Knut Are Aastveit

American Economic Journal: Macroeconomics 14(4) s. 499-529 Doi: https://doi.org/10.1257/mac.20190011

The responsiveness of house prices to monetary policy shocks depends on the nature of the shock—expansionary versus contractionary—and on local housing supply elasticities. These findings are established using a panel of 263 US metropolitan areas. Expansionary monetary policy shocks have a larger impact on house prices in supply inelastic areas. Contractionary shocks are orthogonal to housing supply elasticities. In supply elastic areas, contractionary shocks have a greater impact on house prices than expansionary shocks. The opposite holds true in supply inelastic areas. We attribute this to asymmetric housing supply adjustments.

Review of Economics and Statistics Doi: https://doi.org/10.1162/rest_a_01120

We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and stochastic volatility. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to ination, the output gap, house prices and stock prices. Our results indicate that the systematic component of monetary policy in the U.S. responded to real stock price growth significantly but episodically, mainly around recessions and periods of financial instability, and took real house price growth into account only in the years preceding the Great Recession. Around half of the estimated response captures the predictor role of asset prices for future ination and real economic activity, while the remaining component reects a direct response to stock prices and house prices.

Review of Economics and Statistics 105(3) s. 733-743 Doi: https://doi.org/10.1162/rest_a_01073

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.

Journal of the American Statistical Association Doi: https://doi.org/10.1080/01621459.2019.1660171

We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS evaluates- sequentially and adaptively over time- varying forecast biases and facets of miscalibration of individual forecast densities for multiple time series, and- critically- their time-varying inter-dependencies. We define BPS methodology for a new class of dynamic multivariate latent factor models implied by BPS theory. Structured dynamic latent factor BPS is here motivated by the application context- sequential forecasting of multiple US macroeconomic time series with forecasts generated from several traditional econometric time series models. The case study highlights the potential of BPS to improve of forecasts of multiple series at multiple forecast horizons, and its use in learning dynamic relationships among forecasting models or agents.

International Journal of Forecasting Doi: https://doi.org/10.1016/j.ijforecast.2018.09.008

We assess the importance of residential investment for the prediction of economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with different leading indicators and evaluate their relative prediction accuracies using the area under the receiver operating characteristic curve as our forecasting performance metric. We document that residential investment contains information that is useful for predicting recessions both in-sample and out-of-sample. This result is robust to adding typical leading indicators, such as the term spread, stock prices, consumer confidence surveys and oil prices. It is shown that residential investment is particularly useful for the prediction of recessions for countries with high home-ownership rates. Finally, in a separate exercise for the US, we show that the predictive ability of residential investment is — in a broad sense — robust to employing real-time data.

Journal of International Money and Finance 76 s. 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.

International Journal of Forecasting 32(2) s. 283-292 Doi: https://doi.org/10.1016/j.ijforecast.2015.06.006

The Scandinavian Journal of Economics 118(1) s. 168-195 Doi: https://doi.org/10.1111/sjoe.12126

Journal of applied econometrics 30(7) s. 1013-1028 Doi: https://doi.org/10.1002/jae.2406

Journal of business & economic statistics 32(1) s. 48-68 Doi: https://doi.org/10.1080/07350015.2013.844155

In this paper, we use U.S. real-time data to produce combined density nowcasts of quarterly GDP growth, using a system of three commonly used model classes. We update the density nowcast for every new data release throughout the quarter, and highlight the importance of new information for nowcasting. Our results show that the logarithmic score of the predictive densities for U.S. GDP growth increase almost monotonically, as new information arrives during the quarter. While the ranking of the model classes changes during the quarter, the combined density nowcasts always perform well relative to the model classes in terms of both logarithmic scores and calibration tests. The density combination approach is superior to a simple model selection strategy and also performs better in terms of point forecast evaluation than standard point forecast combinations.

Quarterly Review of Economics and Finance 54(2) s. 180-193 Doi: https://doi.org/10.1016/j.qref.2013.09.003

Energy Economics 45 s. 268-279 Doi: https://doi.org/10.1016/j.eneco.2014.07.006

Empirical Economics 42(1) s. 95-119 Doi: https://doi.org/10.1007/s00181-010-0429-9