Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210329 
Year of Publication: 
2016
Series/Report no.: 
Staff Memo No. 16/2016
Publisher: 
Norges Bank, Oslo
Abstract: 
We employ a structural VAR model to investigate direct and indirect effects of oil price changes on the Norwegian effective exchange rate (I44). The model is estimated on different subsamples and with different model specifications. Our main finding is that the direct effect of oil price shocks on the I44 has increased over time, independent of the model specification we choose. Furthermore, an increasing impact of oil shocks on interest rates and an increased impact of interest rates on the I44 account for the rise in the indirect impact of oil on the I44 over time. We further find that long (short) term interest differentials become relatively more (less) important for explaining movements in the I44 during recent samples. A possible interpretation could be the (zero) lower bound and unconventional monetary policy conducted by Norway's trading partners.
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-932-6
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Research Report
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