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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). 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: 2019-10-14Bibliographically approved
Österholm, P. (2018). Debatt: För brett mandat gör utvärdering av Riksbanken omöjlig. Dagens Industri (16 oktober)
Open this publication in new window or tab >>Debatt: För brett mandat gör utvärdering av Riksbanken omöjlig
2018 (Swedish)In: Dagens Industri, ISSN 0346-640X, no 16 oktoberArticle in journal, News item (Other (popular science, discussion, etc.)) Published
Place, publisher, year, edition, pages
Stockholm: Dagens industri AB, 2018
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-70393 (URN)
Note

Published in Dagens industri debatt, 2018-10-16

Available from: 2018-11-30 Created: 2018-11-30 Last updated: 2018-12-03Bibliographically approved
Stockhammar, P. & Österholm, P. (2018). Do inflation expectations granger cause inflation?. Economia Politica, 35(2), 403-431
Open this publication in new window or tab >>Do inflation expectations granger cause inflation?
2018 (English)In: Economia Politica, ISSN 1120-2890, E-ISSN 1973-820X, Vol. 35, no 2, p. 403-431Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate whether survey measures of inflation expectations in Sweden Granger cause Swedish CPI inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the inclusion of inflation expectations in the models tends to improve forecast precision. However, the improvement is typically small enough that it could be described as economically irrelevant. One exception can possibly be found in the expectations of businesses in the National Institute of Economic Research's Economic Tendency Survey; when included in the models, these improve forecast precision in a meaningful way at short horizons. Taken together, it seems that the inflation expectations studied here do not provide a silver bullet for those who try to improve VAR-based forecasts of Swedish inflation. The largest benefits from using these survey expectations may instead perhaps be found among analysts and policy makers; they can after all provide relevant information concerning, for example, the credibility of the inflation target or challenges that the central bank might face when conducting monetary policy.

Place, publisher, year, edition, pages
Springer, 2018
Keywords
Bayesian VAR, Granger causality, Out-of-sample forecasts
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-68465 (URN)10.1007/s40888-018-0111-9 (DOI)000440317500006 ()2-s2.0-85050737012 (Scopus ID)
Available from: 2018-08-15 Created: 2018-08-15 Last updated: 2018-08-15Bibliographically 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
Österholm, P. (2018). Problematiskt att gå utanför traditionell penningpolitik. Dagens Industri (7 augusti)
Open this publication in new window or tab >>Problematiskt att gå utanför traditionell penningpolitik
2018 (Swedish)In: Dagens Industri, ISSN 0346-640X, no 7 augustiArticle in journal, News item (Other (popular science, discussion, etc.)) Published
Place, publisher, year, edition, pages
Stockholm: Dagens industri AB, 2018
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-70395 (URN)
Note

Published in Dagens industri debatt, 2018-08-07

Available from: 2018-11-30 Created: 2018-11-30 Last updated: 2018-12-03Bibliographically approved
Österholm, P. (2018). The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. Finance Research Letters, 24, 186-192
Open this publication in new window or tab >>The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs
2018 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 24, p. 186-192Article in journal (Refereed) Published
Abstract [en]

In this paper we investigate the relation between treasury yields and corporate bond yield spreads. This is done by estimating VAR models on monthly Australian data from January 2005 to March 2017. Our results suggest—in line with mainstream theoretical models— that a higher risk free rate compresses the corporate bond yield spread. We also find that a higher corporate bond yield spread lowers the three-month treasury bill rate.

Place, publisher, year, edition, pages
Elsevier, 2018
Keywords
Vector autoregressions, Credit spreads
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:oru:diva-61619 (URN)10.1016/j.frl.2017.09.009 (DOI)000426537700024 ()2-s2.0-85030027169 (Scopus ID)
Available from: 2017-10-17 Created: 2017-10-17 Last updated: 2018-08-30Bibliographically approved
Flodberg, C. & Österholm, P. (2017). A Statistical Analysis of Revisions of Swedish National Accounts Data. Finnish economic papers, 28(1), 10-33
Open this publication in new window or tab >>A Statistical Analysis of Revisions of Swedish National Accounts Data
2017 (English)In: Finnish economic papers, ISSN 0784-5197, Vol. 28, no 1, p. 10-33Article in journal (Refereed) Published
Abstract [en]

In this paper, we study revisions of Swedish national accounts data. Three aspects of the revisions are considered: volatility, unbiasedness and forecast efficiency. Our results indicate that the properties of the revisions are more problematic for the production side than for the expenditure side. The high volatility of the revisions on the production side indicates that it is generally difficult to make clear cut statements concerning production across industries within the business sector based on the initial data release; it is also likely to make forecasting more difficult.

Place, publisher, year, edition, pages
Taloustieteellinen Yhdistys, 2017
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:oru:diva-55028 (URN)
Available from: 2017-01-27 Created: 2017-01-27 Last updated: 2018-01-04Bibliographically approved
Apel, M. & Österholm, P. (2017). Alltför långtgående slutsatser om implikationerna av sekulär stagnation för penningpolitiken. Ekonomisk Debatt, 45(7), 65-67
Open this publication in new window or tab >>Alltför långtgående slutsatser om implikationerna av sekulär stagnation för penningpolitiken
2017 (Swedish)In: Ekonomisk Debatt, ISSN 0345-2646, Vol. 45, no 7, p. 65-67Article in journal (Other (popular science, discussion, etc.)) Published
Place, publisher, year, edition, pages
Stockholm: Nationalekonomiska Föreningen, 2017
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:oru:diva-62694 (URN)
Available from: 2017-11-19 Created: 2017-11-19 Last updated: 2017-11-22Bibliographically approved
Hjalmarsson, E. & Österholm, P. (2017). Households’ mortgage-rate expectations: more realistic than at first glance?. Penning- och valutapolitik (2), 56-63
Open this publication in new window or tab >>Households’ mortgage-rate expectations: more realistic than at first glance?
2017 (English)In: Penning- och valutapolitik, E-ISSN 2000-978X, no 2, p. 56-63Article in journal (Other academic) Published
Abstract [en]

Household expectations of future mortgage rates elicited over the last few years might appear unrealistically low. However, taking explicit account of the high persistence in interest rates, we find that Swedish households’ implied longterm expectation of mortgage rates is around 4.7 per cent. This number lines up well with the long-term expectation that can be deduced from the Riksbank’s assessment of the repo rate in the long run and the typical spread between the mortgage rate and the repo rate. Our analysis makes use of household mortgage-rate expectations at three different horizons, which enables an explicit modelling of the ‘term-structure’ of household forecasts.

Place, publisher, year, edition, pages
Stockholm: Sveriges riksbank, 2017
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:oru:diva-62695 (URN)
Available from: 2017-11-19 Created: 2017-11-19 Last updated: 2019-04-01Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-4840-7649

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