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  • 1.
    Berggren, Niclas
    et al.
    The Ratio Institute, Stockholm, Sweden.
    Elinder, Mikael
    Department of Economics, Uppsala University, Uppsala, Sweden.
    Jordahl, Henrik
    The Research Institute of Industrial Economics, Stockholm, Sweden; The Ratio Institute, Stockholm, Sweden.
    Trust and growth: a shaky relationship2008Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 35, nr 2, s. 251-274Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We conduct an extensive robustness analysis of the relationship between trust and growth by investigating a later time period and a bigger sample than in previous studies. In addition to robustness tests that focus on model uncertainty, we systematize the investigation of outlier influence on the results by using the robust estimation technique Least Trimmed Squares. We find that when outliers (especially China) are removed, the trust-growth relationship is no longer robust. On average, the trust coefficient is half as large as in previous findings.

  • 2.
    Gustavsson, Magnus
    et al.
    Department of Economics, Uppsala University, Uppsala, Sweden.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?2010Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 38, nr 3, s. 779-792Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This paper investigates the relevance of unemployment hysteresis in seventeen OECD countries. We employ an out-of-sample forecast exercise in which a mean-reverting autoregressive model is compared to an autoregressive model with an imposed unit root. A substantial difference in forecasting performance between the twomodels is established formany countries, but the results aremixed in their strength. The evidence for unemployment hysteresis in Austria, Finland, Iceland, Israel, Italy, Japan and Sweden is, however, convincing. For no country can unambiguous support for a mean reverting unemployment rate be found.

  • 3.
    Hjalmarsson, Erik
    et al.
    Division of International Finance, Board of Governors of the Federal Reserve System, Washington DC, United States.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies2010Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 39, nr 1, s. 51-76Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988; Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace testsfor cointegration under the empirically relevant situation of near-integrated variables. Using MonteCarlo techniques, we showthat in a systemwith near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. We suggest ways of identifying the problem and different approaches to reduce the size distortions of the tests.

  • 4.
    Jonsson, Thomas
    et al.
    National Institute of Economic Research, Stockholm, Sweden.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    The properties of survey-based inflation expectations in Sweden2012Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 42, nr 1, s. 79-94Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This article assesses the properties of survey-based inflation expectations in Sweden. The survey in question is conducted by Prospera once every quarter andconsists of respondents from businesses and labour-market organisations. The article shows that inflation expectations measured in this survey tend to be biased and inefficient forecasts of future inflation. Moreover, evaluations of forecast accuracy show that these inflation expectations are worse predictors of inflation than those of a professional forecasting institution and also typically outperformed by a simple autoregressive model. Given that the true inflation expectations are captured by the survey, our results indicate that economic agents’ expectations formation process is suboptimal.

  • 5.
    Karlsson, Sune
    et al.
    Stockholm School of Economics, Department of Economic Statistic, Stockholm.
    Skoglund, Jimmy
    Swedbank Group Financial Risk Control, Stockholm, Sweden.
    Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects2004Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 29, nr 1, s. 79-88Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as well as tests for discriminating between different specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics.

  • 6.
    Karlsson, Sune
    et al.
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    A Note on the Stability of the Swedish Phillips Curve2019Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921Artikkel i tidsskrift (Fagfellevurdert)
    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

  • 7.
    Knezevic, David
    Örebro universitet, Handelshögskolan vid Örebro Universitet. Kommuninvest, Örebro, Sweden.
    Intertemporal diversification of sub-sovereign debt2018Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This paper presents a comprehensive empirical analysis of the debt maturity structure of the Swedish municipal sector. The Swedish municipal debt portfolio is characterized by a short maturity structure and an asset-liability mismatch that poses potentially severe roll-over risk. The 2008–2009 financial crisis manifested as a liquidity shock to the sector that highlighted the dangers of short-term funding strategies in conjunction with low levels of intertemporal diversification. In this study we analyze to what extent this led to a change of intertemporal diversification. Based on a unique contract-level monthly data set of municipal loans issued by Kommuninvest of Sweden from January 1997 to June 2016, we construct and estimate a range of dispersion and moment measures to capture the change of various distributional characteristics of the maturity structure. These measures are used as dependent variables in fixed-effects models together with a number of control variables to estimate the effect of the debt-crisis liquidity shock. The main finding is that the crisis did affect the diversification, but not in a persistent way. A possible explanation is that the municipalities found that Kommuninvest through jointly guaranteed lending was able to function as a lender of last resort and thereby mitigates the roll-over risk. It is also found that fiscal and financial properties such as debt-to-tax base ratio, tax base volatility and per capita income are associated with the characteristics of the debt maturity structure of Swedish municipalities, as well as macroeconomic factors such as the term structure of interest rates.

  • 8.
    Stockhammar, Pär
    et al.
    National Institute of Economic Research, Stockholm, Sweden.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    Effects of US Policy uncertainty on Swedish GDP growth2016Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 50, nr 2, s. 443-462Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper, we study the effects of US policy uncertainty—measured as the policy uncertainty index of Baker et al. (Measuring economic policy uncertainty, 2013)—on Swedish GDP growth.Another source of spillovers of shocks to small open economies is thereby examined. We apply both Bayesian VAR models and spectral analysis to quarterly data from 1988 to 2013. Results show that increasing US policy uncertainty has significant negative effects on Swedish GDP growth. The effect seems to primarily stem from effects on investment growth and export growth. Our findings should prove useful to those who analyse and forecast the Swedish economy and potentially also other similar small open economies.

  • 9.
    Tang, Aili
    Örebro universitet, Handelshögskolan vid Örebro Universitet. Institutionen för Nationalekonomi, Högskolan Dalarna, Falun, Sweden.
    Does Gibrat’s Law hold for Swedish energy firms?2015Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 49, nr 2, s. 659-674Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Gibrat's law predicts that firm growth is purely random and should be independent of firm size. We use a random effects-random coefficient model to test whether Gibrat's law holds on average in the studied sample as well as at the individual firm level in the Swedish energy market. No study has yet investigated whether Gibrat's law holds for individual firms, previous studies having instead estimated whether the law holds on average in the samples studied. The present results support the claim that Gibrat's law is more likely to be rejected ex ante when an entire firm population is considered, but more likely to be confirmed ex post after market selection has "cleaned" the original population of firms or when the analysis treats more disaggregated data. From a theoretical perspective, the results are consistent with models based on passive and active learning, indicating a steady state in the firm expansion process and that Gibrat's law is violated in the short term but holds in the long term once firms have reached a steady state. These results indicate that approximately 70 % of firms in the Swedish energy sector are in steady state, with only random fluctuations in size around that level over the 15 studied years.

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