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Have Standard VARs Remained Stable Since the Crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, or to explicitly consider parameter time variation. The earlier...

Persistent link: https://www.econbiz.de/10012143851

Quantifying time-varying forecast uncertainty and risk for the real price of oil

Aastveit, Knut Are; Cross, Jamie - 2021

, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …

Persistent link: https://www.econbiz.de/10012661575

Nowcasting GDP in Real-Time: A Density Combination Approach

Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; … - 2011

In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...

Persistent link: https://www.econbiz.de/10012143776

The World Is Not Enough! Small Open Economies and Regional Dependence

Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, … - 2011

block FAVAR model with separate world, regional and domestic blocks and study the transmission of both global and regional … major share of the variance in all countries, most so shocks that are common to the world. However, regional shocks also …, the world is not enough. The regional factors impact the four countries differently, though, some through trade and some …

Persistent link: https://www.econbiz.de/10012143781

What Drives Oil Prices? Emerging Versus Developed Economies

Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, … - 2012

We analyze the importance of demand from emerging and developed economies as drivers of the real price of oil over the last two decades. Using a factor-augmented vector autoregressive (FAVAR) model that allows us to distinguish between different groups of countries, we find that demand from...

Persistent link: https://www.econbiz.de/10012143799

Forecasting Recessions in Real Time

Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2014

We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The...

Persistent link: https://www.econbiz.de/10012143840

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, … - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...

Persistent link: https://www.econbiz.de/10012143855

Identification and Real-Time Forecasting of Norwegian Business Cycles

Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2015

We de fine and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a...

Persistent link: https://www.econbiz.de/10012143865

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca - 2017

In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we...

Persistent link: https://www.econbiz.de/10012143900