http://www.bis.org/cbhub/list/country/country_sweden/index.rss Latest research hub papers from Sweden en http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-264-Structural-and-Cyclical-Forces-in-the-Labor-Market-During-the-Great-Recession-Cross-Country-Evidence/ Sveriges Riksbank Working Papers by Luca Sala, Ulf Söderström and AntonellaTrigari Structural and Cyclical Forces in the Labor Market During the Great Recession: Cross-Country Evidence 2012-10-18T17:56:00Z We use an estimated monetary business cycle model with search and matching frictions in the labor market and nominal price and wage rigidities to study four countries (the U.S., the U.K., Sweden, and Germany) during the financial crisis and the Great Recession. We estimate the model over the period prior to the financial crisis and use the model to interpret movements in GDP, unemployment, vacancies, and wages in the period from 2007 until 2011. We show that contractionary financial factors and reduced effciency in labor market matching were largely responsible for the experience in the U.S. Financial factors were also important in the U.K., but less so in Sweden and Germany. Reduced matching effciency was considerably less important in the U.K. and Sweden than in the U.S., but matching effciency improved in Germany, helping to keep unemployment low. A counterfactual experiment suggests that unemployment in Germany would have been substantially higher if the German labor market had been more similar to that in the U.S. Structural and Cyclical Forces in the Labor Market During the Great Recession: Cross-Country Evidence 2012-10-18T17:56:00Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-264-Structural-and-Cyclical-Forces-in-the-Labor-Market-During-the-Great-Recession-Cross-Country-Evidence/ Ulf Söderström AntonellaTrigari Luca Sala Luca Sala, Ulf Söderström and AntonellaTrigari 2012-10-18 Sveriges Riksbank Working Papers http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-262-The-Cost-of-Consumer-Payments-in-Sweden/ Sveriges Riksbank Working Papers by Björn Segendorf and Thomas Jansson The Cost of Consumer Payments in Sweden 2012-06-19T17:36:59Z We estimate the social and private costs of consumer-to-business payments in Sweden in 2009. The combined social cost for these payments was 0.68 per cent of GDP. At the point of sale, cash is socially less costly than debit cards for payments below EUR 1.88 (SEK 20) and credit cards below EUR 42.37 (SEK 450). The corresponding thresholds for the individual consumer are higher for debit cards and much lower for credit cards. Using unique survey data we show that consumers' payment behaviour is not consistent with what is socially optimal. The Cost of Consumer Payments in Sweden 2012-06-19T17:36:59Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-262-The-Cost-of-Consumer-Payments-in-Sweden/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp262_120619.pdf Björn Segendorf Thomas Jansson Björn Segendorf and Thomas Jansson 2012-06-19 Sveriges Riksbank Working Papers D12 D23 D24 http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-261-The-Information-Contentof-Central-Bank-Minutes/ Sveriges Riksbank Working Papers by Mikael Apel and Marianna Blix Grimaldi The Information Content of Central Bank Minutes 2012-04-26T17:38:59Z One characteristic feature of central banks today is that policy decisions are almost exclusively made by a committee rather than by a single policy maker. Another is that central banks are considerably more transparent than they used to be. Together, this has brought to the fore an important but so far unresolved issue: to what extent should a central bank's communication reflect the full spectrum of opinions among its committee members? Does information on all members' views make monetary policy easier to understand and predict, or does it make it harder? We address this issue by employing a novel method. We measure the sentiment and tone of the minutes of the Swedish central bank using an automated content analysis that converts the qualitative information in the minutes to a quantitative measure. We find that this measure is useful in predicting future policy rate decisions. The Information Content of Central Bank Minutes 2012-04-26T17:38:59Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-261-The-Information-Contentof-Central-Bank-Minutes/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp261_120426.pdf Mikael Apel Marianna Blix Grimaldi Mikael Apel and Marianna Blix Grimaldi 2012-04-26 Sveriges Riksbank Working Papers D71 D83 E52 E58 http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp261_120426.pdf Sveriges Riksbank Working Papers by Mikael Apel and Marianna Blix Grimaldi The Information Contentof Central Bank Minutes 2012-04-26T17:38:59Z One characteristic feature of central banks today is that policy decisions are almost exclusively made by a committee rather than by a single policy maker. Another is that central banks are considerably more transparent than they used to be. Together, this has brought to the fore an important but so far unresolved issue: to what extent should a central bank's communication reflect the full spectrum of opinions among its committee members? Does information on all members' views make monetary policy easier to understand and predict, or does it make it harder? We address this issue by employing a novel method. We measure the sentiment and tone of the minutes of the Swedish central bank using an automated content analysis that converts the qualitative information in the minutes to a quantitative measure. We find that this measure is useful in predicting future policy rate decisions. The Information Contentof Central Bank Minutes 2012-04-26T17:38:59Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-261-The-Information-Contentof-Central-Bank-Minutes/ Mikael Apel Marianna Blix Grimaldi Mikael Apel and Marianna Blix Grimaldi 2012-04-26 Sveriges Riksbank Working Papers D71 D83 E52 E58 http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp260_120404.pdf Sveriges Riksbank Working Papers by Roberto M. Billi Output Gaps and Robust Monetary Policy Rules 2012-04-04T17:36:59Z Policymakers often use the output gap, a noisy signal of economic activity, as a guide for setting monetary policy. Noise in the data argues for policy caution. At the same time, the zero bound on nominal interest rates constrains the central bank's ability to stimulate the economy during downturns. In such an environment, greater policy stimulus may be needed to stabilize the economy. Thus, noisy data and the zero bound present policymakers with a dilemma in deciding the appropriate stance for monetary policy. I investigate this dilemma in a small New Keynesian model, and show that policymakers should pay more attention to output gaps than suggested by previous research. Output Gaps and Robust Monetary Policy Rules 2012-04-04T17:36:59Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-260-Output-Gaps-and-Robust-Monetary-Policy-Rules/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp260_120404.pdf Roberto M. Billi Roberto M. Billi 2012-04-04 Sveriges Riksbank Working Papers E52 E58 http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp259_120309.pdf Sveriges Riksbank Working Papers by Mikael Carlsson and Andreas Westermark Labor-Market Frictions and Optimal Inflation 2012-03-09T17:38:00Z In central theories of monetary non-neutrality the Ramsey optimal inflation rate varies between the negative of the real interest rate and zero. This paper explores how the interaction of nominal wage and search and matching frictions affect the policy prescription. We show that adding the combination of such frictions to the canonical monetary model can generate an optimal inflation rate that is significantly positive. Specifically, for a standard U.S. calibration, we find a Ramsey optimal inflation rate of 1.11 percent per year. Labor-Market Frictions and Optimal Inflation 2012-03-09T17:38:00Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-259-Labor-Market-Frictions-and-Optimal-Inflation/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp259_120309.pdf Mikael Carlsson Andreas Westermark Mikael Carlsson and Andreas Westermark 2012-03-09 Sveriges Riksbank Working Papers E52 H21 J60 http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp258_120224.pdf Sveriges Riksbank Working Papers by Hans Degryse, Vasso Ioannidou and Erik von Schedvin On the Non-Exclusivity of Loan Contracts: An Empirical Investigation 2012-02-24T17:38:00Z A string of theoretical papers shows that the non-exclusivity of credit contracts generates important negative contractual externalities. Employing a unique dataset, we identify how these externalities affect the supply of credit. Using internal information on a creditor's willingness to lend, we find that a creditor reduces its credit supply when a borrower obtains a loan at another creditor (an "outside loan"). Consistent with the theoretical literature, the effect is more pronounced the larger the outside loans and it is muted if the initial creditor's existing and future loans retain seniority over the outside loans and are secured with valuable collateral. On the Non-Exclusivity of Loan Contracts: An Empirical Investigation 2012-02-24T17:38:00Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-258-On-the-Non-Exclusivity-of-Loan-Contracts-An-Empirical-Investigation/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp258_120224.pdf Hans Degryse Vasso Ioannidou Erik von Schedvin Hans Degryse, Vasso Ioannidou and Erik von Schedvin 2012-02-24 Sveriges Riksbank Working Papers G21 G34 L13 L14 http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp257_120224.pdf Sveriges Riksbank Working Papers by Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment 2012-02-24T17:38:00Z We study a change in the Swedish law that exogenously reduced the value of all outstanding company mortgages, i.e., a type of collateral that is comparable to the floating lien. We explore this natural experiment to identify how collateral determines borrower quality, loan terms, access to credit and bank monitoring of business term loans. Using a differences-in-differences approach, we find that following the change in the law and the loss in collateral value borrowers pay a higher interest rate on their loans, receive a worse quality assessment by their bank, and experience a substantial reduction in the supply of credit by their bank. The reduction in collateral value also precedes a decrease in bank monitoring intensity and frequency of both the collateral and the borrower, consistent with models in which the pledging of risky assets incentivizes banks to monitor. Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment 2012-02-24T17:38:00Z Abstract http://www.riksbank.se/en/Press-and-published/Reports/Working-Paper-Series/2012/No-257-Collateralization-Bank-Loan-Rates-and-Monitoring-Evidence-from-a-Natural-Experiment/ Full text http://www.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp257_120224.pdf Steven Ongena Geraldo Cerqueiro Kasper Roszbach Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach 2012-02-24 Sveriges Riksbank Working Papers D82 G21 http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdf Sveriges Riksbank Working Papers by Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios 2011-11-28T17:38:59Z We demonstrate improvements in predictive power when introducing spline functions to take account of highly non-linear relationships between firm failure and earnings, leverage, and liquidity in a logistic bankruptcy model. Our results show that modeling excessive non-linearities yields substantially improved bankruptcy predictions, on the order of 70 to 90 percent, compared with a standard logistic model. The spline model provides several important and surprising insights into non-monotonic bankruptcy relationships. We find that low-leveraged and highly profitable firms are riskier than given by a standard model. These features are remarkably stable over time, suggesting that they are of a structural nature. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios 2011-11-28T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=51243 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdf Paolo Giordani Tor Jacobson Erik von Schedvin Mattias Villani Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani 2011-11-28 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp255.pdf Sveriges Riksbank Working Papers by Sebastien Betermier Thomas Jansson Christine A. Parlour and Johan Waldeny Hedging Labor Income Risk 2011-11-25T17:38:00Z We use a detailed panel data set of Swedish households to investigate the relationbetween their labor income risk and ?nancial investment decisions. In particular, werelate changes in wage volatility to changes in the portfolio holdings for householdsthat switched industries between 1999 and 2002. We ?nd that households do adjusttheir portfolio holdings when switching jobs, which is consistent with the idea thathouseholds hedge their human capital risk in the stock market. The results are statis-tically and economically signi?cant. A household going from an industry with low wagevolatility to one with high volatility will ceteris paribus decrease its portfolio share ofrisky assets by up to 35%, or USD 15,575. Hedging Labor Income Risk 2011-11-25T17:38:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=51240 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp255.pdf Sebastien Betermier Thomas Jansson Christine A. Parlour and Johan Waldeny 2011-11-25 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp254.pdf Sveriges Riksbank Working Papers by Ferre De Graeve and Karl Walentin Stylized (Arte) Facts on Sectoral Inflation 2011-09-01T17:38:00Z Research on disaggregate price indices has found that sectoral shocks generate the bulk of sectoral inflation variance, but no persistence. Aggregate shocks, by contrast, are the root of sectoral inflation persistence, but have negligible relative variance. We argue that these findings are largely an artefact of using overly simple factor models to characterize inflation. Sectoral inflation series are subject to particular features such as sales and item substitutions. In factor models, these blow up the variance of sectoral shocks, while reducing their persistence. Controlling for such effects, we find that inflation variance is driven by both aggregate and sectoral shocks. Sectoral shocks, too, generate substantial inflation persistence. Both findings contrast sharply with earlier evidence from factor models. However, these results align well with recent micro evidence. This has implications for the foundations of price stickiness, and provide quantitative inputs for calibrating models with sectoral heterogeneity. Stylized (Arte) Facts on Sectoral Inflation 2011-09-01T17:38:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=50553 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp254.pdf Ferre De Graeve Karl Walentin Ferre De Graeve and Karl Walentin 2011-09-01 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp253.pdf Sveriges Riksbank Working Papers by Mikael Carlsson, Julián Messina and Oskar Nordström Skans Wage Adjustment and Productivity Shocks 2011-05-10T17:38:59Z We study how workers' wages respond to TFP-driven innovations in firms' labor productivity. Using unique data with highly reliable firm-level output prices and quantities in the manufacturing sector in Sweden, we are able to derive measures of physical (as opposed to revenue) TFP to instrument labor productivity in the wage equations. We find that the reaction of wages to sectoral labor productivity is almost three times larger than the response to pure idiosyncratic (firm-level) shocks, a result which crucially hinges on the use of physical TFP as an instrument. These results are all robust to a number of empirical specifications, including models accounting for selection on both the demand and supply side through worker-firm (match) fixed effects. Further results suggest that technological progress at the firm level has negligible effects on the firm-level composition of employees. Wage Adjustment and Productivity Shocks 2011-05-10T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=46991 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp253.pdf Mikael Carlsson Oskar Nordström Skans Julián Messina Mikael Carlsson, Julián Messina and Oskar Nordström Skans 2011-05-10 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp252.pdf Sveriges Riksbank Working Papers by Marianna Blix Grimaldi Up for count? Central bank words and financial stress 2011-05-10T17:38:59Z While knowing there is a financial distress "when you see it? might be true, it is not particularly helpful. Indeed, central banks have an interest in understanding more systematically how their communication affects the markets, not least in order to avoid unnecessary volatility; the markets for their part have an interest in better deciphering the message of central banks, especially of course with regard to the conduct of future monetary policy. In this paper we use a novel approach rooted in textual analysis to begin to address these issues. Building on previous work from textual analysis, we are able to use quantitative methods to help identify and measure financial stress. We apply the techniques to the European Central Bank?s Monthly Bulletin and show that the results give a much more complete and nuanced picture of market distress than those based only on market data and may help improve how the Central Bank?s communication is designed and understood. Up for count? Central bank words and financial stress 2011-05-10T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=46992 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp252.pdf Marianna Blix Grimaldi Marianna Blix Grimaldi 2011-05-10 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp251.pdf Sveriges Riksbank Working Papers by Malin Adolfson and Jesper Lindé Parameter Identification in a Estimated New Keynesian Open Economy Model 2011-05-10T17:38:59Z In this paper, we use Monte Carlo methods to study the small sample properties of the classical maximum likelihood (ML) estimator in artificial samples generated by the New- Keynesian open economy DSGE model estimated by Adolfson et al. (2008) with Bayesian techniques. While asymptotic identification tests show that some of the parameters are weakly identified in the model and by the set of observable variables we consider, we document that ML is unbiased and has low MSE for many key parameters if a suitable set of observable variables are included in the estimation. These findings suggest that we can learn a lot about many of the parameters by confronting the model with data, and hence stand in sharp contrast to the conclusions drawn by Canova and Sala (2009) and Iskrev (2008). Encouraged by our results, we estimate the model using classical techniques on actual data, where we use a new simulation based approach to compute the uncertainty bands for the parameters. From a classical viewpoint, ML estimation leads to a significant improvement in fit relative to the log-likelihood computed with the Bayesian posterior median parameters, but at the expense of some the ML estimates being implausible from a microeconomic viewpoint. We interpret these results to imply that the model at hand suffers from a substantial degree of model misspecification. This interpretation is supported by the DSGE-VAR analysis in Adolfson et al. (2008). Accordingly, we conclude that problems with model misspecification, and not primarily weak identification, is the main challenge ahead in developing quantitative macromodels for policy analysis. Parameter Identification in a Estimated New Keynesian Open Economy Model 2011-05-10T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=46990 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp251.pdf Malin Adolfson Jesper Lindé Malin Adolfson and Jesper Lindé 2011-05-10 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp250.pdf Sveriges Riksbank Working Papers by Lauri Vilmi The Effects of Endogenous Firm Exit on Business Cycle Dynamics and Optimal Fiscal Policy 2011-03-14T17:38:00Z We explore the implications of endogenous firm entry and exit for business cycle dynamics and optimal fiscal policy. We first show that when the firm exit rate is endogenous, negative technology shocks lead to reductions in the number of firms. Technology shocks therefore have additional effects on household welfare relative to an economy with only endogenous entry. Second, endogenous firm exit creates a new channel for monetary policy when debt contracts are written in nominal terms, as monetary shocks affect the rate of firm defaults. Monetary shocks therefore have real effects also when prices and wages are flexible. Third, we show that endogenous firm exit creates a new role for fiscal policy to increase efficiency and welfare by subsidizing firms and decreasing the number of defaults. Finally, we demonstrate that endogenous firm exit implies that non-persistent shocks to technology and money supply have persistent effects on labor productivity. This has implications for the estimated persistence of technology shocks. The Effects of Endogenous Firm Exit on Business Cycle Dynamics and Optimal Fiscal Policy 2011-03-14T17:38:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=46269 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp250.pdf Lauri Vilmi Lauri Vilmi 2011-03-14 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp248.pdf Sveriges Riksbank Working Papers by Stefan Laséen and Lars E.O. Svensson Anticipated Alternative Policy-Rate Paths in Policy Simulations 2011-02-22T17:36:59Z This paper specifies a new convenient algorithm to construct policy projections conditional on alternative anticipated policy-rate paths in linearized dynamic stochastic general equilibrium (DSGE) models, such as Ramses, the Riksbank's main DSGE model. Such projections with anticipated policy-rate paths correspond to situations where the central bank transparently announces that it, conditional on current information, plans to implement a particular policy-rate path and where this announced plan for the policy rate is believed and then anticipated by the private sector. The main idea of the algorithm is to include among the predetermined variables (the "state" of the economy) the vector of nonzero means of future shocks to a given policy rule that is required to satisfy the given anticipated policy-rate path. Anticipated Alternative Policy-Rate Paths in Policy Simulations 2011-02-22T17:36:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=45900 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp248.pdf Stefan Laséen Lars E.O. Svensson Stefan Laséen and Lars E.O. Svensson 2011-01-21 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp249.pdf Sveriges Riksbank Working Papers by Gunnar Bårdsen, Ard den Reijer, Patrik Jonasson and Ragnar Nymoen MOSES: Model of Swedish Economic Studies 2011-02-22T17:36:59Z MOSES is an aggregate econometric model for Sweden, estimated on quarterly data, and intended for short-term forecasting and policy simulations. After a presentation of qualitative model properties, the econometric methodology is summarized. The model properties, within sample simulations, and examples of dynamic simulation (model forecasts) for the period 2009q2-2012q4 are presented. We address practical issues relating to operational use and maintenance of a macro model of this type. The detailed econometric equations are reported in an appendix. MOSES: Model of Swedish Economic Studies 2011-02-22T17:36:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=45901 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp249.pdf Gunnar Bårdsen Patrik Jonasson Ragnar Nymoen Ard den Reijer Gunnar Bårdsen, Ard den Reijer, Patrik Jonasson and Ragnar Nymoen 2011-01-21 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp247.pdf Sveriges Riksbank Working Papers by Michael K. Anderssony, Stefan Palmqvistz, and Daniel F. Waggonerx Density-Conditional Forecasts in Dynamic Multivariate Models 2010-10-06T12:39:00Z When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore proposes a generalization such that the conditions can be given as the full distribution of the restricted variables. We demonstrate, in two empirical applications, that ignoring the uncertainty about the conditions implies that the distributions of the unrestricted variables are too narrow. Density-Conditional Forecasts in Dynamic Multivariate Models 2010-10-06T12:39:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=45053 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp247.pdf Michael K. Andersson Daniel F. Waggoner Stefan Palmqvist Michael K. Anderssony, Stefan Palmqvistz, and Daniel F. Waggonerx 2010-10-06 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp246.pdf Sveriges Riksbank Working Papers by Luca Sala, Ulf Söderström and Antonella Trigari The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours 2010-09-29T17:38:59Z We use a standard quantitative business cycle model with nominal price and wage rigidities to estimate two measures of economic inefficiency in recent U.S. data: the output gap – the gap between the actual and efficient levels of output – and the labor wedge – the wedge between households' marginal rate of substitution and firms' marginal product of labor. We establish three results. (i ) The output gap and the labor wedge are closely related, suggesting that most inefficiencies in output are due to the inefficient allocation of labor. (ii ) The estimates are sensitive to the structural interpretation of shocks to the labor market, which is ambiguous in the model. (iii ) Movements in hours worked are essentially exogenous, directly driven by labor market shocks, whereas wage rigidities generate a markup of the real wage over the marginal rate of substitution that is acyclical. We conclude that the model fails in two important respects: it does not give clear guidance concerning the efficiency of business cycle fluctuations, and it provides an unsatisfactory explanation of labor market and business cycle dynamics. The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours 2010-09-29T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=45007 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp246.pdf Luca Sala Ulf Söderström Antonella Trigari Luca Sala, Ulf Söderström and Antonella Trigari 2010-09-29 Sveriges Riksbank Working Papers E24 E32 E52 http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp245.pdf Sveriges Riksbank Working Papers by Feng Li, Mattias Villani and Robert Kohn Modeling Conditional Densities Using Finite Smooth Mixtures 2010-09-29T17:38:59Z Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large number of components. This paper explores how well a smooth mixture of symmetric components can capture skewed data. Simulations and applications on real data show that including covariate-dependent skewness in the components can lead to substantially improved performance on skewed data, often using a much smaller number of components. Furthermore, variable selection is effective in removing unnecessary covariates in the skewness, which means that there is little loss in allowing for skewness in the components when the data are actually symmetric. We also introduce smooth mixtures of gamma and log-normal components to model positively-valued response variables. Modeling Conditional Densities Using Finite Smooth Mixtures 2010-09-29T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=45006 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp245.pdf Robert Kohn Feng Li Mattias Villani Feng Li, Mattias Villani and Robert Kohn 2010-09-29 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/WorkingPapers/WP243.pdf Sveriges Riksbank Working Papers by Daria Finocchiaro Equilibrium asset prices and the wealth distribution with inattentive consumers 2010-07-01T17:44:00Z This paper studies the effects of heterogeneity in planning propensity on wealth inequality and asset prices. I consider an economy populated by "attentive" and "inattentive" agents. Attentive agents plan their consumption period by period, while inattentive agents plan every other period. Infrequent planning increases uncertainty concerning future income or future asset returns. In general equilibrium, inattentive consumers trade at unfavorable prices. If the only source of uncertainty is future income, inattentive consumers will still accumulate more wealth. In contrast, in a version of the model driven by uncertain asset returns, infrequent planning produces the opposite result: inattentive investors accumulate less wealth, in line with empirical evidence. Moreover, asset prices are much more volatile than in a representative agent model with full attention, because changes in asset prices must induce attentive consumers to voluntarily bear the burden of adjusting to aggregate shocks. Equilibrium asset prices and the wealth distribution with inattentive consumers 2010-07-01T17:44:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=44436 Full text http://www.riksbank.com/upload/WorkingPapers/WP243.pdf Daria Finocchiaro Daria Finocchiaro 2010-06-30 Sveriges Riksbank Working Papers D52 D80 D91 E21 http://www.riksbank.com/upload/WorkingPapers/WP244.pdf Sveriges Riksbank Working Papers by Ferre De Graeve and Alexei Karas Identifying VARs through Heterogeneity: An Application to Bank Runs 2010-06-30T12:45:00Z We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose identification restrictions both in the cross-section (across insured and non-insured banks) and across variables (as in macro SVARs). We thus (i) identify bank runs, (ii) quantify the contribution of competing theories, and, (iii) evaluate policies such as deposit insurance. The application suggests substantial promise for the approach and has strong policy implications. Identifying VARs through Heterogeneity: An Application to Bank Runs 2010-06-30T12:45:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=44437 Full text http://www.riksbank.com/upload/WorkingPapers/WP244.pdf Ferre De Graeve Alexei Karas Ferre De Graeve and Alexei Karas 2010-06-30 Sveriges Riksbank Working Papers C3 E5 G01 G21 http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp242.pdf Sveriges Riksbank Working Papers by Bertil Wegmann and Mattias Villani Bayesian Inference in Structural Second-Price common Value Auctions 2010-06-18T17:44:00Z Structural econometric auction models with explicit game-theoretic modeling of bidding strategies have been quite a challenge from a methodological perspective, especially within the common value framework. We develop a Bayesian analysis of the hierarchical Gaussian common value model with stochastic entry introduced by Bajari and Hortaçsu (2003). A key component of our approach is an accurate and easily interpretable analytical approximation of the equilibrium bid function, resulting in a fast and numerically stable evaluation of the likelihood function. The analysis is also extended to situations with positive valuations using a hierarchical Gamma model. We use a Bayesian variable selection algorithm that simultaneously samples the posterior distribution of the model parameters and does inference on the choice of covariates. The methodology is applied to simulated data and to a carefully collected dataset from eBay with bids and covariates from 1000 coin auctions. It is demonstrated that the Bayesian algorithm is very efficient and that the approximation error in the bid function has virtually no effect on the model inference. Both models fit the data well, but the Gaussian model outperforms the Gamma model in an out-of-sample forecasting evaluation of auction prices. Bayesian Inference in Structural Second-Price common Value Auctions 2010-06-18T17:44:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=44014 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp242.pdf Bertil Wegmann Mattias Villani Bertil Wegmann and Mattias Villani 2010-04-29 Sveriges Riksbank Working Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp236.pdf Sveriges Riksbank Working Papers by Ferre De Graeve, Maarten Dossche, Marina Emiris, Henri Sneessens and Raf Wouters Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model 2010-06-18T17:44:00Z We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal substitution. Aggregate productivity and distribution risks are transferred across these agents via the bond market and via an efficient labor contract. The result is a combination of volatile returns to capital and a highly cyclical consumption process for the shareholders, which are two important ingredients for generating high and countercyclical risk premiums. These risk premiums are consistent with a strong propagation mechanism through an elastic supply of labor, rigid real wages and a countercyclical labor share. Based on the empirical estimates for the two sources of real macroeconomicrisk, the model generates significant and plausible time variation in both bond and equity risk premiums. Interestingly, the single largest jump in both the risk premium and the price of risk is observed during the current recession. Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model 2010-06-18T17:44:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=43086 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp236.pdf Ferre De Graeve Henri Sneessens Marina Emiris Maarten Dossche Raf Wouters Ferre De Graeve, Maarten Dossche, Marina Emiris, Henri Sneessens and Raf Wouters 2010-01-14 Sveriges Riksbank Working Papers E32 E44 G12 http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp237w.pdf Sveriges Riksbank Working Papers by Mikael Apel, Carl Andreas Claussen and Petra Lennartsdotter Picking the Brains of MPC Members 2010-06-18T17:44:00Z This paper reports and analyzes the results from a questionnaire sent to all present and former members of the Riksbank’s Executive Board, the monetary policy committee (MPC) of the Swedish central bank. The questions cover a number of issues discussed in the growing literature on monetary policy making by committees. The paper thus relates research to the views of practitioners in a way that has not been done before. We find, among other things, that many members consider the six-person strong Riksbank MPC to be slightly too large, that it is very common that members have decided before the policy meeting how they will vote, and that members, when forming their opinions, consider input from the staff more important than input from their colleagues. Picking the Brains of MPC Members 2010-06-18T17:44:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=43087 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp237w.pdf Mikael Apel Petra Lennartsdotter Carl Andreas Claussen Mikael Apel, Carl Andreas Claussen and Petra Lennartsdotter 2010-01-14 Sveriges Riksbank Working Papers D71 E52 E58