Institutt for samfunns­økonomi

Australian Economic Review Doi: https://doi.org/10.1111/1467-8462.70076

Extracting ‘stars’ and ‘gaps’ variables from macroeconomic time series is challenging. We highlight common pitfalls and suggest how to link gap measurement to robust features of existing new Keynesian theories. JEL Classification: C31, E27, E32

BI Business Review

Handelshøyskolen BI

Central banks publish projection paths, but these need not be optimal summaries of the information used to form them. We reframe conditional macroeconomic forecasting as an input problem: a fixed, pre-trained multivariate foundation time-series model reads the institution’s historical predictions and announced future paths alongside target histories, rather than imposing the path as a model-consistent restriction inside a locally estimated system. The mapping nests the Mincer–Zarnowitz and Granger–Ramanathan regressions as its parametric-linear special case. Reading just Norges Bank’s published path triple and target histories, the map cuts mean squared error against the Bank on inflation across horizons, and the nested combination regression puts the conditional weight on the map, not the path. A hard-conditioned VAR matched on the same future paths, but blind to the prediction record, is consistently outperformed on the rate and inflation, and the result survives the asymmetric-loss specifications that best rationalise the path. The VAR contrast replicates on Sweden and New Zealand; the institutional comparison only on New Zealand, with parity at best on Sweden. An institutional-learning regression rationalises the split: the Riksbank absorbs its recent misses more aggressively than Norges Bank and the RBNZ, leaving less residual signal to extract.

Journal of Money, Credit and Banking Doi: https://doi.org/10.1111/jmcb.70105

Growth in household debt-to-income ratios can be attributed to nominal debt changes or “Fisher dynamics” due to interest income and expenses, real income growth, and inflation. With microdata covering the universe of Norwegian households for more than 20 years, we decompose the importance of these channels for how debt-to-income ratios evolve over time and respond to monetary policy shocks. On average, debt changes outsize Fisher dynamics, but among highly leveraged households Fisher dynamics dominate. After interest rate hikes, debt changes and Fisher dynamics pull in opposite directions, with the former dominating, leading to a decline in debt-to-income ratios. This pattern is consistent across sub-groups, including highly indebted households, recent movers, households facing liquidity constraints, and households facing high unemployment risk.

University of Stavanger