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  • 1451.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Debatt: För brett mandat gör utvärdering av Riksbanken omöjlig2018Ingår i: Dagens Industri, ISSN 0346-640X, nr 16 oktoberArtikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1452.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Dyrt bromsa bopriserna med reporäntan2016Ingår i: Dagens Nyheter, ISSN 1101-2447Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1453.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Flexibelt inflationsmål kan leda till problem2016Ingår i: Svenska Dagbladet, ISSN 1101-2412Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1454.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Ge inte fria tyglar till Riksbanken2020Ingår i: Svenska dagbladet, ISSN 1101-2412, nr September 18Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1455.
    Österholm, Pär
    Nationalekonomiska institutionen, Uppsala universitet, Uppsala, Sweden.
    Incorporating Judgement in Fan Charts2009Ingår i: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442, Vol. 111, nr 2, s. 387-415Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Within a decision-making group, such as a central bank’s monetary-policy committee, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent’s judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system and, accordingly, a particular predictive density — or fan chart — associated with it. A weighted linear combination of the predictive densities yields a final predictive density that reflects the uncertainty perceived by the agents generating the forecast.

  • 1456.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Perspektiv på växelkursprognoser2020Ingår i: Ekonomisk Debatt, ISSN 0345-2646, Vol. 48, nr 3, s. 82-87Artikel i tidskrift (Övrigt vetenskapligt)
  • 1457.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Problematiskt att gå utanför traditionell penningpolitik2018Ingår i: Dagens Industri, ISSN 0346-640X, nr 7 augustiArtikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1458.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    Survey data and short-term forecasts of Swedish GDP growth2014Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 21, nr 2, s. 135-139Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this article, we evaluate forecasting models for Swedish GDP growth which make use of data from Sweden’s most important business survey, the Economic Tendency Survey. Employing nine years of quarterly real-time data, we conduct an out-of-sample forecast exercise. Results indicate that the survey data have informational value that can be used to improve forecasts, thereby confirming the empirical relevance of survey data for GDP forecasters.

  • 1459.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    The effect on the Swedish real economy of the financial crisis2010Ingår i: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 20, nr 4, s. 265-274Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This article investigates the effects of the financial crisis on the Swedish real economy. In order to do this, an index which describes the financial conditions of the Swedish economy is developed. The index indicates that domestic Swedish financial conditions have deteriorated substantially during 2008 and are now at the highest level since the crisis of the early 1990s. A Bayesian Vector Autoregression (BVAR) model with both US and Swedish variables is used to assess the quantitative effects of the financial crisis on Swedish real Gross Domestic Product (GDP) growth. Results suggest that the growth of the Swedish economy will be substantially slower in the next couple of years due to the financial crisis.

  • 1460.
    Österholm, Pär
    Monetary Policy Department, Sveriges Riksbank, Stockholm, Sweden.
    The Limited Usefulness of Macroeconomic Bayesian VARs when Forecasting the Probability of a US Recession2012Ingår i: Journal of macroeconomics, ISSN 0164-0704, E-ISSN 1873-152X, Vol. 34, nr 1, s. 76-86Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The Bayesian VAR model provides a convenient tool for generating predictive densities and making probability statements regarding the future development of economic variables. This paper investigates the usefulness of standard macroeconomic Bayesian VAR models to estimate the probability of a US recession. Defining a recession as two quarters in a row of negative GDP growth, the probability is estimated for two quarters of the most recent US recession, namely 2008Q3–2008Q4. In contrast to judgemental probabilities from this point in time, it is found that the BVAR assigns a very low probability to such an event. This is true also when survey data, which generally are considered as good leading indicators, are included in the models. We conclude that while Bayesian VAR models are good forecasting tools in many cases, the results in this paper raise question marks regarding their usefulness for predicting recessions.

  • 1461.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet. Monetary Policy Department, Sveriges Riksbank, Stockholm, Sweden.
    The Limited Usefulness of Macroeconomic Bayesian VARs when Forecasting the Probability of a US Recession2017Ingår i: The Economics of Recession / [ed] Arturo Estrella, Northampton, MA: Edward Elgar Publishing, 2017, s. 76-86Kapitel i bok, del av antologi (Refereegranskat)
    Abstract [en]

    The Bayesian VAR model provides a convenient tool for generating predictive densities and making probability statements regarding the future development of economic variables. This paper investigates the usefulness of standard macroeconomic Bayesian VAR models to estimate the probability of a US recession. Defining a recession as two quarters in a row of negative GDP growth, the probability is estimated for two quarters of the most recent US recession, namely 2008Q3–2008Q4. In contrast to judgemental probabilities from this point in time, it is found that the BVAR assigns a very low probability to such an event. This is true also when survey data, which generally are considered as good leading indicators, are included in the models. We conclude that while Bayesian VAR models are good forecasting tools in many cases, the results in this paper raise question marks regarding their usefulness for predicting recessions.

  • 1462.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    The Long-Run Relationship between Stock Prices and GDP in Sweden2016Ingår i: Economic notes - Monte dei Paschi di Siena, ISSN 0391-5026, E-ISSN 1468-0300, Vol. 45, nr 2, s. 283-297Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper, we investigate the long-run relationship between stock prices and GDP in Sweden. Using quarterly data from 1995 to 2015, our empirical analysis suggests that the two variables are cointegrated and, hence, that there exists a  long-run equilibrium relationship between them. In light of this long-run relationship, we estimate a vector error correction model. The estimated model outperforms a simple, but highly relevant, alternative method in an out-of-sample forecast exercise. It also provides information as to whether Swedish stocks are correctly valued. Results indicate that stocks in Sweden might be overvalued at the end of the sample and forecasts from the model suggest that the disequilibrium will generate a modest development in the stock market over a number of quarters.

  • 1463.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs2018Ingår i: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 24, s. 186-192Artikel i tidskrift (Refereegranskat)
    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.

  • 1464.
    Österholm, Pär
    Department of Economics, Uppsala University, Uppsala, Sweden.
    The Taylor Rule: A Spurious Regression?2005Ingår i: Bulletin of Economic Research, ISSN 0307-3378, E-ISSN 1467-8586, Vol. 57, nr 3, s. 217-247Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper investigates the econometric properties of the Taylor (1993) rule applied to US, Australian and Swedish data to judge its empirical relevance. Unit root tests indicate that the variables in the Taylor rule are near integrated processes, implying that cointegration is a necessary condition both for consistent estimation of the parameters of the model and compatibility between the model and the data. Tests find little support for cointegration and, together with an out-of-sample forecast exercise, suggest that we should have serious doubts about the Taylor rule as a reasonable description of how monetary policy is presently conducted. Parameters in Taylor rule regressions are therefore likely to be inconsistently estimated, and caution should be taken before central bank policy is evaluated using such methods.

  • 1465.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    Time variation in Okun's law in Sweden2015Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 23, nr 6, s. 436-439Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this article we estimate an Okun’s law relationship for Sweden using a model with time-varying  parameters. Employing quarterly data from 1982 to 2014, results indicate that the GDP growth needed to keep the unemployment rate unchanged in the long rung has fallen considerably over the last 10 years.

  • 1466.
    Österholm, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    Unemployment and Labour-Force Participation in Sweden2010Ingår i: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 106, nr 3, s. 205-208Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper investigates the relationship between Swedish unemployment and labour-force participation. Cointegration analysis supports a robust long-run relationship between the two variables. This finding puts the empirical relevance of the unemployment invariance hypothesis into question.

  • 1467.
    Österholm, Pär
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Är hushållens förväntningar rörande bolåneräntan realistiska?2017Ingår i: Ekonomisk Debatt, ISSN 0345-2646, Vol. 45, nr 5, s. 22-32Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
    Abstract [sv]

    I denna artikel studeras hushållens förväntningar på bolåneräntan. Analysen baseras på data från Konjunkturbarometern under perioden 2010 till 2016. Resultaten indikerar att hushållens förväntningar rörande den framtida bolåneräntan på ett års sikt i genomsnitt har varit för höga. Generellt sett tenderar dock förväntningarna att uppvisa rimliga egenskaper. Dessa resultat utesluter inte att somliga hushåll baserar sina beslut vid bostadsköp på orimligt låga förväntningar, men för hushållen som helhet förefaller det ändå befogat att dra slutsatsen att förväntningarna rörande bolåneräntan varit realistiska under den studerade perioden.

    Ladda ner fulltext (pdf)
    Är hushållens förväntningar rörande bolåneräntan realistiska?
  • 1468.
    Österholm, Pär
    et al.
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Hultkrantz, Lars
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Kärnä, Anders
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    De stora kostnaderna för äldre ligger framför oss2020Ingår i: Svenska dagbladet, ISSN 1101-2412, nr January 23Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 1469.
    Österholm, Pär
    et al.
    Örebro universitet, Handelshögskolan vid Örebro Universitet. National Institute of Economic Research, Stockholm, Sweden.
    Poon, Aubrey
    Örebro universitet, Handelshögskolan vid Örebro Universitet.
    Trend Inflation in Sweden2023Ingår i: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 28, nr 4, s. 4707-4716Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this article, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2022Q1 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period-although in general at a level below the inflation target-and it does not appear to have been affected much by the recent high inflation numbers.

  • 1470.
    Österholm, Pär
    et al.
    National Institute of Economic Research, Stockholm, Sweden.
    Stockhammar, Pär
    National Institute of Economic Research, Stockholm, Sweden.
    The euro crisis and Swedish GDP growth – a study of spillovers2014Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 21, nr 16, s. 1105-1110Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this article, a Bayesian VAR model is used to study the effects of euro area shocks on GDP growth in the small open economy of Sweden. A novel feature is that the new policy uncertainty index of Baker et al. (2013) is introduced in the model. The model behaves well in terms of reasonable impulse response functions. The specific effects of the euro crisis is investigated through a historical decomposition which shows that shocks to euro area GDP growth have been a reasonably important factor for Swedish GDP growth, supporting it during 2010 and holding it back thereafter. Generally, shocks to policy uncertainty have held back Swedish GDP growth during the euro crises.

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