Gisle James Natvik

Dagens næringsliv

Journal of International Money and Finance 103(May) p. 1-22 Doi: https://doi.org/10.1016/j.jimonfin.2019.102123

Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we compute market forecast errors; differences between expected future interest rates and ex-post realizations. We assess their change in narrow windows around monetary policy announcements and macroeconomic releases in Norway and Sweden. Overall, communication of future policy plans does not improve markets’ response to information, irrespective of whether or not IRPs are in place. A decomposition of market reactions into responses to the current monetary policy action (“target”) and responses to signals about the future (“path”), reveals that only policy actions lead to improvements in market forecasts.

Dagens næringsliv

Dagens næringsliv

Journal of Empirical Finance 53(September) p. 181-196 Doi: https://doi.org/10.1016/j.jempfin.2019.07.001

We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We find that the correlation between bank and sovereign credit default swap (CDS) rates changed with these events. Following the non-bailout events, the sensitivity to external shocks, proxied by CDS rates on the European banking sector, declined both for Danske Bank and for Danish sovereign debt. After Danske Bank’s recapitalization, its exposure to the European banking sector reappeared while that did not happen for Danish sovereign debt. The decoupling between CDS rates on sovereign and private bank debt indicates that the vicious feedback loop between bank and sovereign risk weakened after the non-bailout policies were introduced.

International Economic Review 59(2) p. 973-987 Doi: https://doi.org/10.1111/iere.12293

We develop an equilibrium theory of credit rating in the presence of rollover risk. By influencing rational creditors, ratings affect sovereigns' probability of default, which in turn affects ratings. Our analysis reveals a pro‐cyclical impact of credit rating: In equilibrium the presence of a rating agency increases default risk when it is high and decreases default risk when it is low.

Journal of the European Economic Association 16(5) p. 1350-1393 Doi: https://doi.org/10.1093/jeea/jvx043

How should a central bank act to stabilize the ratio of debt over gross domestic product (GDP)? We show how the persistent nature of household debt shapes the answer to this question. In environments where households repay mortgages gradually, surprise interest hikes only weakly influence household debt, and tend to increase debt-to-GDP in the short run while reducing it in the medium run. Interest rate rules with a positive weight on debt-to-GDP cause indeterminacy. Compared to inflation targeting, debt-to-GDP stabilization calls for a more expansionary policy when debt-to-GDP is high, so as to deflate the debt burden through inflation and output growth.

Journal of Money, Credit and Banking 50(8) p. 1751-1783 Doi: https://doi.org/10.1111/jmcb.12504

We use a quantitative asset pricing model to “reverse‐engineer” the sequences of shocks to housing demand and lending standards needed to replicate the boom–bust patterns in U.S. housing value and mortgage debt from 1993 to 2015. Conditional on the observed paths for U.S. real consumption growth, the real mortgage interest rate, and the supply of residential fixed assets, a specification with random walk expectations outperforms one with rational expectations in plausibly matching the patterns in the data. Counterfactual simulations show that shocks to housing demand, housing supply, and lending standards were important, but movements in the mortgage interest rate were not.

Journal of International Money and Finance 76 p. 50-67 Doi: https://doi.org/10.1016/j.jimonfin.2017.05.003

This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We use several measures of U.S. economic uncertainty, and estimate their interaction with monetary policy shocks as identified through structural vector autoregressions. We find that U.S. monetary policy shocks affect economic activity less when uncertainty is high, in line with “real-option” effects from theory. Holding uncertainty constant, the effect on investment is approximately halved when uncertainty is in its top instead of its bottom decile.

Journal of Development Economics 118 p. 1-12 Doi: https://doi.org/10.1016/j.jdeveco.2015.08.010

We aim to explain petro populism|the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income, politicians need to remain in o ce over time. Hence, even a rent-seeking incumbent who prioritizes his own welfare above that of citizens, will want to provide voters with goods and services if it promotes his probability of remaining in o ce. While this incentive bene ts citizens under the rule of rent-seekers, it adversely motivates benevolent policymakers to short-term overprovision of goods and services. In equilibrium, politicians of all types indulge in excessive resource extraction, while voters reward policies they realize cannot be sustained over time. Moreover, overextraction might even be reinforced as voters become better informed.

Journal of Money, Credit and Banking 48(5) p. 901-920 Doi: https://doi.org/10.1111/jmcb.12321

If central banks value the ex post accuracy of their published forecasts, previously announced interest rate paths might influence the current policy rate. We explore if “forecast adherence” has affected monetary policy in New Zealand and Norway, where central banks have published their interest rate forecasts the longest. We derive and estimate policy rules with separate weights on past interest rate forecasts and find that they have explanatory power for current policy decisions, over and above their correlation with other conventional interest rate rule arguments.

European Economic Review 58 p. 81-94 Doi: https://doi.org/10.1016/j.euroecorev.2012.12.001

Journal of macroeconomics 37 p. 208-216 Doi: https://doi.org/10.1016/j.jmacro.2013.03.005

The Scandinavian Journal of Economics 114 p. 1414-1436 Doi: https://doi.org/10.1111/j.1467-9442.2012.01727.x

Journal of Money, Credit and Banking 41(1) p. 57-77

Department seminar

Household Savings and Macroprudential Regulation

5th Workshop on Household Finance and Housing

Workshop on “Unveiling Wealth and Income Inequalities”

1st Arne Ryde Workshop - Micro Data meet Macro Models

Seminar, Cunef University

Seminar

Seminar

Seminar, Lund University

Prinsipper under press: Økonomisk politikk i krisetider

Seminar

Program 12.30: Oppmøte og servering av kaffe, te og frukt. 12.45: Velkommen ved Digital velferdsstat og SODI med professor Ingunn Ikdahl og professor Marte Kjørven. 12.55: Introduksjon: Om eID i offentlig forvaltning. med Trude Myklebust, førsteamanuensis, Institutt for privatrett, og Edvin Tengs Leirvåg, Digitaliseringsdirektoratet. 13.25: «Aktørstafett»: korte oppspill om sårbarhet og risiko. Nav v/ Marte Vidnes Jensen Skatteetaten v/ Trude Åsrum. Brønnøysundregistrene v/ Marie Lauten. Spørsmål fra salen. 14.05: Pause 14.20: «Aktørstafett»: korte oppspill om sårbarhet og risiko. LDO v/ Victoria Hovig Frigland. Norsk Forbund for Utviklingshemmede v/ Ingvild Østerby. Om eID i fengsel, vitenskapelig assistent Mira Stokke. Spørsmål fra salen 15.00: Akademisk høyttenking: Hvordan kan vi tenke om eID i offentlig forvaltning fremover? Inger Johanne Sand, professor emerita, Institutt for offentlig rett. Gisle Natvik, professor, Institutt for samfunnsøkonomi, BI. Kristin Bergtora Sandvik, professor, Institutt for kriminologi og rettssosiologi. Luca Tosoni, Datatilsynet, tidligere stipendiat på Institutt for privatrett. 15.55: Avslutning v/ Trude Myklebust og Ingunn Ikdahl.

Bank of Canada

European Economic Association

Copenhagen University

Banque de France

Workshop at Norges Bank

EEA-ESEM

Perspectives on Kurtosis in Macroeconomics

Centre for Applied Macroeconomics and Commodity Prices (CAMP)

We show that under fairly general conditions, the combination of (i) competitive markets, (ii) free entry, and (iii) democracy is inconsistent with allocative efficiency. This fundamental impossibility result, which has not been derived before, holds whenever not only prices, but also policy, responds to factor allocations. We develop a theory where agents enter an occupation (more generally, enter an economic activity) and thereafter make a policy decision. Thus, each voter's self interest becomes endogenous to the entry decision. In our baseline model, the policy instrument that citizens decide upon is simply taxation. Workers in occupations whose services are in high demand by the government have an incentive to vote for high taxes. Voters in occupations whose services are in low demand by the government have an incentive to vote for low taxes. We show that the socially efficient size of the public sector cannot be sustained in equilibrium, despite free entry into occupations. We generalize our theory, and show how our impossibility result extends well beyond the baseline model. We also discuss how departing from competitive markets may affect equilibrium outcomes. Our analysis implies that when assessing causes and consequences of factor allocations, it is key to acknowledge how allocations affect not only prices, but also policies.

Seminar Bank of Spain

Working Paper, Norges Bank 2021(5) p. 1-24

NEPR digital launch webinar on Financial Regulation and Macroeconomic Stability in the Nordics, June 2020

Seminar

NBER Summer Institute, EF&G Research Meeting

Konferanse: New Consumption Data, Universitetet i København

American Economic Association: Annual Meeting

Seminar

Nordic Economic Policy Review 2020: Financial Regulation and Macroeconomic Stability

NBER Working paper

Annual Congress of the European Economic Association

Workshop on New Consumption Data

Dagens næringsliv

Society of Economic Dynamics Annual Meeting

CEPR Workshop on Household Finance, Spring 2017

Santa Clare University research seminar

The New Macroeconomics of Aggregate Fluctuations and Stabilisation Policy

Society of nonlinear dynamics and econometrics yearly conference

Annual Meeting of the European Economic Association

NBER Summer Institute

Econometric Society European Winter Meeting

Annual Conference of the International Association of Applied Econometrics

Nordic Workshop on Tax Policy and Public Economics

Norges Bank

Rational choice theories of electoral participation stress that an individual's decision to vote depends on her expected net benefit from doing so. If this instrumental motive is relevant, then turnout should be higher in elections where more is at stake. We test this prediction, by studying how turnout is affected by exogenous variation in governments' financial flexibility to provide pork for their voters. By utilizing simultaneous elections for different offices, we identify a positive effect of election stakes on turnout.