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Karlsson, Sune, ProfessorORCID iD iconorcid.org/0000-0003-0203-4688
Publications (10 of 31) Show all publications
Karlsson, S. & Österholm, P. (2020). Sambandet mellan arbetslöshet och inflation i Sverige. Ekonomisk Debatt, 48(1), 7-19
Open this publication in new window or tab >>Sambandet mellan arbetslöshet och inflation i Sverige
2020 (Swedish)In: Ekonomisk Debatt, ISSN 0345-2646, Vol. 48, no 1, p. 7-19Article in journal (Other academic) Published
Abstract [sv]

I denna artikel analyseras sambandet mellan arbetslöshet och inflation i Sverige under en period där inflationsmålspolitiken kan ses som etablerad. Resultaten indikerar att sambandet mellan arbetslöshet och inflation – vilket ofta benämns phillipskurvan – inte nödvändigtvis har varit stabilt över tiden. Vi finner dock inget stöd för att inflationen under de senaste åren skulle ha blivit mindre känslig för förändringar i arbetslösheten. Analysen pekar också på vikten av att överväga huruvida makroekonomiska samband samt de störningar som drabbar ekonomin bör modelleras som tidsvarierande, såväl för att kunna besvara akademiska frågeställningar som att ha policymodeller med relevanta empiriska egenskaper.

Place, publisher, year, edition, pages
Nationalekonomiska Föreningen, 2020
National Category
Economics Probability Theory and Statistics
Identifiers
urn:nbn:se:oru:diva-80126 (URN)
Available from: 2020-02-21 Created: 2020-02-21 Last updated: 2020-03-10Bibliographically approved
Karlsson, S. & Österholm, P. (2020). The relation between the corporate bond-yield spread and the realeconomy: Stable or time-varying?. Economics Letters, 186, Article ID 108883.
Open this publication in new window or tab >>The relation between the corporate bond-yield spread and the realeconomy: Stable or time-varying?
2020 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 186, article id 108883Article in journal (Refereed) Published
Abstract [en]

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.

Place, publisher, year, edition, pages
Elsevier, 2020
Keywords
Bayesian VAR, Time-varyingparameters, Stochasticvolatility, Modelselection
National Category
Economics Probability Theory and Statistics
Research subject
Economics; Statistics
Identifiers
urn:nbn:se:oru:diva-78886 (URN)10.1016/j.econlet.2019.108883 (DOI)000509616300048 ()2-s2.0-85076182813 (Scopus ID)
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201
Available from: 2020-01-07 Created: 2020-01-07 Last updated: 2020-02-14Bibliographically approved
Karlsson, S. & Österholm, P. (2019). A Note on the Stability of the Swedish Phillips Curve. In: : . Paper presented at 10th Nordic Econometric Meeting, Stockholm, Sweden, May 23-26, 2019.
Open this publication in new window or tab >>A Note on the Stability of the Swedish Phillips Curve
2019 (English)Conference paper, Oral presentation only (Refereed)
Abstract [en]

We use Bayesian techniques to estimate bivariate VAR models for Swedish unemployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal likelihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year.

National Category
Economics
Research subject
Economics; Statistics
Identifiers
urn:nbn:se:oru:diva-76721 (URN)
Conference
10th Nordic Econometric Meeting, Stockholm, Sweden, May 23-26, 2019
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201
Available from: 2019-09-24 Created: 2019-09-24 Last updated: 2019-09-30Bibliographically approved
Karlsson, S. & Österholm, P. (2019). A Note on the Stability of the Swedish Phillips Curve. Empirical Economics
Open this publication in new window or tab >>A Note on the Stability of the Swedish Phillips Curve
2019 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921Article in journal (Refereed) Epub ahead of print
Abstract [en]

We use Bayesian techniques to estimate bivariate VAR models for Swedish unem-ployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal like-lihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year

Place, publisher, year, edition, pages
Springer, 2019
Keywords
Inflation, Unemployment, Time-varying parameters, Stochastic volatility
National Category
Economics Probability Theory and Statistics
Research subject
Statistics; Economics
Identifiers
urn:nbn:se:oru:diva-78301 (URN)10.1007/s00181-019-01746-w (DOI)
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201
Available from: 2019-11-29 Created: 2019-11-29 Last updated: 2019-12-03Bibliographically approved
Karlsson, S. & Mazur, S. (2019). Flexible Fat-tailed BVARs. In: : . Paper presented at 10th European Seminar on Bayesian Econometrics, St Andrews, Scotland, September 2-3, 2019.
Open this publication in new window or tab >>Flexible Fat-tailed BVARs
2019 (English)Conference paper, Oral presentation only (Refereed)
Abstract [en]

We propose a general class of fat-tailed distributions which includes the t,Cauchy, Laplace and slash distributions as well as the normal distribution as spe-cial cases. Full conditional posterior distributions for the Bayesian VAR-model arederived and used to construct a MCMC-sampler for the joint posterior distribution.The framework allows for selection of a specic special case as the distribution forthe error terms in the VAR if the evidence in the data is strong while at the sametime allowing for considerable exibility and more general distributions than oeredby any of the special cases.

National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:oru:diva-76718 (URN)
Conference
10th European Seminar on Bayesian Econometrics, St Andrews, Scotland, September 2-3, 2019
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201
Available from: 2019-09-24 Created: 2019-09-24 Last updated: 2019-09-30Bibliographically approved
Andrén, D., Clark, A., D’Ambrosio, C., Karlsson, S. & Pettersson, N. (2019). Nya sätt att mäta välbefinnande? En analys av subjektiva och objektiva mått. Ekonomisk Debatt, 1, 44-51
Open this publication in new window or tab >>Nya sätt att mäta välbefinnande? En analys av subjektiva och objektiva mått
Show others...
2019 (Swedish)In: Ekonomisk Debatt, ISSN 0345-2646, Vol. 1, p. 44-51Article in journal (Refereed) Published
Place, publisher, year, edition, pages
Stockholm: Nationalekonomiska föreningen, 2019
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-76849 (URN)
Available from: 2019-09-30 Created: 2019-09-30 Last updated: 2019-10-01Bibliographically approved
Karlsson, S. & Österholm, P. (2019). The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?. Örebro, Sweden: Örebro University, School of Business
Open this publication in new window or tab >>The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?
2019 (English)Report (Other academic)
Abstract [en]

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.

Place, publisher, year, edition, pages
Örebro, Sweden: Örebro University, School of Business, 2019. p. 9
Series
Working Papers, School of Business, ISSN 1403-0586 ; 2019:7
Keywords
Bayesian VAR, Time-varying parameters, Stochastic volatility, Model selection
National Category
Probability Theory and Statistics Economics
Research subject
Statistics; Economics
Identifiers
urn:nbn:se:oru:diva-78300 (URN)
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201
Available from: 2019-11-29 Created: 2019-11-29 Last updated: 2019-12-03Bibliographically approved
Karlsson, S. & Österholm, P. (2019). Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in Australia. Finance Research Letters, 30, 378-384
Open this publication in new window or tab >>Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in Australia
2019 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 30, p. 378-384Article in journal (Refereed) Published
Abstract [en]

We estimate Bayesian VAR models in order to investigate the relation between Treasury yields and the corporate bond yield spread in Australia. Recent developments in Bayesian model selection allow us to formally assess the relevance of stochastic volatility and drifting parameters. A model comparison indicates that a model with stochastic volatility and constant parameters is preferred. Our results imply that while previous studies may have relied on empirically flawed models, their main conclusion – namely that an increase in the risk free rate decreases the corporate bond yield spread – appears to be an empirically robust finding.

Place, publisher, year, edition, pages
Elsevier, 2019
Keywords
Bayesian vector autoregressions, Credit spreads
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-70391 (URN)10.1016/j.frl.2018.11.003 (DOI)000487349000053 ()2-s2.0-85056309258 (Scopus ID)
Available from: 2018-11-30 Created: 2018-11-30 Last updated: 2019-11-08Bibliographically approved
Karlsson, S. & Österholm, P. (2018). Is the US Phillips Curve Stable? Evidence from Bayesian VARs.
Open this publication in new window or tab >>Is the US Phillips Curve Stable? Evidence from Bayesian VARs
2018 (English)Report (Other academic)
Abstract [en]

Inflation did not fall as much as many economists expected as the Great Recession hit the US economy. One explanation suggested for this phenomenon is that the Phillips curve has become flatter. In this paper we investigate the stability of the US Phillips curve, employing Bayesian VARs to quarterly data from 1990Q1 to 2017Q3. We estimate bivariate models for PCE inflation and the unemployment rate under a number of different assumptions concerning the dynamics and covariance matrix. Specifically, we assess the importance of time-varying parameters and stochastic volatility. Using new tools for model selection, we find support for both time-varying parameters and stochastic volatility. Interpreting the Phillips curve as the inflation equation of our Bayesian VAR, we conclude that the US Phillips curve has been unstable. Our results also indicate that the Phillips curve may have been somewhat flatter between 2005 and 2013 than in the decade preceding that period. However, while the dynamic relations of the model appear to be subject to time variation, we note that the effect of a shock to the unemployment rate on inflation is not fundamentally different over time. Finally, a conditional forecasting exercise suggests that as far as the models are concerned, inflation may not have been unexpectedly high around the Great Recession.

Publisher
p. 37
Series
Working Papers, School of Business, ISSN 1403-0586 ; 2018:5
Keywords
Time-varying parameters, Stochastic volatility, Model selection, Inflation, Unemployment
National Category
Economics
Research subject
Economics; Statistics
Identifiers
urn:nbn:se:oru:diva-76717 (URN)
Available from: 2019-09-24 Created: 2019-09-24 Last updated: 2019-09-30Bibliographically approved
Andrén, D., Clark, A. E., D’Ambrosio, C., Karlsson, S. & Pettersson, N. (2018). New ways to measure well-being?: A first joint analysis of subjective and objective measures. Örebro: Örebro University, School of Business
Open this publication in new window or tab >>New ways to measure well-being?: A first joint analysis of subjective and objective measures
Show others...
2018 (English)Report (Other academic)
Abstract [en]

Our study is, to our knowledge, the first joint analysis of subjective and objective measures of well-being. Using a rich longitudinal data from the mothers pregnancy until adulthood for a birth cohort of children who attended school in Örebro during the 1960s, we analyse in a first step how subjective (self-assessed) and objective (cortisol-based) measures of well-being are related to each other. In a second step, life-course models for these two measures are estimated and compared with each other. Despite the fact that our analysis is largely exploratory, our results suggest interesting possibilities to use objective measures to measure well-being, even though this may imply a greater degree of complexity.

Place, publisher, year, edition, pages
Örebro: Örebro University, School of Business, 2018. p. 11
Series
Working Papers, School of Business, ISSN 1403-0586 ; 2018:13
Keywords
subjective and objective well-being, general life satisfaction, cortisol, birth-cohort data, adult, child and birth outcomes, multivariate imputation
National Category
Economics Probability Theory and Statistics
Research subject
Economics
Identifiers
urn:nbn:se:oru:diva-71946 (URN)
Available from: 2019-01-30 Created: 2019-01-30 Last updated: 2019-01-31Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-0203-4688

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