Time‐Varying Dynamics of the Norwegian Economy
使用时变参数向量自回归模型，研究1980年代以来挪威关键宏观经济变量的时间序列特性变化，发现通胀持续性在通胀目标制期间下降，而通胀和名义汇率波动性上升，并探讨了货币政策和油价冲击的影响。
Abstract We use time‐varying parameter vector autoregressive models to investigate possible changes in the time‐series properties of key Norwegian macroeconomic variables since the 1980s. Notably, we find that inflation persistence falls during the inflation targeting period, while the volatility of inflation and nominal exchange rates increases. The observed time‐variation in the correlations between the interest rates and the macro variables largely reflects the prevailing monetary policy regimes. An increase in the correlations between oil prices and other macro variables over time is also documented. Using a counterfactual analysis, we discuss the observed time‐varying dynamics of the Norwegian economy in the light of monetary policy and oil price shocks.