http://www.bis.org/cbhub/list/country/country_denmark/index.rss Latest research hub papers from Denmark en http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_782012_Financial_structures_and_the_real_effects_of_credit-supply_shocks_in_Denmark_1922-2011!opendocument National Bank of Denmark (Danmarks Nationalbank) Working papers by Abildgren, Kim Financial structures and the real effects of credit-supply shocks in Denmark 1922-2011 2012-01-20T12:35:00Z We examine the real effects of credit-supply shocks using a series of structural vector autoregressive models estimated on the basis on a new quarterly data set for Denmark spanning the past 90 years or so. We find no effects on the unemployment level from supply-shocks to credit from commercial/savings banks in the periods 1922-1949 and 1981-2011 even though these periods contained several cases of severe banking and financial crises. Furthermore, credit-supply shocks do not seem to explain any significant share of the volatility in the unemployment rate during these periods. We attribute these findings to the large market for mortgage-credit loans in Denmark raised through bond-financed mortgage banks combined with comprehensive government interventions to safeguard financial stability during times of crises. There might, however, be indications of real effects from credit-supply shocks in the period 1950-1980 where credit rationing and exchange controls served as important economic-policy instruments. Overall these results indicate that both the financial-system structure as well as the extent of government intervention during banking crises play a key role to the significance of real effects of credit-supply shocks. These findings must be kept in mind when modelling the role of financial intermediaries in macroeconomic models. Financial structures and the real effects of credit-supply shocks in Denmark 1922-2011 2012-01-20T12:35:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/c770e8ff821fbf50c125798b002d52ff!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_782012_Financial_structures_and_the_real_effects_of_credit-supply_shocks_in_Denmark_1922-2011!opendocument Kim Abildgren Abildgren, Kim 2012-01-20 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_no_772012_Asymmetric_Monetary_Policy_Towards_the_Stock_Market_A_DSGE_Approach/$file/WP_77_2012.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Ravn, Søren Hove Asymmetric Monetary Policy Towards the Stock Market: A DSGE Approach 2012-01-18T17:34:59Z In the aftermath of the financial crisis, it has been argued that a guideline for future policy should be to take the 'a' out of 'asymmetry' in the way monetary policy deals with asset price movements. Recent empirical evidence has suggested that the Federal Reserve may have followed an asymmetric policy towards the stock market in the pre-crisis period. The present paper studies the effects of such a policy in a DSGE model. The asymmetric policy rule introduces an important non-linearity into the model: Booms in output and inflation will tend to be amplified, while recessions will be dampened. I further investigate to what extent an asymmetric stock price reaction could be motivated by the desire of policymakers to correct for inherent asymmetries in the way stock price movements affect the macroeconomy. Asymmetric Monetary Policy Towards the Stock Market: A DSGE Approach 2012-01-18T17:34:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/a7d5a64f9e730440c125798900444d63!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_no_772012_Asymmetric_Monetary_Policy_Towards_the_Stock_Market_A_DSGE_Approach/$file/WP_77_2012.pdf Søren Hove Ravn Ravn, Søren Hove 2012-01-18 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_762011_Wage_Dynamics_in_Denmark/$file/PSO%20Working%20Paper%2076.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Storgaard, Peter Ejler Wage Dynamics in Denmark 2011-10-12T17:36:00Z Compared with the previous decades the rate of wage increase in Denmark has been subdued since the mid-1990s, given the pressure that gradually arose in the labour market. The paper describes changes in the labour market in recent years, including labour-market reforms and decentralisation of wage formation, and an empirical analysis of wage development in Denmark from 1975 to 2007 is performed. The results indicate that in the long term Danish wage development can be described by a real-wage curve. In the short term a wage equation with error correction towards this real-wage curve seems to outperform a simple Phillips curve. Wage Dynamics in Denmark 2011-10-12T17:36:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/4fa0247dff85f1bfc125792700355ef8!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_762011_Wage_Dynamics_in_Denmark/$file/PSO%20Working%20Paper%2076.pdf Peter Ejler Storgaard Storgaard, Peter Ejler 2011-10-12 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/Working_paper_no_75_Has_the_Fed_Reacted_Asymmetrically_to_Stock_Prices/$file/WP_75_2011.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Ravn, Søren Hove Has the Fed Reacted Asymmetrically to Stock Prices? 2011-10-10T12:35:59Z Yes. Existing studies of the possible role of asset prices in monetary policy implicitly assume that central banks respond to asset price movements in a fully symmetric way. This paper offers a new perspective by allowing for different policy reactions to stock price increases and decreases, respectively. To avoid endogeneity problems, I employ the method of identification through heteroskedasticity. I then demonstrate that the reaction of the Federal Reserve has indeed been asymmetric during the period 1998-2008. While a 5% drop in the S&P 500 index is shown to increase the probability of a 25 basis point interest rate cut by 1/3, no significant reaction to stock price increases can be identified. Has the Fed Reacted Asymmetrically to Stock Prices? 2011-10-10T12:35:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/18ad594660a5b909c1257925002e9c9e!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/Working_paper_no_75_Has_the_Fed_Reacted_Asymmetrically_to_Stock_Prices/$file/WP_75_2011.pdf Søren Hove Ravn Ravn, Søren Hove 2011-10-10 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_732011_E/$file/DN_WP73.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Abildgren, Kim and Buchholst, Birgitte Vølund and Staghøj, Jonas Bank-firm relationships and the performance of non-financial firms during the financial crisis 2008-09 - microeconometric evidence from large-scale firm-level data 2011-09-20T12:35:00Z Utilising a unique data set with annual accounts from around 37,000 Danish non-financial firms spanning one and a half decade or so, we offer microeconometric evidence on bank-firm relationships and the performance of non-financial firms during the financial crisis 2008-09. Two major conclusions are drawn from the analysis. First, the probability of default during the financial crisis 2008-09 was significantly higher for firms with a "weak" bank than for comparable firms with a "sound" bank. Second, non-defaulting firms with a "weak" bank did not have a lower return on assets during the financial crisis 2008-09 than comparable firms with a "sound" bank. Taken together, these results may indicate the presence of heterogeneous effects of having a "weak" bank with significant negative effects on the economic performance for some firms but insignificant effects for the broad mass of firms. Bank-firm relationships and the performance of non-financial firms during the financial crisis 2008-09 - microeconometric evidence from large-scale firm-level data 2011-09-20T12:35:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/2138eaff8958ecd6c1257910002d7372!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_732011_E/$file/DN_WP73.pdf Jonas Staghøj Kim Abildgren Birgitte Vølund Buchholst Abildgren, Kim and Buchholst, Birgitte Vølund and Staghøj, Jonas 2011-09-20 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_74_2011_E/$file/DN_WP_74.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Jacobsen, Johan Gustav Kaas and Nielsen, Søren Truels Payment Habits in Denmark 2011-09-20T12:35:00Z In Denmark the most frequent means of payment are cash and dankort. A survey study of Danish payment behaviour reveals that older citizens as well as low-income groups in particular prefer cash. A recent change in Danish surcharge regulation permits retailers to charge a fee when receiving credit card payments, but not when receiving debit card, including dankort, payments. A statistical analysis of Danish payment patterns indicate that such a change will not incite more people to pay in cash. Payment Habits in Denmark 2011-09-20T12:35:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/314e6adbb3ef90bdc12579100043a07f!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_74_2011_E/$file/DN_WP_74.pdf Johan Gustav Kaas Jacobsen Søren Truels Nielsen Jacobsen, Johan Gustav Kaas and Nielsen, Søren Truels 2011-09-20 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_72_2011_E/$file/WP_72_2011.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Damgaard, Jannick Spillovers from FDI:Ownership Structures, Domestic Firm Characteristics, and FDI Characteristics 2011-04-29T12:39:00Z This paper is unique in testing the importance of the foreign ownership definition when estimating productivity spillovers from foreign direct investment (FDI) to domestic firms; a crucial aspect in countries with a widespread use of holding companies. In addition, it moves beyond the standard framework by not only analyzing aggregate productivity spillovers, but also testing the importance of both domestic firm characteristics and FDI characteristics. The empirical analysis is the first one to exploit the rich details offered by official Danish firm-level panel data. The analysis displays significant evidence of negative spillovers at the aggregate level, but the results differ widely across industries. It also reveals that not including firms under indirect foreign control in the group of foreign firms, as is done in some studies, leads to biased results. With regard to domestic firm characteristics, high export orientation and high competition mitigate some of the negative productivity spillovers. Finally, the estimations show that the negative spillovers largely stem from foreign firms (i) with low productivity, (ii) with high foreign trade orientation, and (iii) ultimately controlled by investors outside Scandinavia. Spillovers from FDI:Ownership Structures, Domestic Firm Characteristics, and FDI Characteristics 2011-04-29T12:39:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/a90e32be26e2e187c125788100322b31!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_72_2011_E/$file/WP_72_2011.pdf Jannick Damgaard Damgaard, Jannick 2011-04-29 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_712010_E/$file/WP71_QNR.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Abildgren, Kim Business cycles, Monetary Transmission and Shocks to Financial Stability - Empirical evidence from a new set of Danish quarterly national accounts 1948-2010 2010-11-16T17:36:00Z In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic indicators covering the Danish economy since 1948. As a first exploratory analysis of these two new data sets the paper reviews some of the stylised empirical evidence on the business cycle, the monetary transmission mechanism and shocks to financial stability that can be uncovered using filtering techniques and reduced-form vector autoregressive (VAR) models. The long-span data sets make it possible to estimate VAR models of a higher dimension than is usually found in the literature due to degrees-of-freedom problems. The results from the VAR analysis indicate a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector’s write-down ratio. Business cycles, Monetary Transmission and Shocks to Financial Stability - Empirical evidence from a new set of Danish quarterly national accounts 1948-2010 2010-11-16T17:36:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/7a57ca557c968537c12577dd003884be!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_712010_E/$file/WP71_QNR.pdf Kim Abildgren Abildgren, Kim 2010-11-16 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_702010_Liquidity_of_Danish_Government_and_Covered_Bonds__Before_During_and_After_the_Financial_Crisis__Preliminary_Findings/$file/WP%2070.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Buchholst, Birgitte Vølund and Gyntelberg, Jacob and Sangill, Thomas Liquidity of Danish Government and Covered Bonds – Before, During and After the Financial Crisis – Preliminary Findings 2010-09-30T17:36:59Z We present preliminary findings on the liquidity of the government and covered bond markets in Denmark before, during and after the 2008 financial crisis. The analysis focuses on wholesale trading in benchmark bonds in the two markets and is based on an up to now unused transaction level dataset for the period from January 2005 until May 2010. We find that even though trading continued during the crisis, both markets experienced substantial declines in liquidity and significantly increased liquidity risk. Overall, our findings suggest that Danish benchmark covered bonds by and large are as liquid as Danish government bonds during periods of market stress. The findings also suggest that before the crisis government bonds were slightly more liquid than covered bonds in both the short- and long-term market segments. For the period after the crisis, the two markets appear to have had more or less the same level of liquidity for short-term as well as long-term bonds. Liquidity of Danish Government and Covered Bonds – Before, During and After the Financial Crisis – Preliminary Findings 2010-09-30T17:36:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/7a25ccdafbfe3012c12577ae004f4584!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_702010_Liquidity_of_Danish_Government_and_Covered_Bonds__Before_During_and_After_the_Financial_Crisis__Preliminary_Findings/$file/WP%2070.pdf Jacob Gyntelberg Birgitte Vølund Buchholst Thomas Sangill Buchholst, Birgitte Vølund and Gyntelberg, Jacob and Sangill, Thomas 2010-09-30 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_692010_E/$file/WP_69_2010 National Bank of Denmark (Danmarks Nationalbank) Working papers by Du Caju, Philip and Duarte, Cláudia Filipa and Hansen, Niels Lynggård and Messina, Julián The Incidence of Nominal and Real Wage Rigidity: an Individual Based Sectoral Approach 2010-08-11T17:40:00Z This paper presents estimates based on individual data of downward nominal and real wage rigidities for thirteen sectors in Belgium, Denmark, Spain and Portugal. Our methodology follows the approach recently developed for the International Wage Flexibility Project, whereby resistance to nominal and real wage cuts is measured through departures of observed individual wage change histograms from an estimated counterfactual wage change distribution that would have prevailed in the absence of rigidity. We evaluate the role of worker and firm characteristics in shaping wage rigidities. We also confront our estimates of wage rigidities to structural features of the labour markets studied, such as the wage bargaining level, variable pay policy and the degree of product market competition. We find that the use of firm-level collective agreements in countries with rather centralized wage formation reduces the degree of real wage rigidity. This finding suggests that some degree of decentralization within highly centralized countries allows firms to adjust wages downwards, when business conditions turn bad. The Incidence of Nominal and Real Wage Rigidity: an Individual Based Sectoral Approach 2010-08-11T17:40:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/a366acb3cbcdeebdc125777c004d0ccb!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_692010_E/$file/WP_69_2010 Philip Du Caju Niels Lynggård Hansen Julián Messina Cláudia Filipa Duarte Du Caju, Philip and Duarte, Cláudia Filipa and Hansen, Niels Lynggård and Messina, Julián 2010-08-11 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_682010_Tax_Evasion_and_Swiss_Bank_Deposits/$file/WP_68.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Johannesen, Niels Tax Evasion and Swiss Bank Deposits 2010-06-03T17:42:00Z Bank deposits in jurisdictions with banking secrecy constitute an effective tool to evade taxes on interest income. A recent EU reform reduces the scope for this type of tax evasion by introducing a source tax on interest income earned by EU residents in Switzerland and several other jurisdictions with banking secrecy. In this paper, we estimate the impact of the source tax on Swiss bank deposits held by EU residents while using that non-EU residents were not subject to the tax to apply a natural experiment methodology. We find that the 15% source tax caused Swiss bank deposits of EU residents to drop by more than 40% with most of the response occurring in two quarters immediately before and after the source tax was introduced. The estimates imply an elasticity of Swiss deposits with respect to the net-of-source-tax-rate of around 2.75. The estimated elasticity is used to evaluate the efficiency properties of the tax. Given the large responsiveness of tax evaders, we find that the tax is associated with a very significant deadweight loss and that the 35% tax rate scheduled to apply from 2011 is considerably above the revenue maximizing rate. Tax Evasion and Swiss Bank Deposits 2010-06-03T17:42:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/cb5d64cc20db40afc125773700463d2c!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_682010_Tax_Evasion_and_Swiss_Bank_Deposits/$file/WP_68.pdf Niels Johannesen Johannesen, Niels 2010-06-03 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_662010_Dankort_payments_as_a_timely_indicator_of_retail_sales_in_Denmark/$file/WP_66.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Carlsen, Maria and Storgaard, Peter Ejler Dankort payments as a timely indicator of retail sales in Denmark 2010-03-16T17:38:59Z The paper examines whether electronic payments by card (Dankort) provides a useful indicator for retail sales in Denmark. Dankort transactions data is available about one week after the reference month, while the retail sales index is only published about three weeks later. We add to previous work by setting up a model for the seasonally adjusted volume index for retail sales. The extensions considered are meant to further enhance the usefulness of the nowcasting model for conjunctural analysis. The out-of-sample forecasting ability of the model compares favourably with a benchmark autoregression. Dankort payments as a timely indicator of retail sales in Denmark 2010-03-16T17:38:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/af4b67309f37aa23c12576e80050ff6c!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_662010_Dankort_payments_as_a_timely_indicator_of_retail_sales_in_Denmark/$file/WP_66.pdf Maria Carlsen Peter Ejler Storgaard Carlsen, Maria and Storgaard, Peter Ejler 2010-03-16 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_672010_Eksportformaaen_og_loenkonkurrenceevne/$file/WP_67_web.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Huynh-Olesen, Duy Thanh and Kristensen, Kamilla and Riishøj, Johanne Dinesen Eksportformåen og lønkonkurrenceevne 2010-03-16T17:38:59Z The working paper investigates the relationship between export performance and wage competitiveness in the manufacturing sector. Analyses in the paper show that among industrialised countries for the period since 1995 countries with the greatest deterioration in wage competitiveness have also had a tendency to do relatively poorly in the export market measured in volumes. Data for Denmark show that our loss of export market shares in volumes has been particularly high in times when the Danish labour costs have risen significantly more than abroad. When looking at current prices, the link between export performance and wage competitiveness in the Danish manufacturing sector is less clear. This applies to both the Danish manufactured exports in total, and to industrial sectors. An empirical analysis based on data across countries, industrial sectors and time shows that the Danish manufactured exports are less sensitive to changes in wage competitiveness than that of our main trading partners Germany, Sweden and United Kingdom. Eksportformåen og lønkonkurrenceevne 2010-03-16T17:38:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/2476a1766403974bc12576e80050876a!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_672010_Eksportformaaen_og_loenkonkurrenceevne/$file/WP_67_web.pdf Johanne Dinesen Riishøj Duy Thanh Huynh-Olesen Kamilla Kristensen Huynh-Olesen, Duy Thanh and Kristensen, Kamilla and Riishøj, Johanne Dinesen 2010-03-16 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_652010_Forecasting_Direct_Investment_Equity_Income_for_the_Danish_Balance_of_Payments/$file/WP_65_2010.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Damgaard, Jannick and Laursen, Mathies Lau Friis and Wederkinck, Robert Forecasting Direct Investment Equity Income for the Danish Balance of Payments 2010-02-12T17:36:59Z Late and significant revisions are often observed in direct investment equity income, hampering the quality of preliminary balance of payments statistics. We test a range of models and find that forecasts for direct investment equity income based on a combination of past profitability and consensus data for changes in expected private consumption growth outperform the current forecasts solely based on historical profitability. When the refined models are applied to the Danish balance of payments, the largest improvements are observed for outward and inward direct investment separately. Revisions on net direct investment equity income only decrease marginally because the significant revisions in gross terms resulting from the historical models have a tendency to (partly) cancel out each other on a net basis. Forecasting Direct Investment Equity Income for the Danish Balance of Payments 2010-02-12T17:36:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/07d6b4b54297bdbac12576c8003abb27!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_652010_Forecasting_Direct_Investment_Equity_Income_for_the_Danish_Balance_of_Payments/$file/WP_65_2010.pdf Jannick Damgaard Robert Wederkinck Mathies Lau Friis Laursen Damgaard, Jannick and Laursen, Mathies Lau Friis and Wederkinck, Robert 2010-02-12 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_642010_Estimating_the_cross-sectional_distribution_of_price_stickiness_from_aggregate_data/$file/WP_64_2010.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Carvalho, Carlos and Dam, Niels Arne Estimating the cross-sectional distribution of price stickiness from aggregate data 2010-01-05T12:37:59Z We estimate a multi-sector sticky-price model for the U.S. economy in which the degree of price stickiness is allowed to vary across sectors. For this purpose, we use a specification that allows us to extract information about the underlying cross-sectional distribution from aggregate data. Identification is possible because sectors play different roles in determining the response of aggregate variables to shocks at different frequencies: sectors where prices are more sticky are relatively more important in determining the low-frequency response. Estimating the model using only aggregate data on nominal and real output, we …nd that the inferred distribution of price stickiness is strikingly similar to the empirical distribution constructed from the recent microeconomic evidence on price setting in the U.S. economy. We also provide macro-based estimates of the underlying distribution for ten other countries. Finally, we explore our Bayesian approach to combine the aggregate time-series data with the microeconomic information on the distribution of price rigidity. Our results show that allowing for this type of heterogeneity is critically important to understanding the joint dynamics of output and prices, and it constitutes a step toward reconciling the extent of nominal price rigidity implied by aggregate data with the evidence from price micro data. Estimating the cross-sectional distribution of price stickiness from aggregate data 2010-01-05T12:37:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/6d2aaf164e1edbc4c12576a200370ed4!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_642010_Estimating_the_cross-sectional_distribution_of_price_stickiness_from_aggregate_data/$file/WP_64_2010.pdf Niels Arne Dam Carlos Carvalho Carvalho, Carlos and Dam, Niels Arne 2010-01-05 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_632009_Mobilbetalinger/$file/WP63_mobilbetalinger.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Bakkegaard, Jesper Mobilbetalinger 2009-11-02T12:37:59Z The mobile phone can now be used as a payment instrument to purchase goods and services. Several factors have supported this use of mobile phones. Firstly, the mobile phone has a market penetration close to 100 per cent. Secondly, technological developments have enabled new payment services to mobile phones and expanded the range of goods and services that can be purchased by means of a mobile phone. Thirdly, payments made by mobile phones – known as mobile payments – are in many contexts a more simple and faster way of making payments than other payment methods. The volume of mobile payments is still relatively limited in Denmark. However, pilot projects have shown that consumers are willing to use their mobile phones for payments. Yet, Denmark is still lagging behind several countries when it comes to mobile payments. This applies especially to the so-called proximity payments where the mobile phone is used instead of cash and/or payment cards for point of sales transactions. Mobilbetalinger 2009-11-02T12:37:59Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/1527011215363444c1257662002c78b0!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_632009_Mobilbetalinger/$file/WP63_mobilbetalinger.pdf Jesper Bakkegaard Bakkegaard, Jesper 2009-11-02 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_232005_Det_danske_finansielle_system_-_en_sammenligning_med_eurolandene/$file/WP_23.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Berg, Jesper and Sørensen, Christoffer Kok Det danske finansielle system - en sammenligning med eurolandene 2009-04-02T17:24:00Z This Working Paper compares the Danish financial system with that of the Euro area countries using three different analytical approaches. The structure of the financial system is analyzed showing who saves, how the savings are processed to the users, and who the users of capital are. The integration of the Danish financial system with that of the Euro area is tested using – among different approaches - "The law of one price". Finally, the framework for the development of the financial system is compared. It is concluded that the Danish financial system has many common characteristics with that of the Euro area countries. In despite of the similarities there is some way to go before exactly the same retail products are marketed within all countries in the Euro area and in Denmark. To quote a colleague, there is some way to the level in the fast-food business, which is why the McLoan and McDeposit ain't there yet. This paper is only available in Danish. Det danske finansielle system - en sammenligning med eurolandene 2009-04-02T17:24:00Z Abstract http://www.nationalbanken.dk/DNUK/Publications.nsf/8b8fe2a60c3a10cbc1256be50057a78e/d291860060ed3734c1256faa00392568!OpenDocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_232005_Det_danske_finansielle_system_-_en_sammenligning_med_eurolandene/$file/WP_23.pdf Jesper Berg Christoffer Kok Sørensen Berg, Jesper and Sørensen, Christoffer Kok 2005-02-16 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/4F448E0126583542C1257584005F1C7E/$file/wp-61.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Amundsen, Elin; Kalsone, Dace E-Payment products and value-added services – moving towards an innovative European internal market 2009-03-26T17:36:00Z Central banks analyse issues concerning retail payments – or just payments – to be able to promote optimal means of payment. Over the years, electronic payments – i.e. payments initiated and settled electronically – have gradually replaced manual paper-based payments on the grounds of convenience, security and efficiency. Moreover, payments become more efficient when services are offered to customers both before and after payment. These so-called value-added services (VAS) are fully electronic services such as e-invoicing and e-reconciliation, which bring time and cost-savings for all participants, as paper-based services and manual work are replaced. In this paper we prove a clear-cut distinction between electronic payment products (e-payments) and VAS. We use the so-called Single Euro Payments Area (SEPA) project as a case study and discuss its current state of fatigue. Based on practical experience in Europe we conclude that the SEPA fatigue can be overcome by real-time settlement for payments and VAS supporting end-to-end (e2e) straight-through processing (STP). E-Payment products and value-added services – moving towards an innovative European internal market 2009-03-26T17:36:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_612009_E-Payment_products_and_value-added_services__moving_towards_an_innovative_European_internal_market!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/4F448E0126583542C1257584005F1C7E/$file/wp-61.pdf Elin Amundsen Dace Kalsone Amundsen, Elin; Kalsone, Dace 2009-03-26 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/5DF90C08E0757E4FC1257567003709C3/$file/CPI_DNWP_60.PDF National Bank of Denmark (Danmarks Nationalbank) Working papers by Abildgren, Kim Consumer Prices in Denmark 1502-2007 2009-02-27T07:16:00Z The paper presents a consumer price index for Denmark 1502-2007. For the post-1815 period the index is based on existing CPI figures whereas new data has been constructed for the pre-1815 period. For the earliest years 1502-1712 the new CPI covers only the price of corn, whereas the period 1712-1800 is based on the comprehensive price material collected in relation to the recently completed Danish Price History Project. If one define price stability as an inflation rate around 2 per cent per annum, or lower, the past five centuries in Denmark has been dominated by price stability. Disregarding actual war periods there seems only to have been one major exception from the overall picture of price stability: The first four decades following the end of the Second World War where inflation expectations lost their anchor. Consumer Prices in Denmark 1502-2007 2009-02-27T07:16:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/Consumer_Prices_in_Denmark_1502-2007!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/5DF90C08E0757E4FC1257567003709C3/$file/CPI_DNWP_60.PDF Kim Abildgren Abildgren, Kim 2009-02-24 National Bank of Denmark (Danmarks Nationalbank) Working papers C43 E31 N13 N14 http://www.nationalbanken.dk/C1256BE9004F6416/side/2E12EC0D25D1BCA1C125752100372A2D/$file/WP_59_web.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Bech, Morten Linnemann; Rørdam, Kirsten Bonde The Topology of Danish Interbank Money Flows December 2008 2008-12-16T12:35:59Z This paper presents the first topological analysis of Danish money market flows. We analyze the structure of two networks with different types of transactions. The first network is the money market network, which is driven by banks' behaviour on the interbank market, the second is the network of customer driven transactions, which is driven by banks' customers' transactions demand. We show that the structure of these networks differ. This paper adds to the new and growing literature on network topological analysis of payment systems. The Topology of Danish Interbank Money Flows December 2008 2008-12-16T12:35:59Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_592008_The_Topology_of_Danish_Interbank_Money_Flows_December_2008!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/2E12EC0D25D1BCA1C125752100372A2D/$file/WP_59_web.pdf Kirsten Bonde Rørdam Morten L. Bech Bech, Morten Linnemann; Rørdam, Kirsten Bonde 2008-12-16 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/B4B1ED60CB4C00D6C12574C800480207/$file/wp58.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Sørensen, Søren Vester Reale effektive ligevægtsvalutakurser for Danmark 2008-09-19T12:37:00Z Reale effektive ligevægtsvalutakurser for Danmark 2008-09-19T12:37:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_582008_Reale_effektive_ligevaegtsvalutakurser_for_Danmark!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/B4B1ED60CB4C00D6C12574C800480207/$file/wp58.pdf Søren Vester Sørensen Sørensen, Søren Vester 2008-09-19 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/6D7FC64E4E449C2CC12574BF0041C2B6/$file/wp-56.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Dam, Niels Arne Konjunkturcykler i Danmark og Europa 2008-09-09T17:36:00Z Konjunkturcykler i Danmark og Europa 2008-09-09T17:36:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_562008_Konjunkturcykler_i_Danmark_og_Europa!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/6D7FC64E4E449C2CC12574BF0041C2B6/$file/wp-56.pdf Niels Arne Dam Dam, Niels Arne 2008-09-09 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/F58E6200715BABBBC1257471004E9165/$file/WP54.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Asgharian, Hossein; Karlsson, Sonnie An empirical analysis of factors driving the swap spread 2008-06-29T16:26:00Z In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis in the frequency domain to see how the impacts of the candidate factors on the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of the Mortgage Backed Security holders have strong impacts on the US swap spread. An empirical analysis of factors driving the swap spread 2008-06-29T16:26:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_542008_An_empirical_analysis_of_factors_driving_the_swap_spread!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/F58E6200715BABBBC1257471004E9165/$file/WP54.pdf Sonnie Karlsson Hossein Asgharian Asgharian, Hossein; Karlsson, Sonnie 2008-06-23 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/87E52D751E15D744C125747400452268/$file/WP55.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Furlanetto, Francesco; Seneca, Martin Fiscal shocks and real rigidities 2008-06-29T16:26:00Z In this paper we show that empirically plausible results on the effects of Fscal shocks in Galí, López-Salido and Vallés (2007) rely on a high degree of price stickiness and a large percentage of financially constrained agents. Real rigidities in the form of habit persistence, fixed firm-specific capital and Kimball demand curves interact in interesting ways with nominal and financial rigidities and allow us to reproduce the same consumption multiplier as Galí et al. (2007) under only two and a half quarters of price stickiness, instead of four, and only 30 per cent of constrained agents instead of 50 per cent. Therefore, real rigidities are useful in the study of fiscal shocks in addition to monetary and productivity shocks as has been shown in the previous literature. Fiscal shocks and real rigidities 2008-06-29T16:26:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_552008_Fiscal_shocks_and_real_rigidities!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/87E52D751E15D744C125747400452268/$file/WP55.pdf Martin Seneca Francesco Furlanetto Furlanetto, Francesco; Seneca, Martin 2008-06-26 National Bank of Denmark (Danmarks Nationalbank) Working papers http://www.nationalbanken.dk/C1256BE9004F6416/side/ED740862238819EEC1257455002A606B/$file/WP_53.pdf National Bank of Denmark (Danmarks Nationalbank) Working papers by Andersen, Torben M.; Seneca, Martin Labour market asymmetries in a monetary union 2008-05-26T12:37:00Z This paper takes a first step in analysing how a monetary union performs in the presence of labour market asymmetries. Differences in wage flexibility, market power and country sizes are allowed for in a setting with both country-specific and aggregate shocks. The implications of asymmetries for both the overall performance of the monetary union and the country-specific situation are analysed. It is shown that asymmetries are not only critical for country-specific performance but also for the overall performance of the monetary union. A striking finding is that aggregate output volatility is not strictly increasing in nominal rigidities but hump-shaped. Moreover, a disproportionate share of the consequences of wage inflexibility may fall on small countries. In the case of country-specific shocks, a country unambiguously benefits in terms of macroeconomic stability by becoming more flexible, while this is not necessarily the case for aggregate shocks. There may thus be a tension between the degree of flexibility considered optimal at the country level and at the aggregate level within the monetary union. Labour market asymmetries in a monetary union 2008-05-26T12:37:00Z Abstract http://www.nationalbanken.dk/C1256BE9004F6416/side/WP_522008_Labour_market_asymmetries_in_a_monetary_union!opendocument Full text http://www.nationalbanken.dk/C1256BE9004F6416/side/ED740862238819EEC1257455002A606B/$file/WP_53.pdf Torben M. Andersen Martin Seneca Andersen, Torben M.; Seneca, Martin 2008-05-26 National Bank of Denmark (Danmarks Nationalbank) Working papers E30 E52 F41