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  • 3601.
    Österholm, Göran
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Narrow Framing and Call Option Grants2011Licentiatavhandling, monografi (Övrigt vetenskapligt)
  • 3602.
    Österholm, Karl Göran
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Essays on Managerial Compensation2013Doktorsavhandling, monografi (Övrigt vetenskapligt)
  • 3603.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    A structural Bayesian VAR for model-based fan charts2008Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 40, nr 12, s. 1557-1569Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Inflation forecast uncertainty is of importance for a wide range of agents in the economy, central banks in particular. Ways to describe and account for this uncertainty in a consistent manner have received increasing attention of late, in part due to the growing number of inflation-targeting central banks. This article develops a large structural VAR for the Swedish economy and estimates it in a Bayesian framework. The methodology permits not only structural interpretation and analysis but offers a natural way to formalize forecast uncertainty, as the posterior predictive density from the model has the interpretation of a fan chart.

  • 3604.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Can forecasting performance be improved by considering the steady state?: An application to Swedish inflation and interest rate2008Ingår i: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 27, nr 1, s. 41-51Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper investigates whether the forecasting performance of Bayesian autoregressive and vector autoregressive models can be improved by incorporating prior beliefs on the steady state of the time series in the system. Traditional methodology is compared to the new framework-in which a mean-adjusted form of the models is employed-by estimating the models on Swedish inflation and interest rate data from 1980 to 2004. Results show that the out-of-sample forecasting ability of the models is practically unchanged for inflation but significantly improved for the interest rate when informative prior distributions on the steady state are provided. The findings in this paper imply that this new methodology could be useful since it allows us to sharpen our forecasts in the presence of potential pitfalls such as near unit root processes and structural breaks, in particular when relying on small samples.

  • 3605.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Estimating the Relationship between Age Structure and GDP in the OECD Using Panel Cointegration Methods2004Rapport (Övrigt vetenskapligt)
  • 3606.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Incorporating Judgement in Fan Charts2006Rapport (Övrig (populärvetenskap, debatt, mm))
    Abstract [en]

    Within a decision-making group, such as the monetary-policy committee of a central bank,group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent’s judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density – or fan chart – associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner.

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  • 3607.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Incorporating Judgement in Fan Charts2009Ingår i: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442, Vol. 111, nr 2, s. 387-415Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Within a decision-making group, such as a central bank's monetary-policy committee, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system and, accordingly, a particular predictive density—or fan chart—associated with it. A weighted linear combination of the predictive densities yields a final predictive density that reflects the uncertainty perceived by the agents generating the forecast.

  • 3608.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Killing Four Unit Root Birds in the US Economy with Three Panel Unit Root Test Stones2004Ingår i: Applied Economics Letters, Vol. 11, nr 4, s. 213-216Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This study tests for the presence of unit roots in four US macroeconomic time series using panel unit root tests. The Im, Pesaran and Shin (Journal of Econometrics, 115, pp. 53–74, 2003) test, the Multivariate Augmented Dickey-Fuller test (Taylor and Sarno, Journal of International Economics, 46, pp. 281–312, 1998) and the Johansen (Journal of Economic Dynamics and Control, 12, pp. 231–54, 1988) likelihood ratio test are applied to unemployment, the real exchange rate, the nominal interest rate and inflation. The three tests all have ways of controlling the obvious cross-sectional dependence in the panel. Using monthly data from 1960 to 2002 there is evidence that all time series are generated by stationary processes.

  • 3609.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Mean Reversion in Swedish Macroeconomic Time Series - Evidence Using a New Panel Data Approach2004Ingår i: European Review of Economics and Finance, Vol. 3, nr 4, s. 23-36Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The presence or absence of unit roots in a time series can be used to test the validity of a number of economic hypotheses and the persistence of economic time series therefore receives a fair amount of attention. This paper tests for the presence of unit roots in four time series of major interest to the Swedish macro economy. The time series properties of the real exchange rate, the nominal interest rate, inflation and unemployment are investigated using both traditional univariate unit root tests and panel unit root tests in a new panel setting. It is well known that there is power to be gained when testing for unit roots by using a panel setting. By applying two different panel unit root tests - the frequently used Im, Pesaran and Shin (2003) and the less used, but potentially highly informative, Johansen (1988) likelihood ratio test - the drawbacks of panel unit root tests, such as formulation of null and alternative hypothesis and the common assumption of cross-sectional independence, are also addressed in this study. Applying the tests to monthly data from 1972 to 2003, the panel unit root tests provide strong evidence that all four time series are stationary-processes.

  • 3610.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Size Properties of Cointegration Tests in Misspecified Systems2004Ingår i: Applied Economics Letters, Vol. 11, nr 15, s. 919-924Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The small sample size properties of three frequently used cointegration tests when a system has been misspecified are investigated. Specifically, the misspecification consists of one relevant variable being omitted from a system with one cointegrating vector. A Monte Carlo study shows that the Johansen (1991) trace test, adjusted by a simple finite sample correction, has the most robust behaviour when lag length in the test equations is chosen according to traditional information criteria.

  • 3611.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Testing for Cointegration in Misspecified Systems - A Monte Carlo Study of Size Distortions2002Licentiatavhandling, monografi (Övrigt vetenskapligt)
  • 3612.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Testing for cointegration in misspecified systems: a Monte Carlo study of size distortions2003Rapport (Övrigt vetenskapligt)
    Abstract [en]

    When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been misspecified by leaving out one relevant explanatory variable from a system with one cointegrating vector. In a Monte Carlo study, the size distortions of the Augmented Engle-Granger (Engle and Granger, 1987), Johansen’s (1988) maximum eigenvalue, Johansen’s (1991) trace and the Boswijk (1989) Wald tests are examined. The Johansen trace test adjusted by the finite sample correction of Reinsel and Ahn (1988) is found to have the most robust performance when lag length in the test equations is chosen according to traditional information criteria.

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  • 3613.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions2003Rapport (Övrigt vetenskapligt)
  • 3614.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Testing for Hysteresis in Nordic Unemployment Using the Johansen Likelihood Ratio Test for Cointegration2004Ingår i: Applied Economics Quarterly, Vol. 50, nr 3, s. 249-260Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Whether shocks to unemployment in an economy are temporary or permanent will have implications for the design of labour market regulations, institutions and counteracting policy. The concept of unemployment hysteresis therefore becomes crucial when designing and implementing policy. This paper tests for the presence of unemployment hysteresis in the Nordic countries using the Johansen (1988) likelihood ratio test for cointegration as a panel unit root test. The results indicate that there is no unemployment hysteresis in any of the Nordic countries.

  • 3615.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    The Taylor rule: a spurious regression2003Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This paper investigates the econometric properties of the Taylor (1993) rule applied to U.S., Australian and Swedish data to judge its empirical relevance. Little attention has been paid to the time series properties of the data underlying interest rate rules, nor the estimations themselves, despite the rise in popularity of Taylor-like rules in both empirical and theoretical work. Unit root tests indicate that the variables commonly used in such modelling are likely to be integrated of order one or near integrated. Given that the variables in the Taylor rule are integrated of order one or near integrated processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and compatibility between the model and the data. Tests find little support for cointegration and, together with an out-of-sample forecast exercise, suggest that we should have serious doubts about the Taylor rule as a reasonable description of how monetary policy is conducted in the countries considered in this study. Parameter estimates from the standard Taylor rule regressions are therefore likely to be inconsistent and caution should be taken before for central bank policy is evaluated using such methods.

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  • 3616.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    The Taylor Rule: A Spurious Regression?2003Rapport (Övrigt vetenskapligt)
  • 3617.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    The Taylor Rule: A Spurious Regression?2005Ingår i: Bulletin of Economic Research, Vol. 57, nr 3, s. 217-247Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 3618.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    The Taylor Rule and Real-Time Data – A Critical Appraisal2005Ingår i: Applied Economics Letters, Vol. 12, nr 11, s. 679-685Artikel i tidskrift (Övrig (populärvetenskap, debatt, mm))
  • 3619.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    The time-series properties of Norweigan inflation and nominal interest rate2009Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, nr 10, s. 1303-1309Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This article investigates the time-series properties of Norwegian inflation and nominal interest rate using annual data from 1850 to 2004. A number of different univariate unit-root tests are employed to examine whether the time series are mean reverting or generated by unit-root processes. Results show very strong evidence in favour of mean reversion in inflation but a unit root in the nominal interest rate. This implies that there exists no long-run relationship between these two variables, a conclusion which is further supported by cointegration tests and estimated vector error correction models. The cointegration analysis also points to an important potential pitfall when using cointegration techniques on systems where some variables are stationary processes.

  • 3620.
    Österholm, Pär
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Time Series and Macroeconomics: Studies in Demography and Monetary Policy2004Doktorsavhandling, monografi (Övrigt vetenskapligt)
    Abstract [en]

    Chapter 1 provides a brief introduction to the topics of the thesis and summarises the main results.

    Chapter 2 studies the econometric properties of the Taylor (1993) rule when applied to U.S., Australian and Swedish data in order to judge its empirical relevance. Unit root tests indicate that the variables commonly used in such modelling are likely to be integrated of order one or near integrated. Given these time series properties, cointegration becomes a necessary condition both for consistent estimation of the parameters of the model and compatibility between the model and the data. Tests find little support for cointegration and, together with an out-of-sample forecast exercise, suggest that we should have serious doubts about the Taylor rule as a reasonable description of how monetary policy is conducted in the countries considered in this study.

    Chapter 3 investigates the relationship between age structure and GDP in 20 OECD countries using annual data between 1970 and 1999. Using new methodology, the relationship between the variables can be formulated in levels despite the presence of unit roots in the time series. Applying two panel cointegration tests proposed by Pedroni (1999), support is found for a long run relationship between GDP and the number of people in five different age groups. Coefficient estimates from panel regressions support effects predicted by the life cycle hypothesis and human capital theory.

    Chapter 4 investigates the small sample performance of four well-known cointegration tests when a system has been misspecified by leaving out one relevant variable from a system with one cointegrating vector. In a Monte Carlo study, the size distortions of the Augmented Engle-Granger (Engle and Granger, 1987), Johansen’s (1988) maximum eigenvalue, Johansen’s (1991) trace and the Boswijk (1989) Wald tests are examined. The Johansen trace test adjusted by a finite sample correction is found to have the most robust performance when lag length in the test equations is chosen according to traditional information criteria.

    Chapter 5 tests for the presence of unit roots in four U.S. macroeconomic time series using panel unit root tests. This is done by introducing a new panel setting which allows the researcher to test several hypotheses for one country instead of one hypothesis for several countries, which has been the standard approach in previous work. The Im, Pesaran and Shin (2003) test, the Multivariate Augmented Dickey-Fuller test (Taylor and Sarno, 1998) and the Johansen (1988) likelihood ratio test are applied to unemployment, the real exchange rate, the nominal interest rate and inflation. The three tests all have ways of controlling the obvious cross-sectional dependence in the panel. Using monthly data from 1960 to 2002 there is evidence that all time series are generated by stationary processes.

  • 3621.
    Österholm, Pär
    et al.
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Zettelmeyer, Jeromin
    IMF's Research Department.
    The Effect of External Conditions on Growth in Latin America2008Ingår i: IMF Staff papers (Print), ISSN 1020-7635, E-ISSN 1564-5150, Vol. 55, nr 4, s. 595-623Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian vector-autoregressive model with informative steady-state priors. The model is estimated using quarterly data from 1994 to 2007 on key external and Latin American variables. It finds that 50 to 60 percent of the variation in Latin American GDP growth is accounted for by external shocks. Conditional forecasts for a variety of external scenarios suggest that Latin American growth is robust to moderate declines in commodity prices and external growth, but sensitive to more extreme shocks, particularly a combined external slowdown and tightening of world financial conditions.

  • 3622.
    Östervall, Matz
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Tidsvarierande terminspremie: - en undersökning av den svenska aktiemarknaden2002Självständigt arbete på avancerad nivå (magisterexamen)Studentuppsats
  • 3623.
    Östros, Sara
    et al.
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Giertz-Olohan, Josephine
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Hur påverkas kvinnors arbetskraftsutbud vid en förändring av relativpriset för barnomsorg?: En studie om det kommunala vårdnadsbidragets effekt på kvinnors arbetskraftsutbud2019Självständigt arbete på grundnivå (kandidatexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
    Abstract [sv]

    Policy- och lagförändringar kan förändra incitamenten för att arbeta. Syftet med studien är att undersöka hur förändringen i relativpriset för barnomsorg, till följd av införandet av det kommunala vårdnadsbidraget, påverkade kvinnors arbetskraftsutbud. Genom en difference-in- differences-metod med fixa effekter estimeras den genomsnittliga effekten på andelen förvärvsarbetande samt andelen inskrivet arbetslösa bland kvinnor i Sverige. Data är aggregerat på kommunnivå och arbetskraftsutbudet studeras bland kvinnor födda i Sverige samt bland kvinnor födda utanför EU/EFTA uppdelat efter högsta avklarad utbildningsnivå. Studiens huvudsakliga resultat visar att vårdnadsbidraget har haft en effekt på arbetskraftsutbudet där andelen förvärvsarbetande ökade bland kvinnor födda utanför EU/EFTA men minskade bland kvinnor födda i Sverige. Den inskrivna arbetslösheten minskade främst bland lågutbildade kvinnor födda utanför EU/EFTA och för kvinnor födda i Sverige.

  • 3624.
    Özen, Erkan
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Finns det anomalier på Stockholms fondbörs?2002Självständigt arbete på avancerad nivå (magisterexamen)Studentuppsats
  • 3625.
    Žamac, Jovan
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
    Education, Pensions, and Demography2007Doktorsavhandling, monografi (Övrigt vetenskapligt)
    Abstract [en]

    This dissertation comprises three essays on demography and intergenerational transfers.

    Essay 1 investigates the general equilibrium effects of a fertility shock under different intergenerational transfer schemes; where the workers provide for the young and the retired. The analysis concerns the closed economy where fertility fluctuations affect factor prices, besides intergenerational flows. How savings, factor prices, and growth evolve does not only differ quantitatively but could also differ qualitatively, depending on intergenerational transfers. How sensitive the results are to different assumptions about intergenerational transfers depends on how education investments affect future productivity.

    Essay 2 compares alternative designs of an unfunded pension system. The objective is to maximize the expected ex-ante welfare under stochastic fertility. The model is a three-period CGE framework where the financing of education and effects on factor prices are accounted for. Factor prices depend on the degree of capital mobility. For low degrees of capital mobility, it is optimal to have a fixed benefit rate in the pension system. But for the small open economy, a fixed contribution rate is optimal if the education system has a fixed benefit rate. In this case individuals in the small open economy are unaffected by fertility fluctuations.

    Essay 3 considers how to design unfunded pension system with respect to longevity uncertainty. The aim is to find the optimal design of behind the veil of ignorance.

    The model is a computable overlapping generations model where the effects on labor supply and human capital are accounted for. Individuals decision to enter and exit the labor force is endogenous. Results show that it is important to be able to alter the retirement time in response to a longevity shock. When this is possible then there is no

    crucial difference between the different pension designs. If it is not possible to alter the retirement time then the fixed benefit rate is preferred. This means that pensions should not change when old age dependency changes but that taxes should adjust instead. In this case the design of the pension system will also have an impact on the labor supply.

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