Niels Arne Dam | Danmarks Nationalbank (original) (raw)

Papers by Niels Arne Dam

Social Science Research Network, 2014

RePEc: Research Papers in Economics, 2009

Social Science Research Network, 2010

Several countries at the core of the Euro area have experienced coincident business cycles during... more Several countries at the core of the Euro area have experienced coincident business cycles during the most recent decades, while the Danish economy seemed detached from these cycles during the 1980's and part of the 1990's. To a large degree, the decoupling of the Danish economy reflects fundamental changes in the Danish economic policy during this period. Towards the end of the 1990's a remarkable business-cycle convergence occurred between most of the industrialised countries, as documented in a series of empirical analyses. In the same period, the correlation between Danish and Euro area business cycles increased markedly. Over the most recent years, however, this global convergence has decreased again, while the correlation between Euro-area core economies has remained high. The Danish economy has also maintained a relatively high business-cycle correlation with the Euro-area core countries.

nationalbanken.dk

... Selv om den estimerede rela-tion er rimeligt god til at forklare udviklingen i boligbyggeriet... more ... Selv om den estimerede rela-tion er rimeligt god til at forklare udviklingen i boligbyggeriet over en 1 Forfatterne takker Heino Bohn Nielsen for nyttige råd om tilrettelæggelsen af den økonometriske analyse i denne artikel. Eventuelle ...

Review of Economics and Statistics: Forthcoming

We estimate sticky-price models for the U.S. economy in which the degree of price stickiness is a... more We estimate sticky-price models for the U.S. economy in which the degree of price stickiness is allowed to vary across sectors. Perhaps surprisingly, we use only aggregate data on nominal and real output. In our models, identi…cation of the cross-sectional distribution of price stickiness is made possible by the fact that di¤erent sectors are relatively more important in determining the response of aggregate variables to shocks at di¤erent frequencies. We …nd that the distribution of price stickiness inferred from aggregate data is strikingly similar to the distribution obtained from the recent empirical literature on microeconomic aspects of price setting in the U.S. economy. We also employ a Bayesian approach to combine time-series data on aggregate nominal and real output with such microeconomic information. Our results show that heterogeneity in price stickiness is of critical importance for understanding the joint dynamics of output and prices. Moreover, allowing for enough het...

We estimate a multi-sector sticky-price model for the U.S. economy in which the degree of price s... more 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 speci…cation that allows us to extract information about the underlying cross-sectional distribution from aggregate data. Identi…cation is possible because sectors play di¤erent roles in determining the response of aggregate variables to shocks at di¤erent 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 d...

This paper performs a welfare analysis based on the hypothetical scenario that Denmark gave up it... more This paper performs a welfare analysis based on the hypothetical scenario that Denmark gave up its peg and started conducting monetary policy according to a Taylor rule. For this we rely on a dynamic stochastic general equilibrium model for a small open economy that was estimated on Danish data using Bayesian methods. We obtain the result that the gain in welfare is equivalent to a permanent increase of around 0.8 pct in the level of consumption. Examining a range of alternative scenarios does not change this conclusion, unless we assume a degree of policy errors under the Taylor rule that is substantially larger than those estimated by other studies.

We establish a suitable framework for analysis of monetary policy in a small open economy. We bui... more We establish a suitable framework for analysis of monetary policy in a small open economy. We build on the small open dsge model due to Robert Kollmann and perform a structural estimation on Danish data using the Bayesian approach of Smets and Wouters (2003). We consider the dynamic implications of our model, emphasising the monetary transmission mechanism in our model which includes infrequent determination of prices and wages. Overall, we find believable estimates, although the degree of price stickiness is implausibly high. The monetary transmission mechanism seems realistic and monetary policy shocks is the source of a sizeable share of the short-run fluctuations in output. Stochastick movements in the labour supply drive the long-run economic fluctuations.

Several countries at the core of the Euro area have experienced coincident business cycles during... more Several countries at the core of the Euro area have experienced coincident business cycles during the most recent decades, while the Danish economy seemed detached from these cycles during the 1980's and part of the 1990's. To a large degree, the decoupling of the Danish economy reflects fundamental changes in the Danish economic policy during this period. Towards the end of the 1990's a remarkable business-cycle convergence occurred between most of the industrialised countries, as documented in a series of empirical analyses. In the same period, the correlation between Danish and Euro area business cycles increased markedly. Over the most recent years, however, this global convergence has decreased again, while the correlation between Euro-area core economies has remained high. The Danish economy has also maintained a relatively high business-cycle correlation with the Euro-area core countries.

SSRN Electronic Journal, 2014

Staff Reports, 2009

We estimate a multisector sticky-price model for the U.S. economy in which the degree of price st... more We estimate a multisector 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 stickier are relatively more important in determining the low-frequency response. Estimating the model using only aggregate data on nominal and real output, we find 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 ...

Reform Capacity and Macroeconomic Performance in the Nordic Countries, 2015

Social Science Research Network, 2014

RePEc: Research Papers in Economics, 2009

Social Science Research Network, 2010

Several countries at the core of the Euro area have experienced coincident business cycles during... more Several countries at the core of the Euro area have experienced coincident business cycles during the most recent decades, while the Danish economy seemed detached from these cycles during the 1980's and part of the 1990's. To a large degree, the decoupling of the Danish economy reflects fundamental changes in the Danish economic policy during this period. Towards the end of the 1990's a remarkable business-cycle convergence occurred between most of the industrialised countries, as documented in a series of empirical analyses. In the same period, the correlation between Danish and Euro area business cycles increased markedly. Over the most recent years, however, this global convergence has decreased again, while the correlation between Euro-area core economies has remained high. The Danish economy has also maintained a relatively high business-cycle correlation with the Euro-area core countries.

nationalbanken.dk

... Selv om den estimerede rela-tion er rimeligt god til at forklare udviklingen i boligbyggeriet... more ... Selv om den estimerede rela-tion er rimeligt god til at forklare udviklingen i boligbyggeriet over en 1 Forfatterne takker Heino Bohn Nielsen for nyttige råd om tilrettelæggelsen af den økonometriske analyse i denne artikel. Eventuelle ...

Review of Economics and Statistics: Forthcoming

We estimate sticky-price models for the U.S. economy in which the degree of price stickiness is a... more We estimate sticky-price models for the U.S. economy in which the degree of price stickiness is allowed to vary across sectors. Perhaps surprisingly, we use only aggregate data on nominal and real output. In our models, identi…cation of the cross-sectional distribution of price stickiness is made possible by the fact that di¤erent sectors are relatively more important in determining the response of aggregate variables to shocks at di¤erent frequencies. We …nd that the distribution of price stickiness inferred from aggregate data is strikingly similar to the distribution obtained from the recent empirical literature on microeconomic aspects of price setting in the U.S. economy. We also employ a Bayesian approach to combine time-series data on aggregate nominal and real output with such microeconomic information. Our results show that heterogeneity in price stickiness is of critical importance for understanding the joint dynamics of output and prices. Moreover, allowing for enough het...

We estimate a multi-sector sticky-price model for the U.S. economy in which the degree of price s... more 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 speci…cation that allows us to extract information about the underlying cross-sectional distribution from aggregate data. Identi…cation is possible because sectors play di¤erent roles in determining the response of aggregate variables to shocks at di¤erent 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 d...

This paper performs a welfare analysis based on the hypothetical scenario that Denmark gave up it... more This paper performs a welfare analysis based on the hypothetical scenario that Denmark gave up its peg and started conducting monetary policy according to a Taylor rule. For this we rely on a dynamic stochastic general equilibrium model for a small open economy that was estimated on Danish data using Bayesian methods. We obtain the result that the gain in welfare is equivalent to a permanent increase of around 0.8 pct in the level of consumption. Examining a range of alternative scenarios does not change this conclusion, unless we assume a degree of policy errors under the Taylor rule that is substantially larger than those estimated by other studies.

We establish a suitable framework for analysis of monetary policy in a small open economy. We bui... more We establish a suitable framework for analysis of monetary policy in a small open economy. We build on the small open dsge model due to Robert Kollmann and perform a structural estimation on Danish data using the Bayesian approach of Smets and Wouters (2003). We consider the dynamic implications of our model, emphasising the monetary transmission mechanism in our model which includes infrequent determination of prices and wages. Overall, we find believable estimates, although the degree of price stickiness is implausibly high. The monetary transmission mechanism seems realistic and monetary policy shocks is the source of a sizeable share of the short-run fluctuations in output. Stochastick movements in the labour supply drive the long-run economic fluctuations.

Several countries at the core of the Euro area have experienced coincident business cycles during... more Several countries at the core of the Euro area have experienced coincident business cycles during the most recent decades, while the Danish economy seemed detached from these cycles during the 1980's and part of the 1990's. To a large degree, the decoupling of the Danish economy reflects fundamental changes in the Danish economic policy during this period. Towards the end of the 1990's a remarkable business-cycle convergence occurred between most of the industrialised countries, as documented in a series of empirical analyses. In the same period, the correlation between Danish and Euro area business cycles increased markedly. Over the most recent years, however, this global convergence has decreased again, while the correlation between Euro-area core economies has remained high. The Danish economy has also maintained a relatively high business-cycle correlation with the Euro-area core countries.

SSRN Electronic Journal, 2014

Staff Reports, 2009

We estimate a multisector sticky-price model for the U.S. economy in which the degree of price st... more We estimate a multisector 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 stickier are relatively more important in determining the low-frequency response. Estimating the model using only aggregate data on nominal and real output, we find 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 ...

Reform Capacity and Macroeconomic Performance in the Nordic Countries, 2015