase in the correlations between oil prices and other macro variables over time is also documented. A counterfactual analysis discusses the observed time-varying dynamics of the Norwegian economy in the light of monetary policy and oil price shocks. This article is protected by copyright. All rights reserved. |
| Databáze: | OpenAIRE |
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