Martin Blomhoff Holm

International Economic Review 00 p. 1-16 Doi: https://doi.org/10.1111/iere.70041

The standard permanent and transitory income model is known to be misspecified. Estimates of income volatility within this model differ depending on the specific data moments used—whether they are in levels or differences—and how these moments are weighted during estimation. We suggest a simple modification to the standard model: allowing for two transitory shocks that persist for different lengths of time. Our proposed model, which introduces only one additional parameter, consistently and accurately identifies the parameters of the income process, regardless of the estimation method used

Journal of Political Economy 133(11) p. 3494-3549 Doi: https://doi.org/10.1086/736769

Asset valuations across many asset classes have increased substantially over the last several decades. While these rising valuations had important effects on the distribution of wealth, little is known regarding their redistributive effects in terms of welfare. To make progress on this question, we develop a sufficient statistic for the money-metric welfare gain of deviations in asset valuations. This welfare gain depends on the present value of an individual’s net asset sales rather than asset holdings: higher asset valuations benefit prospective sellers and harm prospective buyers. We estimate this quantity using panel microdata covering the universe of financial transactions in Norway from 1994 to 2019. We further demonstrate how to adapt our baseline statistic to account for important considerations, such as incomplete markets and collateral constraints. We find that the rise in asset valuations had large redistributive effects: it redistributed from the young to the old and from the poor to the wealthy.

Journal of Money, Credit and Banking Doi: https://doi.org/10.1111/jmcb.13134

This paper presents a new method to estimate the depreciation rate of durable goods using a combination of identified marginal and average spending shares. We apply our method to Chinese spending responses to disposable income changes induced by monetary policy in 2008–09. The marginal total spending response is 0.40. About 46% of this marginal spending response is due to durable goods. By combining this marginal spending share on durables with an average spending share of 14%, we estimate the annual depreciation rate of durables in China to be 0.17.

Oxford Economic Papers 76(4) p. 1226-1238 Doi: https://doi.org/10.1093/oep/gpae012

How do capacity constraints affect the slope of the Phillips curve? In particular, do changes in output affect prices by more when firms face more strongly diminishing returns? Intuitively, one may conjecture that the answer is yes. With more strongly diminishing returns, marginal costs increase more when production increases, also raising prices by more. But this intuition is incomplete in models with sticky prices à la Calvo. In the standard New Keynesian model with Calvo pricing frictions, more strongly diminishing returns actually flatten the Phillips curve. The reason is the reluctance of firms who alter their prices to let their prices get too far out of line with the prices set by firms that do not adjust. We explain how the Phillips curve might be amended to avoid this implausible feature, for example, by using Rotemberg pricing or introducing wage stickiness.

Samfunnsøkonomen 138(1) p. 22-28

Denne artikkelen presenterer en modell for å utlede optimale handlingsregler. Modellen inkluderer seks faktorer som ofte blir diskutert: Fremtidige petroleumsinntekter, befolkningsvekst, fremtidige behov (aldring), produktivitetsvekst, konjunktursvingninger og avkastningsrisiko. Befolkningsvekst, fremtidige behov og konjunktursvingninger innebærer at fondsuttaket bør være lavere enn forventet realavkastning på finansformuen. Fremtidige petroleumsinntekter og produktivitetsvekst innebærer et høyere uttak enn forventet realavkastning. Avkastningsrisiko innebærer et høyere uttak ved liten formue, men et lavere uttak når formuen er stor.

Working Paper, Norges Bank

The Scandinavian Journal of Economics 125(2) p. 441-460 Doi: https://doi.org/10.1111/sjoe.12516

Abstract In periods of distress, observed and perceived income risk tends to rise. Does this heightened income risk affect monetary transmission? This paper first shows that in partial equilibrium, heightened income risk dampens the substitution effect of interest rate changes but amplifies the indirect income effect of wage changes. The effects are sizable in partial equilibrium. An increase in income risk consistent with heightened risk during recessions affects interest rate and wage responses by around one‐third. However, because income risk dampens the effects of interest rate changes but amplifies the effects of wage changes, its effect is weaker in general equilibrium, dampening monetary transmissions to consumption by around 11 percent.

Journal of Economic Theory 195 p. 1-21 Doi: https://doi.org/10.1016/j.jet.2021.105276

We provide the analytical explanation of the interactions between precautionary saving and liquidity constraints. The effects of liquidity constraints and risks are similar because both stem from the same source: a concavification of the consumption function. Since a more concave consumption function exhibits heightened prudence, both constraints and risks strengthen the precautionary saving motive. In addition, we explain the apparently contradictory results that constraints and risks in some cases intensify, but in other cases weaken the precautionary saving motive. The central insight is that the effect of introducing an additional constraint or risk depends on whether it interacts with preexisting constraints or risks. If it does not interact with any preexisting constraints or risks, it intensifies the precautionary motive. If it does interact, it may reduce the precautionary motive in earlier periods at some levels of wealth.

American Economic Journal: Macroeconomics 13(4) p. 1-54 Doi: https://doi.org/10.1257/mac.20190211

We use sizable lottery prizes in Norwegian administrative panel data to explore how transitory income shocks are spent and saved over time, and how households’ marginal propensities to consume (MPCs) vary with household characteristics and shock size. We find that spending peaks in the year of winning and gradually reverts to normal within five years. Controlling for all items on households’ balance sheets and characteristics such as education and income, it is the amount won, age, and liquid assets that vary systematically with MPCs. Low-liquidity winners of the smallest prizes (around USD 1,500) are estimated to spend all within the year of winning. The corresponding estimate for high-liquidity winners of large prizes (USD 8,300-150,000) is slightly below one half. While conventional models will struggle to account for such high MPC levels, we show that a two-asset life-cycle model with a realistic earnings profile and a luxury bequest motive can account for both the time profile of consumption responses and their systematic co-variation with observables.

Journal of Economic and Social Measurement 45(1) p. 65-81 Doi: https://doi.org/10.3233/JEM-200471

We provide a new estimate of household-level housing wealth in Norway between 1993 and 2015 using an ensemble machine learning method on housing transaction data. The new housing wealth measure is an improvement over existing data sources for two reasons. First, the model outperforms previously applied regression models in out-of-sample prediction precision. Second, we extend the sample of estimated housing wealth by including cooperative units, non-id apartments, and cabins.

Journal of Political Economy 129(10) p. 2861-2904 Doi: https://doi.org/10.1086/715416

We investigate the transmission of monetary policy to household consumption using administrative data on the universe of households in Norway. On the basis of identified monetary policy shocks, we estimate the dynamic responses of consumption, income, and saving along the liquid asset distribution of households. For low-liquidity but also for high-liquidity households, changes in disposable income are associated with a sizable consumption reaction. The impact consumption response is closely linked to interest rate exposure, which is negative at the bottom but positive at the top of the distribution. Indirect effects of monetary policy gradually build up and eventually outweigh the direct effects.

Economics Letters 167(June) p. 40-42 Doi: https://doi.org/10.1016/j.econlet.2018.03.004

How do liquidity constraints affect households? This is a well-researched subject with remarkably few theoretical results. This paper bridges this gap by providing a closed form expression for consumption with liquidity constraints for a wide class of utility functions (HARA). Using this expression, I prove that the consumption function is strictly concave in wealth if a relevant liquidity constraint exists. Moreover, households respond to a tightening of the liquidity constraint by reducing consumption, becoming more sensitive to wealth changes, and having a “more” concave consumption function in wealth. These results thus provide theoretical underpinnings for how contractions in credit supply affect households

Journal of the Acoustical Society of America 142(4) p. 1888-1896 Doi: https://doi.org/10.1121/1.5006059

Working Paper, Norges Bank Doi: https://doi.org/10.2139/ssrn.2852369

Samfunnsøkonomen p. 20-25

Martin Bech Holte forholder seg til data som fanden leser bibelen. Det er synd, fordi det ødelegger det som kunne vært en konstruktiv debatt om hvordan Norge bør se ut.

https://www.dn.no/okonomi/rente/prisvekst/okonomi/forer-hoyere-rente-virkelig-til-lavere-prisvekst/2-1-1836215

https://www.dn.no/innlegg/oljepengebruk/handlingsregelen/finanspolitikk/tid-for-oppdatert-regel-for-oljepengebruk-ma-tale-kriser-bedre/2-1-1777569

5th Workshop on Household Finance and Housing

Centre for Household Finance and Macroeconomic Research (HOFIMAR) Workshop

PhD Research Seminar

Department of Economics Discussion Paper Series, University of Oxford

Forskermøtet 2024

We estimate local government spending multipliers using administrative data on municipalities in Norway. Based on identified shocks we estimate the dynamic response of gross production across geographical units and sectors of the economy. We find that the multipliers increase with the home bias in consumption. The results indicate that spending multiplier is closely linked to import leakages, which are reduced as the size of the economy increases. We observe that the public sector is the first to be affected by public spending, before the multiplier builds up in the private sector. We also show that similar results can be obtained by using a structural vector autoregressive models (SVAR) with various identifying assumptions.

38th meeting of the European Economic Association

Oslo Macro Conference

Seminar

Samfunnsøkonomen 138(1) p. 5-14

Fed St. Louis-JEDC-SCG-SNB-Conference Heterogeneity and Macroeconomics of Labor Markets

Micro Data Meet Macro Models Workshop

Workshop on “Unveiling Wealth and Income Inequalities”

Center for Monetary Economics

Seminar, London Business School

Seminar, Lund University

Seminar, Cunef University

PhD Workshop: Mid-term evaluation

Seminar

Seminar

Seminar, Norges Bank

Banque de France

NorMac

EEA-ESEM

EEA-ESEM

Workshop at Norges Bank

Bank of Canada

Copenhagen University

Seminar, Sciences Po

2022 European Winter Meeting of the Econometric Society

Seminar, NHH Norges Handelshøyskole

Samfunnsøkonomenes Forskermøte 2022

Society of Economics of the Household (SEHO)

Seminar, Bank of Colombia

Center for Monetary Economics, BI Norwegian Business School

Seminar Bank of Spain

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

Statistisk sentralbyrå (SSB)

Denne rapporten er skrevet på oppdrag for Sysselsettingsutvalget. Sysselsettingsutvalget skal analysere utviklingen i sysselsettingen i Norge og foreslå tiltak for å øke sysselsettingen. Arbeidet er delt opp i to faser. Fase én var ferdig da ekspertgruppen la fram sine forslag for økt sysselsetting 28. mars 2019. I fase to er utvalget utvidet og inkluderer partene i arbeidslivet. Fase to begynte 5.april 2019. I denne rapporten analyseres hvordan markedsmakt og ulikhet kan påvirke den økonomiske aktiviteten, herunder sysselsettingen.

Federal Reserve of San Francisco

Seminar

Centre for Economic Policy Research. Discussion papers

We exploit a school reform that increased the length of compulsory schooling in Norway in the 1960s to study the causal effect of formal general education on returns on wealth (k-returns). OLS estimates reveal a strong, positive and statistically significant correlation between education and returns on individual net worth. This effect disappears in IV regressions, implying that general education has no causal effect on individual performance in capital markets, whose heterogeneity largely reflects non-acquired ability. On the contrary, we find that education causes higher returns in the labor market (l-returns). We speculate about possible rationales for this important asymmetry.

NBER Working paper

NBER Summer Institute, EF&G Research Meeting

American Economic Association: Annual Meeting

Annual Congress of the European Economic Association

Konferanse: New Consumption Data, Universitetet i København

Seminar

Workshop on New Consumption Data

Santa Clare University research seminar

CEPR Workshop on Household Finance, Spring 2017

The New Macroeconomics of Aggregate Fluctuations and Stabilisation Policy

Annual Meeting of the European Economic Association

Society of Economic Dynamics Annual Meeting

NBER Summer Institute

Econometric Society European Winter Meething

Annual Conference of the International Association of Applied Econometrics

Econometric Society European Winter Meeting