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Publications (10 of 93) Show all publications
Nguyen, H. & Österholm, P. (2024). A note on the dynamic effects of supply and demand shocks in the crude oil market. Applied Economics Letters
Open this publication in new window or tab >>A note on the dynamic effects of supply and demand shocks in the crude oil market
2024 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291Article in journal (Refereed) Epub ahead of print
Abstract [en]

In this paper, we investigate whether key relations in the crude oil market have been stable over time. This is done by estimating hybrid time-varying parameter structural Bayesian VAR models using monthly data ranging from February 1973 to May 2023. Model selection suggests that while stochastic volatility is preferred over homoscedasticity, the dynamics of the model are best described by constant parameters in all equations.

Place, publisher, year, edition, pages
Routledge, 2024
Keywords
Bayesian VAR, time-varying parameters, model selection, oil shocks
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-111564 (URN)10.1080/13504851.2024.2308590 (DOI)001153722300001 ()
Available from: 2024-02-14 Created: 2024-02-14 Last updated: 2024-02-14Bibliographically approved
Berger, H., Karlsson, S. & Österholm, P. (2023). A note of caution on the relation between money growth and inflation. Scottish Journal of Political Economy, 70(5), 479-496
Open this publication in new window or tab >>A note of caution on the relation between money growth and inflation
2023 (English)In: Scottish Journal of Political Economy, ISSN 0036-9292, E-ISSN 1467-9485, Vol. 70, no 5, p. 479-496Article in journal (Refereed) Published
Abstract [en]

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect of money growth on inflation weakened notably after the 1980s before strengthening after 2020. There is evidence that this time variation is related to the pace of price changes, as we find that the maximum impact of money growth on inflation is increasing in the trend level of inflation. These results caution against asserting a simple, time-invariant relationship when modeling the joint dynamics of monetary aggregates and consumer prices.

Place, publisher, year, edition, pages
John Wiley & Sons, 2023
Keywords
Bayesian VAR, stochastic volatility, time-varying parameters
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-108409 (URN)10.1111/sjpe.12364 (DOI)001060899800001 ()2-s2.0-85170400468 (Scopus ID)
Available from: 2023-09-27 Created: 2023-09-27 Last updated: 2023-11-16Bibliographically approved
Kladivko, K. & Österholm, P. (2023). Analysts versus the random walk in financial forecasting: evidence from the Czech National Bank's Financial Market Inflation Expectations survey. Applied Economics
Open this publication in new window or tab >>Analysts versus the random walk in financial forecasting: evidence from the Czech National Bank's Financial Market Inflation Expectations survey
2023 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283Article in journal (Refereed) Epub ahead of print
Abstract [en]

We analyse how financial market analysts' expectations in the Czech National Bank's Financial Market Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables. Using data from 2001 to 2022, our results indicate that the analysts are able to significantly outperform the random-walk forecast in terms of forecast precision for the repo rate and Prague Interbank Offered Rate at the one-month forecasting horizon. For the five- and ten-year interest rate swap rates, the random walk significantly outperforms the analysts at both the one-month and one-year forecasting horizons. For the CZK/EUR exchange rate, the random-walk forecast has a lower root mean squared forecast error than that of the analysts' forecast at the one-month horizon whereas at the one-year horizon the opposite is found; however, none of these differences are statistically significant.

Place, publisher, year, edition, pages
Routledge, 2023
Keywords
Survey data, out-of-sample forecasts, exchange rates, interest rates
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-105061 (URN)10.1080/00036846.2023.2178633 (DOI)000937799800001 ()2-s2.0-85148603669 (Scopus ID)
Available from: 2023-03-20 Created: 2023-03-20 Last updated: 2023-12-08Bibliographically approved
Beechey, M., Österholm, P. & Poon, A. (2023). Estimating the US trend short-term interest rate. Finance Research Letters, 55(Part A), Article ID 103913.
Open this publication in new window or tab >>Estimating the US trend short-term interest rate
2023 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 55, no Part A, article id 103913Article in journal (Refereed) Published
Abstract [en]

We estimate the trend short-term interest rate in the United States using an unobserved-components stochastic-volatility model with interest-rate and survey data from 1998Q2 to 2022Q4. Our results indicate that the trend short-term interest rate has drifted down during most of the sample and remains low in a historical perspective, despite the recent sharp increase in the short-term interest rate.

Place, publisher, year, edition, pages
Elsevier, 2023
Keywords
Unobserved components model, Bayesian estimation
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-106468 (URN)10.1016/j.frl.2023.103913 (DOI)001025027900001 ()2-s2.0-85153077258 (Scopus ID)
Funder
The Jan Wallander and Tom Hedelius Foundation, B20–0020
Available from: 2023-06-21 Created: 2023-06-21 Last updated: 2023-08-01Bibliographically approved
Karlsson, S. & Österholm, P. (2023). Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions. Scandinavian Journal of Economics, 125(1), 287-314
Open this publication in new window or tab >>Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions
2023 (English)In: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442, Vol. 125, no 1, p. 287-314Article in journal (Refereed) Published
Abstract [en]

It has been claimed that the fall in US inflation during the Great Recession was surprisingly small. One possible explanation for this is that the Phillips curve is unstable and that its slope was lower around the Great Recession. We investigate the importance of time-varying parameters using Bayesian vector autoregressions for inflation and unemployment. We find support for time variation in the inflation equation and an unstable Phillips curve that was somewhat flatter between 2005 and 2013. However, conditional forecasts mostly suggest that inflation was not unexpectedly high around the Great Recession, which puts the claim of a "missing disinflation" into question.

Place, publisher, year, edition, pages
John Wiley & Sons, 2023
Keywords
Inflation, model selection, stochastic volatility, time-varying parameters, unemployment
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-104327 (URN)10.1111/sjoe.12508 (DOI)000921630900001 ()2-s2.0-85146464995 (Scopus ID)
Available from: 2023-02-20 Created: 2023-02-20 Last updated: 2023-06-08Bibliographically approved
Kiss, T., Kladivko, K., Silfverberg, O. & Österholm, P. (2023). Market participants or the random walk-who forecasts better? Evidence from micro-level survey data. Finance Research Letters, 54, Article ID 103752.
Open this publication in new window or tab >>Market participants or the random walk-who forecasts better? Evidence from micro-level survey data
2023 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 54, article id 103752Article in journal (Refereed) Published
Abstract [en]

We analyse micro-level data concerning four financial variables in Sveriges Riksbank's Prospera Survey to evaluate the precision of forecasts provided by professionals active in the Swedish fixed -income market. Our results indicate that for the SEK/EUR and SEK/USD exchange rates, and the five-year government bond yield, none of the market participants that frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank's policy rate, the market participants typically have a statistically significant higher forecast pre-cision than the random-walk forecast at the three-month horizon; however, at the two-and five-year horizons, the random-walk forecast typically outperforms the market participants.

Place, publisher, year, edition, pages
Elsevier, 2023
Keywords
Out-of-sample forecasts, Exchange rates, Interest rates
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-106189 (URN)10.1016/j.frl.2023.103752 (DOI)000983646900001 ()2-s2.0-85150050181 (Scopus ID)
Available from: 2023-06-07 Created: 2023-06-07 Last updated: 2023-06-07Bibliographically approved
Kiss, T., Mazur, S., Nguyen, H. & Österholm, P. (2023). Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations. Journal of Forecasting, 42(2), 347-368
Open this publication in new window or tab >>Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
2023 (English)In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 42, no 2, p. 347-368Article in journal (Refereed) Published
Abstract [en]

In this paper, we analyze how skewness and heavy tails affect the estimated relationship between the real economy and the corporate bond-yield spread-a popular predictor of real activity. We use quarterly US data to estimate Bayesian VAR models with stochastic volatility and various distributional assumptions regarding the innovations. In-sample, we find that-after controlling for stochastic volatility-innovations in GDP growth can be well described by a Gaussian distribution. In contrast, the yield spread appears to benefit from being modeled using non-Gaussian innovations. When it comes to real-time forecasting performance, we find that the yield spread is a relevant predictor of GDP growth at the one-quarter horizon. Having controlled for stochastic volatility, gains in terms of forecasting performance from flexibly modeling the innovations appear to be limited and are mostly found for the yield spread.

Place, publisher, year, edition, pages
John Wiley & Sons, 2023
Keywords
Bayesian VAR, generalized hyperbolic skew Student's t-distribution, stochastic volatility
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-101718 (URN)10.1002/for.2911 (DOI)000862156800001 ()2-s2.0-85139078921 (Scopus ID)
Funder
The Jan Wallander and Tom Hedelius Foundation, Bv18-0018 P18-0201Tore Browaldhs stiftelse, W19-0021Swedish Research Council, 2018-05973
Available from: 2022-10-12 Created: 2022-10-12 Last updated: 2023-12-08Bibliographically approved
Kiss, T., Nguyen, H. & Österholm, P. (2023). Modelling Okun's law: Does non-Gaussianity matter?. Empirical Economics, 64(5), 2183-2213
Open this publication in new window or tab >>Modelling Okun's law: Does non-Gaussianity matter?
2023 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 64, no 5, p. 2183-2213Article in journal (Refereed) Published
Abstract [en]

In this paper, we analyse Okun's law-a relation between the change in the unemployment rate and GDP growth-using data from Australia, the euro area, the UK and the USA. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is done in a Bayesian VAR framework with stochastic volatility where we allow the different models' error distributions to have heavier-than-Gaussian tails and skewness. Our results indicate that accounting for heavy tails yields improvements over a Gaussian specification in some cases, whereas skewness appears less fruitful. In terms of dynamic effects, a shock to GDP growth has robustly negative effects on the change in the unemployment rate in all four economies.

Place, publisher, year, edition, pages
Springer, 2023
Keywords
Bayesian VAR, Heavy tails, GDP growth, Unemployment
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-101716 (URN)10.1007/s00181-022-02309-2 (DOI)000860402600001 ()2-s2.0-85138986810 (Scopus ID)
Funder
Örebro University
Available from: 2022-10-12 Created: 2022-10-12 Last updated: 2023-06-08Bibliographically approved
Karlsson, S., Kiss, T., Nguyen, H. & Österholm, P. (2023). Svensk ekonomi är inte normal (och oberoende) – fakta om makroekonomiska variablers tidsserieegenskaper. Ekonomisk Debatt, 51(1), 42-54
Open this publication in new window or tab >>Svensk ekonomi är inte normal (och oberoende) – fakta om makroekonomiska variablers tidsserieegenskaper
2023 (Swedish)In: Ekonomisk Debatt, ISSN 0345-2646, Vol. 51, no 1, p. 42-54Article in journal (Refereed) Published
Abstract [sv]

Att de störningar som drabbar makroekonomin är normalfördelade och har konstant varians är två antaganden som allt oftare har övergivits i den inter-nationella forskningslitteraturen under de senaste två decennierna. I denna artikel undersöks om detta är relevant för ett antal nyckelvariabler i svensk mak-roekonomi. Sammantaget tyder våra resultat på att forskare och policyekonomer som modellerar svenska makroekonomiska variabler – t ex i syfte att beskriva riskbilden kring dem – har påtaglig anledning att åtminstone överge antagandet om konstant störningsvarians. Ett konkret problem som annars kan uppstå är att prognososäkerhet överskattas i lugna tider och underskattas i turbulenta tider.

Place, publisher, year, edition, pages
Stockholm: Nationalekonomiska föreningen, 2023
National Category
Economics
Research subject
Economics; Statistics
Identifiers
urn:nbn:se:oru:diva-108571 (URN)
Projects
Models for Macro and financial economics after the financial crisis
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201Tore Browaldhs stiftelse, W19-0021
Available from: 2023-09-26 Created: 2023-09-26 Last updated: 2023-11-03Bibliographically approved
Armelius, H., Solberger, M., Spånberg, E. & Österholm, P. (2023). The evolution of the natural rate of interest: evidence from the Scandinavian countries. Empirical Economics
Open this publication in new window or tab >>The evolution of the natural rate of interest: evidence from the Scandinavian countries
2023 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921Article in journal (Refereed) Epub ahead of print
Abstract [en]

In this paper, the natural rate of interest in Denmark, Norway and Sweden is estimated. This is done by augmenting the Laubach and Williams (Rev Econ Stat 85:1063-1070, 2003) framework with a dynamic factor model linked to economic indicators--a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.

Place, publisher, year, edition, pages
Springer, 2023
Keywords
Monetary policy, Business cycle, Bayesian filter, Dynamic factor model, E31, E43, E52
National Category
Economics
Identifiers
urn:nbn:se:oru:diva-110139 (URN)10.1007/s00181-023-02503-w (DOI)001099982000001 ()2-s2.0-85176127536 (Scopus ID)
Funder
Örebro University
Available from: 2023-12-12 Created: 2023-12-12 Last updated: 2024-02-05Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-4840-7649

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