Browsing Discussion Papers by Subject "Pengemarked"
Now showing items 1-3 of 3
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Credit conditions indices : controlling for regime shifts in the Norwegian credit market
(Discussion Papers;646, Working paper, 2011)The interaction between financial markets and the macroeconomy can be strongly affected by changes in credit market regulations. In order to take account of these effects we control explicitly for regime shifts in a system ... -
The financial accelerator : evidence using a procedure of structural model design
(Discussion Papers;569, Working paper, 2008)We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical ... -
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
(Discussion Papers;601, Working paper, 2009)This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference ...