Niels Arne Dam - Profile on Academia.edu (original) (raw)
Papers by Niels Arne Dam
Social Science Research Network, 2014
This paper provides evidence on three mechanisms that can reconcile frequent individual price cha... more This paper provides evidence on three mechanisms that can reconcile frequent individual price changes with sluggish aggregate price dynamics. To that end, we estimate a semi-structural model that allows us to extract information about real rigidities and cross-sectional heterogeneity in price stickiness from aggregate data. Hence the model can also speak to the debate about the aggregate implications of sales and other temporary price changes. Our estimates point to the presence of large real rigidities and a significant degree of heterogeneity in price stickiness. Moreover, the cross-sectional distribution of price stickiness implied by aggregate data is in line with an empirical distribution obtained from micro price data that factors out sales and product substitutions. Our results suggest that all three feaures-i) real rigidities, ii) heterogeneity in price stickiness and iii) exclusion of temporary price changes-help bridge the gap between micro and macro evidence on nominal price rigidity.
RePEc: Research Papers in Economics, 2009
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 heterogeneity-in particular for prices in some sectors to last beyond one year-is crucial to avoid producing estimates that imply too little average nominal rigidity at the expense of too much real rigidity, relative to the speci…cation of the model favored by the data.
Social Science Research Network, 2010
Using only aggregate data as observables, we estimate multisector sticky-price models for twelve ... more Using only aggregate data as observables, we estimate multisector sticky-price models for twelve countries, allowing the degree of price stickiness to vary across sectors. We use a specification that allows us to extract information about the underlying crosssectional 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. We find that the inferred distributions of price stickiness conform quite well with empirical distributions constructed from the available microeconomic evidence on price setting. We then explore our Bayesian approach to combine the aggregate time-series data with the microeconomic information on the distributions of price rigidity, and re-estimate the models for the United States, Denmark, and Japan. 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.
Konjunkturcykler i Danmark og Europa
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.
Udviklingen på ejerboligmarkedet i de senere årKan boligpriserne forklares?
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 ...
Replication data for: "The Cross-sectional Distribution of Price Stickiness Implied by Aggregate Data
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...
Federal Reserve Bank of New York
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.
Estimating a Small Open DSGE Model on Danish Data
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.
Forbrugsbestemmelser i Adam
Although countless hours have been spent alone at the computer as part of my doctoral studies ove... more Although countless hours have been spent alone at the computer as part of my doctoral studies over the past years, many people have contributed in various ways to make my work better and the time I spent more interesting. It would be impossible to name them all, but the following deserve special thanks. First, I thank my adviser, Professor Henrik Jensen, who has kindly o¤ered constructive criticism and encouragement throughout my doctoral studies, including his never-failing ability to add a greater perspective to my work. Also, thanks to Professor Henrik Hansen who encouraged and helped me to enroll as a doctoral student in the …rst place. At the Department of Economics, I took part in various activities at the Economic Policy Research Unit (epru) which made my time there much more fun and inspirational, and I am grateful to the epru director, Professor Peter Birch Sørensen, for allowing me to a¢ liate with epru. I also thank Professor Claus Thustrup Kreiner who …lled in as substitute adviser for a short while and took over as epru director towards the end of my time spent at the department. As part of my doctoral programme, I spent two semesters at Princeton University which proved to be very instructive and inspirational. I owe special thanks to Professor Christopher Sims whose lectures had a critical impact on this dissertation and who kindly devoted time to discuss my research plans. I am indebted to my co-authors, Jesper Linaa, Jens Søndergaard, and Carlos Carvalho, without whom this dissertation would be very di¤erent and most likely of poorer quality. Additionally, all three are genuinely nice chaps and I much value their friendship and encouragement during the many hours we spent together. Ultimately, I thank my wife, Sophie; words are inadequate to express my gratitude for her enduring patience and loving encouragement.
Konjunkturcykler i Danmark og Europa
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.
Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loan... more Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loans without amortisation Adjustable-rate loans without amortisation Bank loans for housing purposes Kr. billion
Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loan... more Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loans without amortisation Adjustable-rate loans without amortisation Bank loans for housing purposes Kr. billion
SSRN Electronic Journal, 2014
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
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 ...
Comments on ‘House Prices in Denmark and Sweden’
Reform Capacity and Macroeconomic Performance in the Nordic Countries, 2015
Social Science Research Network, 2014
This paper provides evidence on three mechanisms that can reconcile frequent individual price cha... more This paper provides evidence on three mechanisms that can reconcile frequent individual price changes with sluggish aggregate price dynamics. To that end, we estimate a semi-structural model that allows us to extract information about real rigidities and cross-sectional heterogeneity in price stickiness from aggregate data. Hence the model can also speak to the debate about the aggregate implications of sales and other temporary price changes. Our estimates point to the presence of large real rigidities and a significant degree of heterogeneity in price stickiness. Moreover, the cross-sectional distribution of price stickiness implied by aggregate data is in line with an empirical distribution obtained from micro price data that factors out sales and product substitutions. Our results suggest that all three feaures-i) real rigidities, ii) heterogeneity in price stickiness and iii) exclusion of temporary price changes-help bridge the gap between micro and macro evidence on nominal price rigidity.
RePEc: Research Papers in Economics, 2009
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 heterogeneity-in particular for prices in some sectors to last beyond one year-is crucial to avoid producing estimates that imply too little average nominal rigidity at the expense of too much real rigidity, relative to the speci…cation of the model favored by the data.
Social Science Research Network, 2010
Using only aggregate data as observables, we estimate multisector sticky-price models for twelve ... more Using only aggregate data as observables, we estimate multisector sticky-price models for twelve countries, allowing the degree of price stickiness to vary across sectors. We use a specification that allows us to extract information about the underlying crosssectional 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. We find that the inferred distributions of price stickiness conform quite well with empirical distributions constructed from the available microeconomic evidence on price setting. We then explore our Bayesian approach to combine the aggregate time-series data with the microeconomic information on the distributions of price rigidity, and re-estimate the models for the United States, Denmark, and Japan. 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.
Konjunkturcykler i Danmark og Europa
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.
Udviklingen på ejerboligmarkedet i de senere årKan boligpriserne forklares?
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 ...
Replication data for: "The Cross-sectional Distribution of Price Stickiness Implied by Aggregate Data
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...
Federal Reserve Bank of New York
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.
Estimating a Small Open DSGE Model on Danish Data
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.
Forbrugsbestemmelser i Adam
Although countless hours have been spent alone at the computer as part of my doctoral studies ove... more Although countless hours have been spent alone at the computer as part of my doctoral studies over the past years, many people have contributed in various ways to make my work better and the time I spent more interesting. It would be impossible to name them all, but the following deserve special thanks. First, I thank my adviser, Professor Henrik Jensen, who has kindly o¤ered constructive criticism and encouragement throughout my doctoral studies, including his never-failing ability to add a greater perspective to my work. Also, thanks to Professor Henrik Hansen who encouraged and helped me to enroll as a doctoral student in the …rst place. At the Department of Economics, I took part in various activities at the Economic Policy Research Unit (epru) which made my time there much more fun and inspirational, and I am grateful to the epru director, Professor Peter Birch Sørensen, for allowing me to a¢ liate with epru. I also thank Professor Claus Thustrup Kreiner who …lled in as substitute adviser for a short while and took over as epru director towards the end of my time spent at the department. As part of my doctoral programme, I spent two semesters at Princeton University which proved to be very instructive and inspirational. I owe special thanks to Professor Christopher Sims whose lectures had a critical impact on this dissertation and who kindly devoted time to discuss my research plans. I am indebted to my co-authors, Jesper Linaa, Jens Søndergaard, and Carlos Carvalho, without whom this dissertation would be very di¤erent and most likely of poorer quality. Additionally, all three are genuinely nice chaps and I much value their friendship and encouragement during the many hours we spent together. Ultimately, I thank my wife, Sophie; words are inadequate to express my gratitude for her enduring patience and loving encouragement.
Konjunkturcykler i Danmark og Europa
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.
Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loan... more Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loans without amortisation Adjustable-rate loans without amortisation Bank loans for housing purposes Kr. billion
Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loan... more Dec 10 Fixed-rate loans with amortisation Adjustable-rate loans with amortisation Fixed-rate loans without amortisation Adjustable-rate loans without amortisation Bank loans for housing purposes Kr. billion
SSRN Electronic Journal, 2014
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
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 ...
Comments on ‘House Prices in Denmark and Sweden’
Reform Capacity and Macroeconomic Performance in the Nordic Countries, 2015