The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...

Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores...

This paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE 2005) and Smets and Wouters (JEEA 2003)....

Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...

We study the exchange rate effects of monetary policy in a balanced macroeconometric two-country model for the US and UK. In contrast to the empirical literature on the "delayed overshooting puzzle", which consistently treats the domestic and foreign countries unequally in themodelling process,...