Browsing Discussion Papers by Author "Hungnes, Håvard"
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A demand system for input factors when there are technological changes in production
Hungnes, Håvard (Discussion Papers;No. 556, Working paper, 2008)Abstract: In a system with n input factors there are n − 1 independent cost shares. An often-used approach in estimating factor demand systems is to (implicitly or explicitly) assume that there is a (independent) cointegrating ... -
The empirical modelling of house prices and debt revisited: A policy-oriented perspective
Boug, Pål; Hungnes, Håvard; Takamitsu, Kurita (Discussion Paper;No. 967, Working paper, 2021-11)The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices ... -
Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations
Hungnes, Håvard (Discussion Papers;No. 871, Working paper, 2018-02-12)The paper suggests two encompassing tests for evaluating multi-step system forecasts invariant to linear transformations. An invariant measure for forecast accuracy is necessary as the conclusions otherwise can depend ... -
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
Hungnes, Håvard (Discussion Paper;No. 931, Working paper, 2020-05)The paper derives a test for equal predictability of multi-step-ahead system forecasts that is invariant to linear transformations. The test is a multivariate version of the Diebold-Mariano test. An invariant metric for ... -
Estimating and restricting growth rates and cointegrationmeans : with applications to consumption and money demand
Hungnes, Håvard (Discussion Papers;No. 309, Working paper, 2001)Abstract: The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be ... -
Fiscal policy, macroeconomic performance and industry structure in a small open economy
Boug, Pål; von Brasch, Thomas; Cappelen, Ådne; Hammersland, Roger; Hungnes, Håvard; Kolsrud, Dag; Skretting, Julia; Strøm, Birger; Vigtel, Trond Christian (Discussion Paper;No. 984, Working paper, 2022-07)We analyse how fiscal policy affects both the macroeconomy and the industry structure, using a multi-sector macroeconomic model of the Norwegian economy with an inflation targeting monetary policy. Our simulations show ... -
Fractionality and co-fractionality between Government Bond yields : Implications for the yield curve
Hungnes, Håvard (Discussion Papers;No. 838, Working paper, 2016-04-21) -
Identifying structural breaks in cointegrated VAR models
Hungnes, Håvard (Discussion Papers;No. 422, Working paper, 2005)Abstract: The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of ... -
Modeling R&D spillovers to productivity: The effects of tax policy
Brasch, Thomas von; Cappelen, Ådne; Hungnes, Håvard; Skjerpen, Terje (Discussion Paper;No. 927, Working paper, 2020-04)We study the role of R&D spillovers when modelling total factor productivity (TFP) by industry. Using Norwegian industry level data, we find that for many industries there are significant spillovers from both domestic ... -
Predicting the exchange rate path: The importance of using up-to-date observations in the forecasts
Hungnes, Håvard (Discussion Paper;No. 934, Working paper, 2020-06)Central banks, private banks, statistical agencies and international organizations such as the IMF and OECD typically use information about the exchange rate some weeks before the publication date as the basis for their ... -
Revisions in the Norwegian National Accounts: Accuracy, unbiasedness and efficiency in preliminary figures
Helliesen, Magnus Kvåle; Hungnes, Håvard; Skjerpen, Terje (Discussion Paper;No. 924, Working paper, 2020-03)This paper investigates the quality of preliminary figures in the Norwegian national accounts. To address the problem of few observations in such analyses, we use some recently developed system tests. Preliminary figures ... -
Structural break in the Norwegian LFS due to the 2021 redesign
Hungnes, Håvard; Skjerpen, Terje; Hamre, Jørn Ivar; Jansen, Xiaoming Chen; Pham, Dinh Quang; Sandvik, Ole (Discussion Paper;No. 987, Working paper, 2022-08)The labour force surveys (LFSs) on all Eurostat countries underwent a substantial redesign in January 2021. To ensure coherent labour market time series for the main indicators in the Norwegian LFS, we model the impact ... -
Testing for co-non-linearity
Hungnes, Håvard (Discussion papers;699, Working paper, 2012-07)This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear ... -
The commodity currency puzzle
Bjørnland, Hilde Christiane; Hungnes, Håvard (Discussion Papers;No. 423, Working paper, 2005)Abstract: This paper addresses the purchasing power parity (PPP) puzzle for commodity currencies. A substantial part of the literature on commodity currencies has found that, despite controlling for the effect of commodity ... -
The importance of interest rates for forecasting the exchange rate
Bjørnland, Hilde Christiane; Hungnes, Håvard (Discussion Papers;No. 340, Working paper, 2003)Abstract: This study compares the forecasting performance of a structural exchange rate model that combines the purchasing power parity condition with the interest rate differential in the long run, with some alternative ... -
Using common factors to identify substitution possibilities in a factor demand system with technological changes
Hungnes, Håvard (Discussion Papers;No. 849, Working paper, 2016-11-16)In this paper, I investigate the importance of taking account of technological changes by allowing for different kinds of common factors, both within and between industries. I apply a common factor approach to identifying ...