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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.

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: 2020-02-21
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
Hjalmarsson, E. & Österholm, P. (2019). A micro-data analysis of households' expectations of mortgage rates. Economics Letters, 185, Article ID UNSP 108693.
Open this publication in new window or tab >>A micro-data analysis of households' expectations of mortgage rates
2019 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 185, article id UNSP 108693Article in journal (Refereed) Published
Abstract [en]

We analyse micro-level survey data, ranging from 2010 to 2017, on Swedish households' mortgage-rate expectations. Our key finding is that expectations at the longest horizon are significantly related to age, where the youngest age group has the lowest expectations.

Place, publisher, year, edition, pages
Elsevier, 2019
Keywords
Survey data
National Category
Economics and Business
Identifiers
urn:nbn:se:oru:diva-78359 (URN)10.1016/j.econlet.2019.108693 (DOI)000497597300005 ()2-s2.0-85072303812 (Scopus ID)
Available from: 2019-12-03 Created: 2019-12-03 Last updated: 2019-12-03Bibliographically 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. & 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
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
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-4840-7649

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