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Leif Anders Thorsrud is a Professor at the BI Norwegian Business School, and manager of the research centre CAMP (Centre for Applied Macroeconomics and Commodity Prices) at the BI Norwegian Business School. He holds a Bachelor of Arts in Journalism and International Relations, and a Master of Philosophy in Economics from the University of Oslo. He obtained his Phd in Economics from BI Norwegian Business School.
His main area of research is within applied macroeconomics, time series, and machine learning. Special interests include the study of natural resources, business cycles, textual analysis and forecasting. He has published in leading journals such as the Economic Journal, Journal of Econometrics, Journal of Business and Economic Statistics, and Journal of Applied Econometrics. He is also the co-author of the book “Applied Time Series Macroeconomics”.
Thorsrud has previously held positions as staff economist at Norges Bank and the Reserve Bank of New Zealand, and as senior researcher at Norges Bank.
Publikasjoner
Anundsen, André Kallåk; Kivedal, Bjørnar Karlsen, Larsen, Erling Røed & Thorsrud, Leif Anders (2022)
Behavioral changes in the housing market before and after the Covid-19 lockdown
We exploit unique Norwegian day-by-day transaction and hour-by-hour bidding logs data in order to examine how market participants reacted to the spreading news of Covid-19 in early March 2020, the lockdown on March 12, and the re-opening on April 20. We observe changes on the date of the lockdown in transaction volumes, sell-prediction spreads, exploitative bidding behavior, and seller confidence. However, when we compare observed price developments with our estimated counter-factual price developments, we find that about half of the total fall in prices had already occurred before the lockdown was implemented. The reopening completely reverses the lockdown effect on prices. We show that voluntary behavioral changes, as well as lockdown and re-opening effects, are visible in various measures of social mobility, and that changes in daily news sentiment correlate with the abnormal price movements during this period.
Ellen, Saskia ter; Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2021)
We propose a simple method to quantify narratives from textual data, and identify what we label “narrative monetary policy surprises” as the difference in narrative focus in central bank communication accompanying interest rate meetings and economic media coverage prior to those meetings. Identifying narrative surprises in this way using Norwegian data provides surprise measures that are uncorrelated with conventional monetary policy surprises, and, in contrast to such surprises, have a significant effect on subsequent media coverage. In turn, narrative monetary policy surprises lead to macroeconomic responses similar to what recent monetary policy literature associates with the information component of monetary policy communication, highlighting media’s role as information intermediaries.
Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2021)
We decompose the textual data in a daily Norwegian business newspaper into news topics and investigate their predictive and causal role for asset prices. Our findings suggest that news published through the mass media has significant, persistent, and potentially economically profitable predictive power for returns. Moreover, during an exogenous media strike returns for firms particularly exposed to our news measure experience a substantial fall relative to the control group. Together these findings lend support for a view where the media act as “information intermediaries” between agents and the state of the world, and disseminate fundamental information to investors.
Ellingsen, Jon; Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2021)
News media versus FRED-MD for macroeconomic forecasting
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on US GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news-based data are particularly informative for forecasting consumption developments.
Larsen, Vegard Høghaug; Thorsrud, Leif Anders & Zhulanova, Julia (2020)
News-driven inflation expectations and information rigidities
Using a large news corpus and machine learning algorithms we investigate the role played by the media in the expectations formation process of households, and conclude that the news topics media report on are good predictors of both inflation and inflation expectations. In turn, in a noisy information model, augmented with a simple media channel, we document that the time series features of relevant topics help explain time-varying information rigidity among households. As such, we provide a novel estimate of state-dependent information rigidities and present new evidence highlighting the role of the media in understanding inflation expectations and information rigidities.
Larsen, Erling Røed; Anundsen, André Kallåk, Kivedal, Bjørnar Karlsen & Thorsrud, Leif Anders (2020)
Behavioral changes and policy effects during Covid-19: Evidence from day-by-day sales and bid-by-bid auction logs in the housing market, (with André K. Anundsen, Bjørnar Karlsen Kivedal, and Leif Anders Thorsrud. Housing Lab Working Paper Series 2020-3.
2020(3)
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.
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.
Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2018)
This article quantifies the epidemiology of media narratives relevant to business
cycles in the US, Japan, and Europe (euro area). We do so by first constructing
daily business cycle indexes computed on the basis of the news topics the media
writes about. At a broad level, the most influential news narratives are shown to be associated with general macroeconomic developments, finance, and (geo-)politics. However, a large set of narratives contributes to our index estimates across time, especially in times of expansion. In times of trouble, narratives associated with economic fluctuations become more sparse. Likewise, we show that narratives do go viral, but mostly so when growth is low. While narratives interact in complicated ways, we document that some are clearly associated with economic fundamentals. Other narratives, on the other hand, show no such relationship, and are likely better explained by classical work capturing the market’s animal spirits.
Bjørnland, Hilde C & Thorsrud, Leif Anders (2018)
Commodity prices and fiscal policy design: Procyclical despite a rule
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.
Bjørnland, Hilde C; Gerdrup, Karsten, Jore, Anne Sofie, Smith, Christie & Thorsrud, Leif Anders (2012)
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
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 & Thorsrud, Leif Anders (2015)
Applied Time Series for Macroeconomics
[Textbook].
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 (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 & 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.
Thorsrud, Leif Anders (2012)
Global and regional business cycles. Shocks and propagations
[Conference Lecture]. Event
Thorsrud, Leif Anders (2012)
Global and regional business cycles. Shocks and propagations
[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; 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.
Thorsrud, Leif Anders (2011)
Nowcasting GDP in real-time: A density combination approach
[Conference Lecture]. Event
Bjørnland, Hilde C; Thorsrud, Leif Anders & Aastveit, Knut Are (2011)
The World is not enough! Small open ecnomics and regional dependence
Nowcasting GDP in Real-Time: A Density Combination Approach
[Report Research].
In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined separately. Then, the nowcasts from the three model classes are combined into a single predictive density. We update the density nowcast for every new data release throughout the quarter, and highlight the importance of new information for the evaluation period 1990Q2-2010Q3. Our results show that the logarithmic score of the predictive densities for U.S. GDP increase almost monotonically as new information arrives during the quarter. While the best performing model class is changing during the quarter, the density nowcasts from our combination framework is always performing well both in terms of 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.
Thorsrud, Leif Anders & Karagedikli, Ozer (2010)
Shocked by the world! Introducing the three block open economy FAVAR
[Conference Lecture]. Event
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.
Thorsrud, Leif Anders & Karagedikli, Ozer (2010)
Shocked by the world! Introducing the three block open economy FAVAR
