166 research outputs found
Nonlinearities in Cross-Country Growth Regressions: A Bayesian Averaging of Thresholds (BAT) Approach
No full textWe propose a framework for assessing the existence and quantifying the effect of threshold effects in cross-country growth regressions in the presence of model uncertainty. The method is based on Bayesian model averaging tech- niques and generalizes the Bayesian Averaging of Classical Estimates (BACE) method put forward by Sala-i-Martin, Doppelhofer, and Miller (2004). We ap- ply the method presented in this paper to a set of 21 variables that have been found to be robustly related to economic growth in a cross-section of 88 coun- tries. We find no evidence of robust threshold effects generated by the initial level of GDP per capita. However, we find that the proportion of years a country has been open to trade is an important source of nonlinear effects on economic growth.
The Determinants of Economic Growth in European Regions
No full textWe use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the 1995-2005 period. We use three different specifications based on (1) the cross-section of regions, (2) the cross-section of regions with country fixed effects and (3) the cross-section of regions with a spatial autoregressive (SAR) structure. We investigate the existence of parameter heterogeneity by allowing for interactions of potential explanatory variables with geographical dummies as extra regressors. We find remarkable differences between the determinants of economic growth implied by differences between regions and those within regions of a given country. In the cross-section of regions, we find evidence for conditional convergence with speed around two percent. The convergence process between countries is dominated by the catching up process of regions in Central and Eastern Europe (CEE), whereas convergence within countries is mostly a characteristic of regions in old EU member states. We also find robust evidence of positive growth of capital cities, a highly educated workforce and a negative effect of population density.model uncertainty, spatial autoregressive model, determinants of economic growth, European regions
Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks
No full textDoppelhofer and Weeks (2009) present a statistic designed to indicate the probability that pairs of regressors appear together or individually in a Bayesian model averaged linear regression. This comment presents an alternative measure that is designed to overcome some of the limitations of Doppelhofer and Weeks' statistic. Copyright © 2009 John Wiley & Sons, Ltd
En empirisk analyse av leiepriser for kontoreiendom i Oslo 1998-2016 : med fokus på prognostisering av fremtidige leiepriser
No full textDenne utredningen presenterer en empirisk studie av den gjennomsnittlige leieprisen for
kontoreiendommer i Oslo-området i perioden 1998-2016. Utredningen undersøker hvilke
determinanter som driver leieprisene og gir videre en sammenlignende prognoseanalyse ved hjelp
av tre økonometriske modeller; ARIMA, ARIMAX og VECM. Modellene blir sammenlignet med
en naiv random-walk modell, og samtlige av de valgte modellene presterer bedre enn den naive
modellen i prognoseperioden 2015q1-2016q4. ARIMAX er den mest treffsikre modellen for
toårsperioden, etterfulgt av VECM. I ettårsprognosen for 2016 er også ARIMAX modellen den
mest treffsikre og vi observerer at den i større grad fanger opp vendepunkter i leieprisen.
Prognosen tar dog hensyn til virkelige verdier av de eksogene forklaringsvariablene og vil trolig
prestere dårligere når verdien av variablene ikke er kjent ex-ante. Tar vi denne begrensningen i
betraktning er VECM den foretrukne prognosemodellen for kontorleieprisen i Oslo-området. Vi
observerer at modellen fanger opp langsiktige trender i leieprisen, men har problemer med å fange
opp større svingninger kvartal til kvartal. VECM egner seg derfor til å predikere over lengre
perioder.
Videre identifiserer vi lange renter og arbeidsledighet som de viktigste determinantene for
leiepris i ARIMAX modellen. Ved hjelp av kointegrasjonsanalysen i VECM fant vi en langsiktig
positiv sammenheng mellom forventet nybygging og leiepris. Resultatet indikerer at det er
lønnsomt for utbyggerne å bygge nye kontorlokaler grunnet høy etterspørsel. Vi identifiserer også
en langsiktig sammenheng mellom lange renter og leiepris. Basert på empiri er dette et forventet
resultat, men likevel oppsiktsvekkende da det ceteris paribus viser at sentralbanken er forsiktig
med å føre en motsyklisk pengepolitikk. Videre identifiserer vi en signifikant negativ
sammenheng mellom arbeidsledighet og leiepris i ARIMAX modellen. Dette underbygges av
VECM sin kointegrasjonsanalyse som identifiserer en kortsiktig kausal sammenheng. Basert på
empiri var resultatet forventet da høy arbeidsledighet gir en indikasjon på lavere etterspørsel.nhhma
Economic growth – is openness to international trade beneficial?: an empirical analysis of economic growth and trade policy
No full textThis thesis attempts to answer the following research question:
“To which degree, if any, does policy open to international trade lead to increased economic
growth within a country?”
The applied measure of openness to international trade is an index that increases as a country
has less restrictions on trade, while annual growth in GDP per capita is the preferred measure
of economic growth. There is a potential problem of endogeneity in the openness index, so
four instrumental variables are suggested. These are the share of votes equal to the U.S. in the
United Nations General Assembly, number of years as member of GATT/WTO, share of
children that are immune to DPT and a country’s distance to equator.
A panel data set for up to 91 countries for the time period 1970-2011 is analysed, with
countries from all income-groups represented. First, openness is considered exogenous, and
directly applied with both an ordinary least squares-estimator and a fixed effect-estimator.
Second, the potential endogeneity bias is accounted for by use of instrumental variable
regressions.
The main results of this thesis are that there exists a negative relationship between openness to
international trade and economic growth. The result is robust to alterations of model
specification, and high-income countries have the largest reported negative effects of a ceteris
paribus increase in openness. The instrumental variables remain strong throughout the
robustness tests, and especially share of votes equal to the U.S. in the United Nations General
Assembly, number of years as member of GATT/WTO are reported as valid.nhhma
Education, corruption and growth in developing countries
No full textEducation is key in explaining growth, as emphasized recently by Krueger and Lindahl (2001). But for a given level of education, what can explain the missing growth in developing countries ? Corruption, the poor enforcement of property rights, the government share of property rights, the government share of GDP, the regulations it imposes might influence the Total Factor Productivity (TFP thereafter) of a country's economic system. A number of empirical papers emphasize the consequences bad institutions have on growth, but few are examining the link between education, corruption (more generally bad institutions) and growth. Our model assumes that at low level of GDP per head and high level of corruption education spending has no impact on growth. The slope gets positive only at above critical size of corruption. The implications are tested using the data set of Xavier Sala-i-Martin, Gernot Doppelhofer and Ronald I. Miller (2004), which is extended with the aggregate governance indicators of Kaufman et ali.Public spending, education, corruption, endogeneous growth.
Jointness of Growth Determinants
No full textModel uncertainty arises from uncertainty about correct economic theories, data issues and empirical specification problems. This paper investigates mutual dependence or jointness among variables in explaining the dependent variable. Jointness departs from univariate measures of variable importance, while addressing model uncertainty and allowing for generally unknown forms of dependence. Positive jointness implies that regressors are complements, representing distinct, but interacting economic factors. Negative jointness implies that explanatory variables are substitutes and act as proxies for a similar underlying mechanism. In a cross-country dataset, we show that jointness among 67 determinants of growth is important, ffecting inference and economic policy
Financial Stability Meets Taylor Rules: Insights from the Norwegian Economy
No full textThis master thesis assesses the monetary policy framework in Norway from 2001 to 2024, while focusing on the role of financial stability considerations in determining the policy rate and improving the fit of the Taylor rule. According to Taylor (1993), the policy rate is determined to close the inflation gap and the output gap. Motivated by lessons from the global financial crisis and the COVID-19 pandemic—where economic and financial imbalances led to severe economic costs—we investigate whether Norges Bank responds to financial indicators alongside inflation and output. Specifically, we incorporate the variables credit-to-GDP gap, house prices-to- disposable income gap, as well as the federal funds rate. We adopt both univariate and multivariate approaches, which are all extensions of the original Taylor rule. Expanding the analysis using a Vector Autoregressive framework allows us to capture the dynamic interactions between macroeconomic and financial variables. Both backward and forward-looking VAR models suggest that Norges Bank exhibits a leaning against the wind stance following the global financial crisis. Our results further indicate that incorporating financial indicators, such as the credit-to-GDP gap and the house price-to-disposable income gap, improves the model's fit, as reflected in enhanced statistical measures and forecast accuracy. Ultimately, our findings imply that concerns about financial stability influence Norges Bank's monetary policy
An analysis of the long-term and dynamic effects of the US money market fund reform on NIBOR
No full textNIBOR, the Norwegian Interbank Offered Rate, is an important reference rate for financial
products in the Norwegian market. It has also become of increasing interest as conventional
monetary policy tools have become less effective in influencing market rates. Furthermore,
there has been an increase in the risk premium in NIBOR associated with quantitative
easings in the eurozone, new Liquidity Coverage Ratio requirements and a US money
market fund reform. We utilize daily data and investigate the long-term and dynamic effects
of the US money market fund reform on the risk premium in NIBOR. We focus on the
period from the announcement of the money market fund reform to its implementation on 23
July 2014 and 14 October 2016, respectively. We first estimate an error correction model
(ECM) and analyze both long-term and short-term effects on the NIBOR risk premium. Then
we expand the model into an ECM-GARCH(1,1) model, which allows for stochastic
processes and time-varying volatility. We find indications of structural breaks on 23
September 2015 and 24 October 2016, respectively. The long-run estimates indicate that the
reform accounts for an increase of 0.067 or 0.053 of approximately 0.4 percentage points in
the risk premium and a greater effect of quantitative easings. In the short-term, there is a
significant adjustment to the long-run relationship. We find mixed evidence of negative and
positive short-term effects of total liquidity and market risk, respectively. We find mixed
evidence of a year-end effect and a coinciding positive effect of the Liquidity Coverage
Ratio requirements. The conditional variance of the first-differenced risk premium has a
slowly decaying autocorrelation. The relationship between the long-run variables changes
after the implementation of the reform. The subsequent decrease in the risk premium
suggests that the model estimations may have underestimated the effect of the reform.nhhma
Asset returns, wage rigidity and the business cycle : a dynamic stochastic general equilibrium approach
No full textThis thesis extends the standard New Keynesian framework to incorporate asset pricing
capabilities. An economic model which includes CRRA utility, nominal price rigidity,
due to Calvo (1983), capital adjustment costs due to Jermann (1998) and monetary
policy using a simple Taylor rule is calibrated to match the moments observed in US
economy from 1955 to 2008. It also incorporates an equation for real wage rigidity
that previously has not been used in such a framework. The thesis investigates the
capability of the model to jointly replicate asset pricing and business cycle facts. It
also investigates whether the model can provide a theoretical link between monetary
policy and asset prices. Lastly, the thesis also studies whether the form of real wage
rigidity used here could be useful for future work. I find that while the model is able
to replicate business cycle moments for consumption, investment and output, it fails
to match the moments for hours worked, wages, wage bill or labor share. The model
also fails to capture important asset pricing moments. While the model dynamics and
results fail to show that real wage rigidity can provide a direct theoretical link between
monetary policy and asset prices, they do show that real wage rigidity is an important
part of the model. Lastly, the results also show that the particular wage equation
presented in this thesis may not be viable in the future because it does not break the
link between wages and marginal product of labor.nhhma
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