Hilde C. Bjørnland is Professor of Economics at the BI Norwegian Business School. She holds a Master of Science in Econometrics and Mathematical Economics from London School of Economics, and a PhD (Dr.Polit) in Economics from the University of Oslo. She was awarded His Majesty, The King of Norway’s Gold medal for the Ph.D. thesis in social Sciences.
Her main area of research is within applied macroeconomics and time series. Special interests include the study of natural resources, business cycles and monetary and fiscal policy. She has published in leading journals such as the American Economic Journal: Macroeconomics, Economic Journal, Journal of Monetary Economics, Journal of International Economics and the Review of Economics and Statistics.
Bjørnland is also Director and Founder of Centre for Applied Macroeconomics and Commodity Prices (CAMP) at the BI Norwegian Business School. She holds a position as a scientific advisor to Norges Bank, she is elected Fellow to the International Association of Applied Econometrics (IAAE), Ex-President and elected member of the Executive Committe for Society for Nonlinear and Dynamics Econometrics (SNDE) and research associate of the Centre for Applied Macroeconomic Analysis (CAMA) at the Australia National University. She is also member of the Finnish Economic Policy Council and the Norwegian Government Commission appointed to assess the Financial Supervisory Act and activities.
Bjørnland has previously held positions as Provost for Research and Academic Resources at BI Norwegian Business School, staff economist at the International Monetary Fund and Associate Professor at the University of Oslo. She has been a Visiting Scholar at UC Berkeley and UC Riverside, a member of the Swedish Fiscal Policy Council, member of the corporate assembly of Norsk Hydro ASA, a board member of the Financial Supervisory Authority of Norway, the Petroleum Price Board, and the Abel Prize Board. Bjørnland has been a member of several governement commissions and groups, including the Norwegian government appointed expert group assessing the economic consequences of COVID-19, the Norwegian government commission to reevaluate the fiscal rule for the take-out from the oil fund (Thøgersen Commission) and the Norwegian government commisssion that assessed the equity portion of the Norwegian Government Pension Fund Global (Mork Commission).
We provide new evidence that the transmission of oil price shocks to the US economy has changed with the shale oil boom. To show this, we develop a time-varying parameter factor-augmented vector autoregressive (FAVAR) model with a large data environment of state-level, industry, and aggregate US data. The model effectively captures potential spillovers between oil and non-oil industries, as well as variation over time. Specified in this way, we find that investment, income, industrial production, and (non-oil) employment in most oil-producing and some manufacturing-intensive US states increase following an oil-specific shock—effects that were not present before the shale oil boom.
Alstadheim, Ragna; Bjørnland, Hilde C & Maih, Junior (2021)
Do central banks respond to exchange rate movements? A Markov-switching structural investigation of commodity exporters and importers
We analyse whether central banks in small open commodity exporting and importing countries respond to exchange rate movements, taking into consideration that there may be structural changes in parameters and volatility. Using a Markov Switching Rational Expectations framework, we estimate the model for Australia, Canada, New Zealand, Norway, Sweden and the UK. We find that the size of policy responses, and the volatility of structural shocks, have not stayed constant over the estimation sample. Furthermore, monetary policy has responded strongly to the exchange rate for many commodity exporters, most notablyNorway. This has had a stabilizing effect on the exchange rate. In particular, although the terms of trade are highly volatile among commodity exporters, the exchange rate has about the same volatility across all importers and exporters in the recent period.
Bjørnland, Hilde C; Nordvik, Frode Martin & Rohrer, Maximilian (2021)
Supply flexibility in the shale patch: Evidence from North Dakota
This paper provides new results to the literature, showing that output flexibility in oil production depends on the extraction technology. In particular, constructing a novel well-level monthly production dataset covering more than 16,000 crude oil wells in North Dakota, we find supply elasticity of shale wells to be positive and in the range of 0.3–0.9, depending on wells and firms characteristics. We find no such responses for conventional wells. We interpret the supply pattern of shale oil wells to be consistent with the Hotelling theory of optimal extraction. Reserves are an inventory, and the decision to produce is an intertemporal choice of when to draw down below-ground inventory.
Aastveit, Knut Are; Bjørnland, Hilde C & Cross, Jamie (2021)
INFLATION EXPECTATIONS AND THE PASS-THROUGH OF OIL PRICES
Inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global oil market. We establish this result using a structural VAR model of the global oil market that jointly identifies transmissions of oil demand and supply shocks through real oil prices to both expected and actual inflation. We demonstrate that economic activity shocks have a significantly longer lasting effect on inflation expectations and actual inflation than other types of real oil price shocks, and resolve disagreements around the role of oil prices in explaining the missing deflation puzzle of the Great Recession.
Our analysis suggests; they do not! We arrive at this conclusion by showing that revisions to the published interest rate path projections from the central banks in New Zealand, Norway and Sweden can be predicted by timely and forward‐looking international indicators. Furthermore, using individual country and Panel VARs, identified with an external instrument method, we show that the policy surprises induced by the predictable revisions likely contain information about how the central banks assess past, current and future economic conditions and thereby leads to a positive co‐movement between the interest rate and both financial markets and the macroeconomy.
Bjørnland, Hilde C; Thorsrud, Leif Anders & Torvik, Ragnar (2019)
In this paper we develop the first model to incorporate the dynamic productivity consequences of both the spending effect and the resource movement effect of oil abundance. We show that doing so dramatically alters the conclusions drawn from earlier models of learning by doing (LBD) and the Dutch disease. In particular, the resource movement effect suggests that the growth effects of natural resources are likely to be positive, turning previous growth results in the literature relying on the spending effect on their head. We motivate the relevance of our approach by the example of a major oil producer, Norway. Empirically we find that the effects of an increase in the price of oil may resemble results found in the earlier Dutch disease literature, while the effects of increased oil activity increases productivity in most industries. Therefore, models that only focus on windfall gains due to increased spending potential from higher oil prices, would conclude – incorrectly based on our analysis – that the resource sector cannot be an engine of growth.
Bjørnland, Hilde C & Thorsrud, Leif Anders (2018)
Commodity prices and fiscal policy design: Procyclical despite a rule
A stable demand for money despite financial crisis: the case of Venezuela
37
Bjørnland, Hilde C (2004)
Estimating the equilibrium real exchange rate in Venezuela
6, s. 1- 8.
Bjørnland, Hilde C (2004)
The role of the exchange rate as a shock absorber in a small open economy
15, s. 23- 43.
Bjørnland, Hilde C (2002)
Konjunkturforskning i et historisk lys. Er konjunktursvingninger like reelle som før?
56, s. 30- 40.
Bjørnland, Hilde C (2001)
Identifying domestic and imported core inflation
33(14) , s. 1819- 1831.
This paper estimates core inflation in Norway, identified as that
component of inflation that has no long-run effect on GDP. The model
distinguishes explicitly between domestic and imported core inflation.
The results show that (domestic) core inflation is the main component
of CPI inflation. However, CPI inflation misrepresents core inflation
during some periods. The differences are well explained by the other
shocks identified in the model, in particular the oil price shocks of
the 1970s when Norway imported inflation, and the negative non-core
(supply) shocks of the late 1980s which pushed inflation up temporarily
relative to core inflation.
Bjørnland, Hilde C (2000)
The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks-A Comparative Study
68(5) , s. 578- 607.
This paper analyses the dynamic effects of aggregate demand, supply and
oil price shocks on GDP and unemployment in Germany, Norway, UK and US,
and establishes the role of the different shocks in explaining output
fluctuations over time. Symmetries of economic fluctuations across
countries are also examined. The different shocks are identified by
imposing dynamic restrictions on a structural VAR model. For all
countries except Norway, oil price shocks have significant negative
effects on output. However, whereas the oil price shock in 1973/1974
triggered off a global recession, the recession in the early 1980s was
largely caused by other disturbances.
Bjørnland, Hilde C (2000)
Detrending methods and stylized facts of business cycles in Norway - an international comparison
25(3) , s. 369- 392.
This paper analyses the stylized facts of business cycles in Norway, by comparing different detrending methods. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. The detrended data are analysed, both in the time domain and the frequency domain. The evidence suggests that whereas some variables (e.g. consumption and investment) behave consistently procyclically with GDP, for other variables (e.g. real wage and prices), the business cycle properties vary considerably with the detrending methods used. The results are evaluated from a real business cycle perspective, but overall, there is little evidence to support a (supply driven) real business cycle. Symmetries in business cycles are finally analysed by comparing the business cycles in Norway and selected countries.
Bjørnland, Hilde C (1999)
Structural breaks and stochastic trends in macroeoconomic variables in Norway
6(3) , s. 133- 138.
This paper analyses the dynamic properties of several macroeconomic
variables in Norway, using different unit root tests and measures of
persistence. For none of the variables can we reject the hypothesis of
a unit root in favour of a deterministic linear trend alternative.
However, when allowing for a structural break in the trend alternative,
we can reject the hypothesis of a unit root for unemployment,
government consumption, investment and real wage. Most of the Norwegian
time series display little persistence. However, for those series that
show a high degree of persistence, adjusting for the break in the
trend, persistence falls considerably.
Bjørnland, Hilde C (1998)
Håpløse spådommer, bølgeteori og falske sykler
52(6) , s. 18- 27.
Bjørnland, Hilde C (1998)
The Economic Effects of North Sea Oil on the Manufacturing Sector
45(5) , s. 553- 585.
This paper analyses the economic effects of the oil and gas sector
(energy booms) on manufacturing output in two energy producing
countries: Norway and the UK. In particular, I investigate whether
there is evidence of a "Dutch disease", that is whether energy booms
have had adverse effects on manufactures. In additions to energy booms,
three other types of structural disturbances are identified: demand,
supply and oil price shocks. The different disturbances are identified
by imposing dynamic restrictions on a vector autoregressive model.
Overall, there is only weak evidence of a Dutch disease in the UK,
whereas manufacturing output in Norway has actually benefited from
energy discoveries and higher oil prices.
Bjørnland, Hilde C (1997)
Estimering av underliggende inflasjon
(7) , s. 12- 18.
Bjørnland, Hilde C (2024)
Vi mangler folk og kompetanse – kan ikke satse på flaks denne gangen,
[Kronikk]
Bjørnland, Hilde C (2024)
«Håp» om økt kjøpekraft kan gjøre vondt verre
[Kronikk]
Bjørnland, Hilde C (2024)
Produktiviteten må opp
[Kronikk]
Bjørnland, Hilde C (2024)
Kronekurs på avveie
[Kronikk]
Bjørnland, Hilde C (2024)
Medisingen som norsk økonomi trenger
[Kronikk]
Bjørnland, Hilde C (2024)
Det vil ramme Norge også
[Kronikk]
Bjørnland, Hilde C (2023)
Renten må fortsatt opp
[Kronikk]
Bjørnland, Hilde C (2023)
Rentene kan bli høye lenge
[Kronikk]
Bjørnland, Hilde C (2023)
Fortsatt inflasjonsfare
[Kronikk]
Bjørnland, Hilde C (2023)
Oljepengebruken må under lupen
[Kronikk]
Bjørnland, Hilde C (2023)
Uforutsigbar finanspolitikk er problemet
[Kronikk]
Bjørnland, Hilde C (2023)
Virker renten?
[Kronikk]
Bjørnland, Hilde C (2021)
Handlingsregelen bør fortsatt skrotes
[Kronikk]
Bjørnland, Hilde C (2021)
God grunn til å frykte boomerang til høsten
[Kronikk]
Miller, J. Isaac; Bjørnland, Hilde C & Chang, Yoosoon (2021)
Introduction to “New Developments in Econometrics of Energy and Climate”
[Kronikk]
Bjørnland, Hilde C (2021)
Krisevarsling og økonomisk politikk
[Kronikk]
Bjørnland, Hilde C (2021)
På tide å skrote Handlingsregelen
[Kronikk]
Bjørnland, Hilde C (2021)
Koronaskjevhet kan bremse oppgangen
[Kronikk]
Bjørnland, Hilde C (2020)
Pandemien vil gi varige endringer – politikerne må tilrettelegge for det nå
[Kronikk]
Bjørnland, Hilde C (2020)
Oppgangen kan ta tid denne gangen
[Kronikk]
Bjørnland, Hilde C (2020)
Det verste er foran oss
[Kronikk]
Bjørnland, Hilde C (2020)
Tid for omstilling
[Kronikk]
Bjørnland, Hilde C (2020)
Vi må forberede oss på den nye normalen
[Kronikk]
Bjørnland, Hilde C (2020)
Koronahjelp til klimakampen
[Kronikk]
Bjørnland, Hilde C (2020)
Den andre bølgen
[Kronikk]
Bjørnland, Hilde C (2020)
Arbeid etter pandemien
[Kronikk]
Bjørnland, Hilde C (2020)
Det hjelper norsk økonomi lite om vi "åpner Norge" nå
[Kronikk]
Bjørnland, Hilde C (2015)
Omstillingsdebatt på avveie
[Kronikk]
Bjørnland, Hilde C (2015)
Nitrist sommer
[Kronikk]
Bjørnland, Hilde C (2015)
Prioriteringer i en krevende tid
[Kronikk]
Bjørnland, Hilde C (2015)
Programmering for fremtiden
[Kronikk]
Bjørnland, Hilde C (2015)
Tid for prioritering
[Kronikk]
Bjørnland, Hilde C (2014)
Norway: Cruise control
[Kronikk]
Bjørnland, Hilde C (2013)
Bruk pengene smartere
[Kronikk]
Bjørnland, Hilde C & Thorsrud, Leif Anders (2013)
Oljeringvirkninger
[Kronikk]
Bjørnland, Hilde C (2013)
Asia i førersetet
[Kronikk]
Bjørnland, Hilde C (2013)
Detaljstyrt stat
[Kronikk]
Bjørnland, Hilde C (2013)
Tåler vi halvert oljepris?
[Kronikk]
Bjørnland, Hilde C (2013)
Valgkamp i en krevende tid
[Kronikk]
Bjørnland, Hilde C & Thorsrud, Leif Anders (2013)
Ringvirkninger av olje
[Kronikk]
Thorsrud, Leif Anders & Bjørnland, Hilde C (2012)
Ser i glasskulen med nye øyne
[Kronikk]
Bjørnland, Hilde C & NRK, nyhetsjournalist (2012)
Har gitt diverse intervju for Dagsnytt 18, Dagsrevyen, Ekko, Dagsnytt
[Kronikk]
Bjørnland, Hilde C (2012)
Gjestekommentar hver åttende uke i Dagens Næringsliv
‘Regjeringen lot seg ikke lede inn i fristelsen, men har levert et overraskende nøkternt budsjett…’, kunne man lese i en kommentar i E24 etter at regjeringen la frem nasjonalbudsjettet 7. oktober. Og mange av kommentarene rett etterpå handlet nettopp om det; nemlig at regjeringen ikke legger opp til å bruke så mye oljepenger som enkelte hadde trodd eller fryktet. Men det betyr ikke at det er nøkternt.
Do central banks respond timely to developments in the global economy?
[Report Research].
Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze if revisions to these projections (i.e., forward guidance) can be predicted by timely information. Doing so, we find a systematic role for forward looking international indicators in predict- ing the revisions to the interest rate projections in all countries. In contrast, using similar indexes for the domestic economy yields largely insignificant results. Furthermore, we find that revisions to forward guidance matter. Using a VAR identified with external instruments based on forecast errors from the predictive regressions, we show that the responses to output, inflation, the exchange rate and asset returns resemble those one typically associates with a conventional monetary policy shock.
Bjørnland, Hilde C (2015)
Tracking the oil price decline and the effect on the Norwegian economy
[Conference Lecture]. Event
Bjørnland, Hilde C & Thorsrud, Leif Anders (2015)
Hva skjer når oljeprisen faller? (Aktuell kommentar)
[Professional Article]. 129(2) , s. 22- 29.
Bjørnland, Hilde C & Thorsrud, Leif Anders (2015)
Applied Time Series for Macroeconomics
[Textbook].
Bjørnland, Hilde C (2015)
Discussion of Vitor Gaspar and Paulo Medas: Fiscal management of non-renewable natural resources
[Conference Lecture]. Event
Bjørnland, Hilde C (2013)
Do central banks respond to exchange rate movements? A Markov-switching structural investigation (co-authors: Ragna Alstadheim and Junior Maih)
[Conference Lecture]. Event
Bjørnland, Hilde C (2013)
Monetary Policy and Exchange Rate Stabilization in Norway and Sweden (co-author Junior Maih)
[Conference Lecture]. Event
Bjørnland, Hilde C (2013)
Kan Norge konkurrere internasjonalt med verdens høyeste kostnadsnivå?
Do central banks respond to exchange rate movements? A Markov-switching structural investigation
[Report Research].
Bjørnland, Hilde C (2013)
Trenger vi et nærings- og handelsdepartement?
[Lecture]. Event
Bjørnland, Hilde C (2013)
Halvert oljepris - hva kan skje med norsk økonomi?
[Lecture]. Event
Bjørnland, Hilde C & Thorsrud, Leif Anders (2013)
Boom or gloom? Examining the Dutch disease in a two-speed economy
[Report Research].
Traditional studies of the Dutch disease do not typically account for productiv- ity spillovers between the booming energy sector and non-oil sectors. This study identifies and quantifies these spillovers using a Bayesian Dynamic Factor Model (BDFM). The model allows for resource movements and spending effects through a large panel of variables at the sectoral level, while also identifying disturbances to the real oil price, global demand and non-oil activity. Using Norway as a repre- sentative case study, we find that a booming energy sector has substantial spillover effects on the non-oil sectors. Furthermore, windfall gains due to changes in the real oil price also stimulates the economy, but primarily if the oil price increase is caused by global demand. Oil price increases due to, say, supply disruptions, while stimulating activity in the technologically intense service sectors and boosting gov- ernment spending, have small spillover effects on the rest of the economy, primarily because of reduced cost competitiveness. Yet, there is no evidence of Dutch disease. Instead, we find evidence of a two-speed economy, with non-tradables growing at a much faster pace than tradables. Our results suggest that traditional Dutch dis- ease models with a fixed capital stock and exogenous labor supply do not provide a convincing explanation for how petroleum wealth affects a resource rich economy when there are productivity spillovers between sectors.
Bjørnland, Hilde C (2013)
Chair of invited session on oil prices
[Conference Lecture]. Event
Bjørnland, Hilde C (2013)
Mentor at the workshop for junior females at pre conference workshop
[Conference Lecture]. Event
Bjørnland, Hilde C (2013)
Er Norge mer oljeavhengig enn de fleste tror?
[Lecture]. Event
Bjørnland, Hilde C (2013)
Boom or gloom? Examining the Dutch disease in a two-speed economy (co-author Leif Anders Thorsrud)
[Conference Lecture]. Event
Bjørnland, Hilde C & Thorsrud, Leif Anders (2013)
Ringvirkninger - Norsk økonomi og olje
[Report Research].
Norsk økonomi går godt. En viktig grunn til dette er petroleumsnæringens bidrag til økt produktivitet i resten av økonomien. Men flere varsellamper blinker. Den senere tid har produktivitetsveksten vært avtagende. Høyere oljepriser har ført til økte lønnskostnader, som igjen har svekket konkurranseevnen. Det er ikke sikkert at vi kan regne med like gunstig utvikling det neste tiåret. Trolig er det først da vi virkelig får en test på om vi er immune mot Hollandsk syke.
Bjørnland, Hilde C (2013)
Two speed world
[Lecture]. Event
Bjørnland, Hilde C (2013)
Do central banks respond to exchange rate movements? A Markov-switching structural investigation (co-authors: Ragna Alstadheim and Junior Maih)
Do central banks respond to exchange rate movements? A Markov-switching structural investigation
[Report Research].
Do central banks respond to exchange rate movements? According to Lubik and Schorfheide (2007) who estimate structural general equilibrium models with monetary policy rules, the answer is "Yes, some do". However, their analysis is based on a sample with multiple regime changes, which may bias the results. We revisit their original question using a Markov switching set up which explicitly allows for parameter changes. Fitting the data from four small open economies to the model, we find that the size of policy responses, and the volatility of structural shocks, have not stayed constant during the sample period (1982-2011). In particular, central banks in Sweden and the UK switched from a high response to the exchange rate in the 1980s and early 1990s, to a low response some time after in ation targeting was implemented. Canada also observed a regime change, but the decline in the exchange rate response was small relative to the increase in the response to in ation and output. Norway, on the other hand, did not observe a shift in the policy response over time, as the central bank has stayed in a regime of high exchange rate response prior and post implementing in ation targeting.
Bjørnland, Hilde C (2013)
Bærekraftig bruk av oljeinntektene
[Lecture]. Event
Bjørnland, Hilde C (2012)
Grenser for offentlig vekst, selv i olje-Norge?
[Lecture]. Event
Bjørnland, Hilde C (2012)
Do Central Banks respond to the Exchange rate? A Markov-Switching structural investigation
[Conference Lecture]. Event
Bjørnland, Hilde C (2012)
Small open economies, terms of trade and monetary policy
[Conference Lecture]. Event
Bjørnland, Hilde C; Aastveit, Knut Are & Thorsrud, Leif Anders (2012)
What drives oil prices? Emerging versus developed economies
[Report Research].
We analyze the importance of demand from emerging and developed economies as drivers of the real price of oil over the last two decades. Using a factor-augmented vector autoregressive (FAVAR) model that allows us to distinguish between different groups of countries, we find that demand from emerging economies (most notably from Asian countries) is more than twice as important as demand from developed countries in accounting for the fluctuations in the real price of oil and in oil production. Furthermore, we find that different geographical regions respond differently to oil supply shocks and oil- specific demand shocks that drive up oil prices, with Europe and North America being more negatively affected than emerging economies in Asia and South America. We demonstrate that this heterogeneity in responses is not only attributable to differences in energy intensity in production across regions but also to degree of openness and the investment share in GDP.
Bjørnland, Hilde C (2012)
Veksten og kapital: Er olje-Norge godt rustet for fremtiden?
[Lecture]. Event
Bjørnland, Hilde C (2012)
Monetary policy, terms of trade and exchange rate responses. A Markov-Switching structural investigation
[Conference Lecture]. Event
Bjørnland, Hilde C & Jacobsen, Dag Henning (2012)
House prices and stock prices: Different roles in the U.S. monetary transmission mechanism
[Report Research].
We analyze the role of house and stock prices in the monetary policy transmission mechanism in the U.S. using a structural VAR model. The VAR is identifed using a combination of short-run and long-run (neutrality) restrictions, allowing for contemporaneous interaction between monetary policy and asset prices. By allowing the interest rate and asset prices to react simultaneously to news, we find different roles for house and stock prices in the monetary transmission mechanism. In particular, following a contractionary monetary policy shock, stock prices fall immediately, while the response in house prices is much more gradual. However, the fall in both house prices and stock prices enhances the negative response in output and inflation that has traditionally been found in the literature. Regarding the systematic response in monetary policy, stock prices play a more important role in the interest rate setting in the short run than house prices. As a consequence, shocks to house prices contribute more to GDP and inflation fluctuations than stock price shocks.
Bjørnland, Hilde C & Wilhelmsen, Bjørn Roger (2011)
Norges Bank Watch 2011 An Independent Evaluation of Monetary Policy in Norway
[Report Research].
Bjørnland, Hilde C; Thorsrud, Leif Anders & Aastveit, Knut Are (2011)
The World is not enough! Small open ecnomics and regional dependence
[Report Research].
Bjørnland, Hilde C; Aastveit, Knut Are & Thorsrud, Leif Anders (2011)
The world is not enough! Small open economies and regional dependence
[Report Research].
This paper bridges the new open economy factor augmented VAR (FAVAR) studies with the recent findings in the business cycle synchronization literature emphasizing the importance of regional factors. That is, we estimate and identify a three block FAVAR model with separate world, regional and domestic blocks and study the transmission of both global and regional shocks to four small open economies (Canada, New Zealand, Norway and UK). The results show that foreign shocks explain a major share of the variance in all countries, most so shocks that are common to the world. However, regional shocks also play an important role, explaining more than 20 percent of the variance in the variables. Hence in small open economies, the world is not enough. The regional factors impact the four countries differently, though, some through trade and some through consumer sentiment. Our findings of a strong transmission of both global and regional shocks to open economies are in sharp contrast to the evidence from recently developed open economy DSGE models.
Bjørnland, Hilde C; Gerdrup, Karsten, Jore, Anne Sofie, Smith, Christie & Thorsrud, Leif Anders (2010)
Does forecast combination improve Norges Bank inflation forecasts?
[Report Research].
We develop a system that provides model-based forecasts for inflation in Norway. We recursively evaluate quasi out-of-sample forecasts from a large suite of models from 1999 to 2009. The performance of the models are then used to derive quasi real time weights that are used to combine the forecasts. Our results indicate that a combination forecast improves upon the point forecasts from individual models. Furthermore, a combination forecast out-performs Norges Bank's own point forecast for inflation. The beneficial results are obtained using a trimmed weighted average. Some degree of trimming is required for the combination forecasts to out-perform the judgmental forecasts from the policymaker.
Norges Bank Watch 2010 An Independent Evaluation of Monetary Policy in Norway
[Report Research].
Steigum, Erling; Bjørnland, Hilde C, Clarida, Richard & Holvik, Elisabeth (2010)
An independent evaluation of monetary policy in Norway. Norges Bank Watch Report Series No. 11
[Report Research].
Bjørnland, Hilde C (2010)
Does forecast combination improve Norges Bank inflation forecasts?
[Conference Lecture]. Event
Bjørnland, Hilde C & Halvorsen, Jørn Inge (2010)
How does monetary policy respondto exchange rate movements? New international evidence
[Report Research].
Bjørnland, Hilde C & Jacobsen, Dag Henning (2009)
The role of house prices in the monetary policy transmission mechanism in small open economies
[Report Research].
We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying hocks to interest rates and house prices by using a combination of short-run and long-run (neutrality) restrictions. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism to increase considerably. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices seem to enhance the negative response in output and consumer price inflation that has traditionally been found in the conventional literature. Moreover, we find that the interest rate respond systematically to a change in house prices.
Bjørnland, Hilde C & Halvorsen, Jørn Inge (2008)
How does monetary policy respond to exchange rate movements? New international evidence
[Report Research].
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of sign and short-term (zero) restrictions. Our suggested identification scheme allows for a simultaneous reaction between the variables that are observed to respond intraday to news (the interest rate and the exchange rate), but maintains the recursive order for the traditional macroeconomic variables (GDP and inflation). Doing so, we find strong interaction between monetary policy and exchange rate variation. Our results suggest more theory consistency in the monetary policy responses than what has previously been reported in the literature.
Bjørnland, Hilde C & Jacobsen, Dag Henning (2008)
Oil price shocks and stock market booms in an oil exporting country
[Report Research].
This paper analyses the effects of oil price shocks on stock returns in Norway, an oil exporting country, highlighting the transmission channels of oil prices for macroeconomic behaviour. To capture the interaction between the different variables, stock returns are incorporated into a structural VAR model, as stock prices are an important transmission channel of wealth in an oil abundant country. I find that following a 10 percent increase in oil prices, stock returns increase by 2.5 percent, after which the effect eventually dies out. The results are robust to different (linear and non-linear) transformations of oil prices. The effects on the other variables are more modest. However, all variables indicate that the Norwegian economy responds to higher oil prices by increasing aggregate wealth and demand. The results also emphasize the role of other shocks; monetary policy shocks in particular, as important driving forces behind stock price variability in the short term.
Bjørnland, Hilde C (2008)
Oil price shocks and stock market booms in an oil exporting country
[Report Research].
Bjørnland, Hilde C & Leitemo, Kai (2008)
Identifying the Interdependence between US Monetary Policy and the Stock Market
[Report Research].
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (Christiano et al., 1999). We find great interdependence between interest rate setting and real stock prices. Real stock prices immediately fall by 7-9 percent due to a monetary policy shock that raises the federal funds rate by 100 basis points. A stock price shock increasing real stock prices by one percent leads to an increase in the interest rate of close to 4 basis points.
Bjørnland, Hilde C (2005)
Monetary Policy and the Illusionary Exchange Rate Puzzle
[Report Research].
Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a “styled facts” to be reckoned with in policy modelling. However, many of these studies, in particular those using VARs, have disregarded the strong contemporaneous interaction between monetary policy and exchange rate movements by placing zero restriction on them. By instead imposing a long-run neutrality restriction on the real exchange, thereby allowing the interest rate and the exchange rate to react simultaneously to any news, I find that the puzzles disappear. In particular, a contractionary monetary policy shock has a strong effect on the exchange rate that appreciates on impact. The maximum effect occurs immediately, and the exchange rate thereafter gradually depreciates to baseline, consistent with the Dornbusch overshooting hypothesis and with few exceptions consistent with UIP.
Bjørnland, Hilde C (2005)
Monetaty policy and exchange rate interactions in a small open economy
[Report Research].
Bjørnland, Hilde C & Hungnes, Håvard (2005)
The commodity currency puzzle
[Report Research].
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 prices, PPP does not hold in the long run. We show that once we also control for the effect of the interest rate differential in the real exchange rate relationship, the discrepancies from PPP are fully accounted for. The analysis is applied to the real exchange rate behaviour in Norway, which has a primary commodity (oil) that constitutes the majority of its exports. We show that with the interest rate differential included in the long run real exchange rate relationship, the real oil price plays a minor role. Adjustment to equilibrium (half-lives) is also substantially reduced, taking no more than one year on average. Hence, contrary to earlier findings on commodity currencies, we have effectively removed the PPP puzzle. Keywords: Exchange rate, commodity currencies, real oil price, purchasing power parity, uncovered interest parity.
Bjørnland, Hilde C & Leitemo, Kai (2005)
Identifying the Interdependence between US Monetary Policy and the Stock Market
[Report Research].
Bjørnland, Hilde C (2003)
A stable demand for money despite financial crisis: The case of Venezuela
[Report Research].
Bjørnland, Hilde C (2003)
Estimating the equilibrium real exchange rate in Venezuela
[Report Research].
Bjørnland, Hilde C & Hungnes, Håvard (2003)
The importance of interest rates for forecasting the exchange rate
[Report Research].
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 models. The analysis is applied to the Norwegian exchange rate. The long run equilibrium relationship is embedded in a parsimonious representation for the exchange rate. The structural exchange rate representation is stable over the sample and outperforms a random walk in an out-of-sample forecasting exercise at one to four horizons. Ignoring the interest rate differential in the long run, however, the structural model no longer outperforms a random walk. Keywords: Equilibrium real exchange rate, cointegration VAR, out-of-sample forecasting
Bjørnland, Hilde C (2003)
Inflasjonsmål som stabiliseringspolitikk - styring under usikkerhet
[Conference Lecture]. Event
Bjørnland, Hilde C (2003)
Finanspolitikken, om konjunktursvingninger og makroøkonomisk styring
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Sources of real exchange rate fluctuations in Venezuela
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Beregning av trender, konjunkturutslag og impliserte effekter på budsjettindikatoren. Rom for forbedringer?
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Estimating the equilibrium real exchange rate: The case of Venezuela
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Hva bestemmer realvalutakursen på lang sikt?
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Fundamental determinants of the long-run real exchange rate
[Conference Lecture]. Event
Bjørnland, Hilde C (2002)
Moderne konjunkturforskning
[Conference Lecture]. Event
Bjørnland, Hilde C & Hungnes, Håvard (2002)
Fundamental determinants of the long run real exchange rate: The case of Norway
[Report Research].
Abstract: Modelling the Norwegian exchange rate against a basket of currencies, we find a robust long-term link between the real exchange rate and real interest differential that is consistent with purchasing power parity (PPP) and uncovered interest parity (UIP). However, PPP alone is rejected. These findings are confirmed focusing on the Norwegian bilateral exchange rate with Germany and (possibly) Sweden, but rejected against the UK and the US. We argue that rejection of bilateral relationships may result from idiosyncratic shocks in the different countries that may be negligible when modelling against a basket of currencies. Keywords: Purchasing power parity, uncovered interest parity, cointegration VAR.
Bjørnland, Hilde C (2000)
VAR Models in Macroeconomic Research
[Conference Lecture]. Event
Bjørnland, Hilde C (2000)
Identifying Domestic and Imported Core Inflation
[Report Research].
This paper estimates core inflation in Norway, identified as that component of inflation that has no long-run effect on GDP. The model distinguishes explicitly between domestic and imported core inflation. The results show that (domestic) core inflation is the main component of CPI inflation. However, CPI inflation misrepresents core inflation during some periods. The differences are well explained by the other shocks identified in the model, in particular the oil price shocks of the 1970s when Norway imported inflation, and the negative non-core (supply) shocks of the late 1980s which pushed inflation up temporarily relative to core inflation.
Bjørnland, Hilde C (2000)
Detrending Methods and Stylized Facts of Business cycles in Norway
[Conference Lecture]. Event
Bjørnland, Hilde C (1998)
Economic Fluctuations in a Small Open Economy - Real versus Nominal Shocks
[Report Research].
This paper analyses the role of real and nominal shocks in explaining business cycles in a small open economy like that of Norway. In particular, we study the sources behind real exchange rate fluctuations since the collapse of the Bretton Woods agreement. Imposing long run restrictions implied by economic theory on a structural vector autoregression (VAR) model containing GDP, unemployment (or price), real wage and the real exchange rate, four structural shocks are identified; Velocity, fiscal, productivity and labour supply shocks. The model is also augmented to allow for oil price shocks. The identified shocks and their impulse responses are consistent with an open economy (Keynesian) model of economic fluctuations, and highlights the exchange rate as a transmission mechanism in a small open and energy based economy. Especially, I have found a plausible sequence of shocks (productivity shocks in the 1970s, velocity shocks in the mid-1980s, productivity and labour supply shocks in the late 1980s, and velocity and fiscal shocks in the early 1990s), which help to explain the evolution of GDP, unemployment, price, real wage and the real exchange rate. The results are robust to alternative specifications of the model and are stable over the sample.
Bjørnland, Hilde C (1998)
Identifying Domestic and Imported Core Inflation
[Conference Lecture]. Event
Bjørnland, Hilde C (1997)
Business Cycle Fluctuations in a Small Open Economy - Real versus Nominal Shocks
[Conference Lecture]. Event
Academic Degrees
Year
Academic Department
Degree
1998
University of Oslo
Ph.D Dr. Oecon.
1992
London School of Economics
Master of Science
1991
Heriot-Watt University
B.A.
Work Experience
Year
Employer
Job Title
2020 - Present
International Association of Applied Econometrics (IAAE)
Fellow
2008 - Present
BI Norwegian Business School
Professor
2004 - Present
Norges Bank
Scientific advisor to the Research Department (part time)
