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Time‐Varying Dynamics of the Norwegian Economy

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  • Q. Farooq Akram
  • Haroon Mumtaz

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.

Suggested Citation

  • Q. Farooq Akram & Haroon Mumtaz, 2019. "Time‐Varying Dynamics of the Norwegian Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(1), pages 407-434, January.
    • Handle: RePEc:bla:scandj:v:121:y:2019:i:1:p:407-434
    DOI: 10.1111/sjoe.12270
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    Cited by:

    1. Sune Karlsson & Pär Österholm, 2020. "A note on the stability of the Swedish Phillips curve," Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
    2. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    3. Magnus Reif, 2022. "Time‐Varying Dynamics of the German Business Cycle: A Comprehensive Investigation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 80-102, February.
    4. Anastasios Evgenidis & Anastasios G. Malliaris, 2022. "Monetary policy, financial shocks and economic activity," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 429-456, August.
    5. Akram, Q. Farooq, 2020. "Oil price drivers, geopolitical uncertainty and oil exporters' currencies," Energy Economics, Elsevier, vol. 89(C).
    6. Karlsson, Sune & Österholm, Pär, 2020. "A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States," Economics Letters, Elsevier, vol. 197(C).
    7. Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
    8. Deluna, Roperto S. & Loanzon, Jeanette Isabelle V. & Tatlonghari, Virgilio M., 2021. "A nonlinear ARDL model of inflation dynamics in the Philippine economy," Journal of Asian Economics, Elsevier, vol. 76(C).
    9. Karlsson, Sune & Österholm, Pär, 2020. "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, vol. 186(C).
    10. Nasir, Muhammad Ali & Huynh, Toan Luu Duc & Yarovaya, Larisa, 2020. "Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms," International Review of Financial Analysis, Elsevier, vol. 72(C).
    11. Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).

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