Research

Main research interest is in the areas of applied macroeconomics and time series. Special interests include business cycles, energy economics, commodity prices, and fiscal- and monetary policy. See links below for access to papers

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› Applied Time Series For Macroeconomics
› Conference discussions
› Older (dormant) Working papers

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See also profiles at Google Scholar and RePEc home page, plus  Paper download ranking and ranking of top economists in Norway and Europe.

 

Work in progress:

• "Oil and the Stock Market Revisited: A mixed functional VAR approach" (coauthors Yoosoon Chang and Jamie Cross). CAMP Working Paper 3/2023, BI Norwegian Business School. 
  • Presented at the NBER summer Institute 2023
  • ​Revision requested by Quantitative Economics

 

• ​"The Price Responsiveness of Shale Producers: Evidence from Micro Data" (coauthors Knut Are Aastveit and Thomas Gundersen) CAMA Working paper 2022-70, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University. 
  • Revision requested by Quantitative Economics

 

• "The Drivers of Emission Reductions in the European Carbon Market* (coauthors Jamie L. Cross and Felix Kapfhammer), CAMP Working Paper 8/2023, BI Norwegian Business School. Submitted.
  • ​Keynote Speaker at Workshop on Climate Change and Global Economy, September 19, 2023, Lancaster University Management School. News and Slides
  • Keynote Speaker and panel discussant at Monash Business School climate workshop: Navigating the energy transition, November 13, 2023, Melbourne, Australia.

 

• "Unveiling Inflation: Oil Shocks, Supply Chain Pressure, and Expectations" (coauthors Knut Are Aastveit, Jamie L. Cross and Helene O. Kalstad). Norges Bank Working Paper 12/2024 Submitted
  • Invited Speaker at ESOBE 2024, August 22-23 2024, Õrebro University. Slides

 

• "Piecing the Puzzle: Real Exchange Rate and Long-run Fundamentals" (coauthors Leif Brubakk and Nicolò Maffei-Faccioli). Work in progress.
  • A preliminary version was circulated under the title: "Lock, stock and (oil) barrel: real exchange rate fundamentals in resource-rich economies" 
  • Keynote speaker at the 44th International Symposium On Forecasting (ISF), July 1-3, 2024, Dijon. Slides

 

• "Business Cycle and Health Dynamics during the COVID-19 Pandemic: A Scandinavian Perspective" (coauthors Malin Jensen and Leif Anders Thorsrud), CAMP Working paper 15/2023, BI Norwegian Business School. 
  • Data file for the revised containment and health series for Norway and Sweden.
  • ​Revision requested by Journal of Applied Econometrics

 

• ​"Fiscal Policy Regimes in Resource-Rich Economies" (coauthors Roberto Casarin, Marco Lorusso and Francesco Ravazzolo), CAMP Working Paper 13/2023, BI Norwegian Busines School. (Note: A previous version was circulated under the title: "Oil and Fiscal Policy Regimes"). 
  • ​Revision requested by Journal of Applied Econometrics

 

• "Re-thinking the relationship between oil prices and monetary policy" (coauthors Jamie L. Cross and Jonas Holz). Work in progress

 

• "Forecasting oil and gas Prices: A Model Combination Approach" (coauthors: Ruben Aag and Peder Eliassen). Work in progress

 

• "​Oil Shocks and Inequality: Heterogeneous Impacts of Windfall Gains on households and firms in Resource-Rich Economies" (coauthors Yoosoon Chang, Paul Labonne, Helene Onshuus, Julia Skretting and Leif Anders Thorsrud). Work in progress

 

Publications in international Journals:

(Scroll down for publications in Norwegian)

 

• "The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects" (coauthor Julia Skretting), Journal of Applied Econometrics, 2024, 39 (6), 1000-1020.
  • Online Appendix, see here
  • Replication data, see here
  • Replication codes, see here
  • For a previous version, see also CAMP Working paper 8/2018, BI Norwegian Business School.
  • See coverage in E24 (in Norwegian)

 

• "Inflation expectations and the pass-through of oil prices" (coauthors Knut Are Aastveit and Jamie Cross). Review of Economics and Statistics, 2023, 105 (3), 733–743.

  • Online Appendix
  • Replication files
  • For a previous version, see also Norges Bank Working Paper 5/2020.

 

• "The effect of rising energy prices amid geopolitical developments and supply disruptions", in Challenges for monetary policy in a rapidly changing world. Conference proceedings, ECB Forum on Central Banking 2022.

  • Link to presentation at European Central Bank (ECB) Forum on Central Banking, Sintra, June 27-29, 2022

  • Link to working paper of my talk: "The effect of rising energy prices amid geopolitical developments and supply disruptions" CAMP Working Paper Series No7/2022

 

• Introduction to “New Developments in Econometrics of Energy and Climate” (coauthors J. Isaac Miller and Yoosoon Chang). Energy Economics, 100, 2021. Special issue on "Energy & Climate Econometrics" 

 

• ​"Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers" (coauthors Ragna Alstadheim and Junior Maih). Energy Economics, 96, 2021 (This is a substantially revised version of a previous paper with title "Do central banks respond to exchange rate movements? A Markov-switching structural investigation"). 
  • Abstract
  • Supplementary files (data and replication codes)

 

• "Supply Flexibility in the Shale Patch: Evidence from North Dakota" (coauthors Frode Martin Nordvik and Maximilian Rohrer), Journal of Applied Econometrics, 36, 2021, 273-292.
  • Abstract
  • Online Appendix
  • Data and Readme file 
  • See also the following working paper for a comment on the literature: "Supply flexibility in the shale patch: Facts, no fiction", CAMP Working paper 8/2019, BI Norwegian Business School.

 

• "Do central banks respond timely to developments in the global economy?" (coauthors Leif Anders Thorsrud and Sepideh K. Zahiri), Oxford Bulletin of Economics and Statistics, 82, 2020, 285-310.
  • Abstract
  • For a previous working paper, see here
  • See coverage in Finansavisen here

 

• "Dutch Disease Dynamics Reconsidered" (coauthors Leif Anders Thorsrud and Ragnar Torvik), European Economic Review, 119, 2019, 411-433.
  • Abstract

​

• "Commodity prices and fiscal policy design: Procyclical despite a rule" (coauthor Leif Anders Thorsrud), Journal of Applied Econometrics, 34(2), 2019, 161-180. 
  • For a previous working paper, see here
  • ​For online appendix, see here.
  • Data and Readme file 

 

• "Oil and macroeconomic (in)stability" (coauthors Vegard H. Larsen and Junior Maih), American Economic Journal: Macroeconomics, 10(4), 2018, 128-51.
  • For a previous working paper version, see here
  • For online appendix, see here

 

• "Fiscal Management of Oil Resources in Booms and Busts", Economic Research Forum - Policy Perspectives 23(June) 2018 

 

• "Forecasting GDP with global components. This time is different" (coauthors Francesco Ravazzolo and Leif Anders Thorsrud), International Journal of Forecasting, vol. 33(1), 2017, 153-173
  • For a previous working paper version, see here.

 

• "Boom or gloom? Examining the Dutch disease in two-speed economies" (coauthor Leif Anders Thorsrud) Economic Journal, vol. 126(598), 2016, 2219-2256. (Note: A first version, analyzing only Norway, was circulated under the title: "Boom or gloom? Examining the Dutch disease in a two-speed economy"). 
  • For online Technical Appendix, see here
  • For data and zip file, see here
  • For a previous Working paper version, see here. 
  • See LSE Business Review: The ‘Dutch disease’ reexamined: Resource booms can benefit the wider economy.
  • See coverage in Financial Times, FT online , Bloomberg and Aftenposten.

 

• "The world is not enough! Small open economies and regional dependence" (coauthors Knut Are Aastveit and Leif Anders Thorsrud). Scandinavian Journal of Economics, vol. 118(1), 2016, 168-195.
  • For a previous working paper version, see here.

 

• Second edition Applied time series for Macroeconomics (coauthor: Leif Anders Thorsrud), 2015, Gyldendal Akademiske forlag.
  • Click here to download data and programs to implement examples from the text. 

 

• Monetary Policy and Exchange Rate Stabilization in Norway and Sweden in Reform Capacity and Macroeconomic Performance in the Nordic Countries, edited by  M. Andersen, Michael Bergman and Svend E. Hougaard Jensen, 2015, Oxford University Press. 

 

• "What drives oil prices? Emerging versus Developed Economies" (coauthors Knut Are Aastveit and Leif Anders Thorsrud). Journal of Applied Econometrics, Vol. 30(7), 2015, 1013–1028.
  • For a previous working paper version, see here.
  • For online Appendix, see here.

 

• "How does monetary policy respond to exchange rate movements? New international evidence" (coauthor Jørn Inge Halvorsen). Oxford Bulletin of Economics and Statistics, vol. 76(2), 2014, 208-232. 
  • For a previous working paper version, see here. 
  • Codes for download (RATS).​
  • See coverage in Finansavisen. 

 

• "House prices and stock prices: Different roles in the U.S. monetary transmission mechanism", (coauthor Dag Henning Jacobsen). Scandinavian Journal of Economics, vol. 115(4), 2013, 1084-1106 (formerly titled as “The role of house prices in the monetary policy transmission mechanism in the U.S.”). 
  • For a previous working paper version, see here 

 

• "Does forecast combination improve Norges Bank inflation forecasts?" (coauthors Karsten Gerdrup, Anne Sofie Jore, Christie Smith and Leif Anders Thorsrud). Oxford Bulletin of Economics and Statistics, 74(2), 2012, 163-179.
  • For a previous working paper version, see here.

 

• "Weights and pools for a Norwegian density combination" (coauthors Karsten Gerdrup, Anne Sofie Jore, Christie Smith and Leif Anders Thorsrud). North American Journal of Economics and Finance. 22(1), 2011, 61-76, (formerly titled as “There is more than one weight to skin a cat: Combining densities at Norges Bank”).
  • For a previous working paper version, see here.

 

• "Estimating the Natural Rates in a simple New Keynesian Framework"  (coauthors: Kai Leitemo and Junior Maih). Empirical Economics, 40, 2011, 755-777.
  • Codes for download (MATLAB)

 

• "The role of house prices in the monetary policy transmission mechanism in small open economies" (coauthor Dag Henning Jacobsen). Journal of Financial Stability, 6, 2010, 218-229.
  • Codes for download (RATS).

 

• "Monetary policy and exchange rate overshooting: Dornbusch was right after all". Journal of International Economics, 79(1), 2009, 64-77, (formerly titled “Monetary policy and the illusionary exchange rate puzzle”).
  • For a previous working paper version, see here.  
  • Data and codes for download (RATS).
  • See coverage in New Economist and in Economist’s View.

 

• "Identifying the Interdependence between US Monetary Policy and the Stock Market" (coauthor: Kai Leitemo). Journal of Monetary Economics, 56, 2009, 275-282.
  • For a previous working paper version, see here or here
  • For robustness tests, see the Appendix.
  • See here for Data and codes for download (RATS).  
  • See coverage in New Economist, Aftenposten, Finansavisen and in E24. 

 

• "Oil price shocks and stock market booms in an oil exporting country". Scottish Journal of Political Economy, 56(2), 2009, 232-254.
  • For a previous Norges Bank working paper version, see here
  • The journal's most cited article in the last three years

 

• "Forecasting inflation with an uncertain output gap" (coauthors: Leif Brubakk and Anne Sofie Jore). Empirical Economics, 35, 2008, 413-436.
  • For a previous working paper version, see here.

 

• "Monetary Policy and Exchange Rate Interactions in a Small Open Economy" Scandinavian Journal of Economics, 110, 2008, 197-221. 
  • For a previous Norges Bank working paper version, see here.

 

• "The commodity currency puzzle" (coauthor: Håvard Hungnes), IUP Journal of Monetary Economics, Icfai Press, VI, 2008, 7-30.
  • For a previous working paper version, see here

 

• "The importance of interest rates for forecasting the exchange rate" (coauthor: Håvard Hungnes). Journal of Forecasting 25, 2006, 209-221.
  • For a previous working paper version, see here.

 

• "The output gap in Norway - a comparison of different methods" (coauthors: Leif Brubakk and Anne Sofie Jore), Economic Bulletin 2/2005, Norges Bank.

 

• "A stable demand for money despite financial crisis: The case of Venezuela". Applied Economics, 37, 2005, 375-385.
  • Data file can be downloaded from here.

 

• "Estimating the equilibrium real exchange rate in Venezuela" Economics Bulletin, 6, 2004, 1-8.
  • Data file can be downloaded from here.

 

• "The role of the exchange rate as a shock absorber in a small open economy". Open Economies Review, 15, 2004, 23-43.

 

• "Identifying Domestic and Imported Core Inflation". Applied Economics, 33, 2001, 1819-1831.
  • For a previous working paper version, see IMF Working Paper No. 00/4, also available at SSRN: http://ssrn.com/abstract=879310)

 

• "The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks - A comparative study". The Manchester School of Economic Studies, 68, 2000, 578-607.

 

• "Detrending Methods and Stylized Facts of Business Cycles in Norway - An international comparison". Empirical Economics, 25, 2000, 369-392.

 

• "Structural breaks and stochastic trends in macroeconomic variables in Norway", Applied Economics Letters, 6, 1999, 133-138.

 

• “The Economic Effects of North Sea Oil on the Manufacturing Sector”. Scottish Journal of Political Economy, 45, 1998, 553-585.

 

Some selected publications in Norwegian:

 

• Den økonomiske styringen av det moderne Norge: Handlingsregelen og Oljefondet, Samfunnsøkonomen, Nr 4, 2022

 

• Et ekspansivt budsjett, preget av usikkerhet, Samfunnsøkonomen, Nr. 5, 2020

 

• Ringvirkninger i råvareproduserende land, (coauthor Leif Anders Thorsrud), Forskningsnytt, Samfunnsøkonomen 1/2016

 

• "Hva skjer når oljeprisen faller?" (coauthor Leif Anders Thorsrud) Samfunnsøkonomen 2/2015

 

• "Statsbudsjett i en uvanlig høykonjunktur", Økonomisk forum nr. 8 2007

 

• "Produksjonsgapet i Norge – en sammenlikning av metoder" (coauthors: Leif Brubakk and Anne Sofie Jore), Penger og Kreditt 4/2004, Norges Bank.

 

• "Konjunkturforskning i et historisk lys. Er konjunktursvingninger like reelle som før?" Økonomisk forum nr. 1, 2002, 30-40. 

 

• "Håpløse spådommer, bølgeteori og falske sykler". Sosialøkonomen nr. 6, 1998, 18-27. 
   

 

• "Kilder til konjunktursvingninger i norsk økonomi". Økonomiske analyser, 4/98, Statistics Norway, 1998, 3-13.

 

• "Estimering av underliggende inflasjon". Sosialøkonomen nr. 7/8, 1997, 14-20.