This page in Swedish

Pär Österholm

Title: Professor School/office: Örebro University School of Business

Email: par.osterholm@oru.se

Phone: +46 19 301311

Room: N4001

Research subject

Economics

Research environments

Economics and Statistics

About Pär Österholm

Pär Österholm became a professor of financial economics at Örebro university in 2016. His research interests include macro-finance, forecasting and monetary policy.

Österholm got his PhD in economics at Uppsala University in 2004 and became an associate professor at the same university in 2010. Before he joined Örebro University, he was the division head of GDP analysis at the National Institute of Economic Research. He has also been a visiting researcher at the Board of Governors of the Federal Reserve System and the International Monetary Fund, and worked as a senior economist at the Riksbank and the National Institute of Economic Research. He was a council member of the Swedish Fiscal Policy Council between 2019 and 2022.

Research interests

Macro-finance
Forecasting
Monetary policy

Collaborations and assignments

Member of the National Institute of Economic Research's Macroeconomic Council
Member of Statistics Sweden's Advisory Board for Economic Statistics
Scientific adviser to Kommuninvest
Affiliated scholar, National Institute of Economic Research

Curriculum vitae

PDF here

Selected journal publications

Kiss, T., Kladívko, K., Silfverberg, O. and Österholm, P. (2023), "Market Participants or the Random Walk – Who Forecasts Better? Evidence from Micro-Level Survey Data", forthcoming in Finance Research Letters.

Karlsson, S. and Österholm, P. (2023), "Is the US Phillips Curve Stable? Evidence from Bayesian VARs", Scandinavian Journal of Economics 125 (1), 287-314.

Kiss, T., Mazur, S., Nguyen, H. and Österholm, P. (2023), "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Innovations", Journal of Forecasting 42 (2), 347-368.

Österholm, P. and Poon, A. (2022), "Trend Inflation in Sweden", forthcoming in International Journal of Finance and Economics.

Kiss, T., Nguyen, H. and Österholm, P. (2022), “Modelling Okun’s Law – Does non-Gaussianity Matter?”, forthcoming in Empirical Economics.

Andersson, F. N. G., Hjalmarsson, E. and Österholm, P. (2022), "Inflation Illiteracy - A Micro-Data Analysis", Sveriges Riksbank Economic Review 2022:2, 106-119.

Kiss, T., Nguyen, H. and Österholm, P. (2022), "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area", Finance Research Letters 46, 102365.

Kladívko, K. and Österholm, P. (2021), "Can Households Predict where the Macroeconomy Is Headed?", Sveriges Riksbank Economic Review 2021:2, 5-17.

Kladívko, K. and Österholm, P. (2021), "Do Market Participants' Forecasts of Financial Variables Outperform the Random-Walk Benchmark?", Finance Research Letters 40, 101712.

Hjalmarsson, E. and Österholm, P. (2021), "Anchoring in Surveys of Household Expectations", Economics Letters 198, 109687.

Karlsson, S. and Österholm, P. (2020), "A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun's Law in the United States", Economics Letters 197, 109622.

Hjalmarsson, E. and Österholm, P. (2020), "Heterogeneity in Households' Expectations of Housing Prices – Evidence from Micro Data", Journal of Housing Economics 50, 101731.

Kiss, T. and Österholm, P. (2020), "Fat Tails in Leading Indicators", Economics Letters 193, 109317.

Karlsson, S. and Österholm, P. (2020), "The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or Time-Varying?", Economics Letters 186, 108883.

Karlsson, S. and Österholm, P. (2020), "A Note on the Stability of the Swedish Phillips Curve", Empirical Economics 59 (6), 2573-2612.

Hjalmarsson, E. and Österholm, P. (2019), "A Micro-Data Analysis of Households’ Expectations of Mortgage Rates”, Economics Letters 185, 108693.

Karlsson, S. and Österholm, P. (2019), "Volatilities, Drifts and the Relation between Treasury Yields and the Corporate Bond Yield Spread in Australia", Finance Research Letters 30, 378-384.

Österholm, P. (2018), "The Relation between Treasury Yields and Corporate Bond Yield Spreads in Australia - Evidence from VARs", Finance Research Letters 24, 186-192.

Hjalmarsson, E. and Österholm, P. (2017), "Households' Mortgage-Rate Expectations: More Realistic than at First Glance?", Sveriges Riksbank Economic Review 2017:2, 57-64.

Gustafsson, P., Stockhammar, P. and Österholm, P. (2016), "Macroeconomic Effects of a Decline in Housing Prices in Sweden", Journal of Policy Modeling 38 (2), 242-255.

Gustavsson, M. and Österholm, P. (2014), "Does the Labor-Income Process Contain a Unit Root? Evidence from Individual Specific Time Series", Journal of Economic Dynamics and Control 47, 152-167.

Beechey, M. and Österholm, P. (2012), "The Rise and Fall of U.S. Inflation Persistence", International Journal of Central Banking 8 (3), 55-86.

Gustavsson, M. and Österholm, P. (2012), "Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data", Economics Letters 116 (3), 408-410.

Österholm, P. (2012), "The Limited Usefulness of Macroeconomic Bayesian VARs when Forecasting the Probability of a US Recession", Journal of Macroeconomics 34 (1), 76-86.

Dale, S., Orphanides, A. and Österholm, P. (2011), "Imperfect Central Bank Communication: Information versus Distraction", International Journal of Central Banking 7 (2), 3-39.

Berger, H. and Österholm, P. (2011), "Does Money Granger Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs", Economic Record 87 (276), 45-60.

Beechey, M. and Österholm, P. (2010), "Forecasting Inflation in an Inflation Targeting Regime: A Case for Informative Steady-State Priors", International Journal of Forecasting 26 (2), 248-264.

Österholm, P. (2010), "The Effect on the Swedish Real Economy of the Financial Crisis", Applied Financial Economics 20 (4), 265-274.

Österholm, P. (2009), "Incorporating Judgment in Fan Charts", Scandinavian Journal of Economics 111 (2), 387-415.

Beechey, M., Hjalmarsson, E. and Österholm, P. (2009), "Testing the Expectations Hypothesis when Interest Rates Are Near Integrated", Journal of Banking and Finance 33 (5), 934-943.

Berger, H. and Österholm, P. (2009), "Does Money Still Matter for U.S. Output?", Economics Letters 102 (3), 143-146.

Beechey, M. and Österholm, P. (2008), "A Bayesian VAR with Informative Steady-State Priors for the Australian Economy", Economic Record 84 (267), 449-465.

Österholm, P. and Zettelmeyer, J. (2008), "The Effect of External Conditions on Growth in Latin America", IMF Staff Papers 55 (4), 595-623.

Österholm, P. (2008), "Can Forecasting Performance Be Improved by Considering the Steady State? An Application to Swedish Inflation and Interest Rate", Journal of Forecasting 27 (1), 41-51.

Gustavsson, M. and Österholm, P. (2006), "The Informational Value of Unemployment Statistics: A Note on the Time Series Properties of Participation Rates", Economics Letters 92 (3), 428-433.

Örebro University and Kommuninvest workshops

5th Örebro University and Kommuninvest workshop: Financial Econometrics, 7th to 8th of November, 2022

4th Örebro University and Kommuninvest workshop: Financial Econometrics, 15th to 16th of November, 2021

3rd Örebro University and Kommuninvest workshop: Financial Econometrics, 11th to 12th of November, 2019

2nd Örebro University and Kommuninvest workshop: Predicting Asset Returns, 13th to 14th of November, 2018

Örebro University and Kommuninvest workshop: Interest rates after the financial crisis, 3rd to 4th of October, 2017

Completed projects

Macro and financial econometrics after the financial crisis

Research teams

Macroeconomics and financial econometrics (MAFE)

Publications

Articles in journals

Karlsson, S. & Österholm, P. (2023). Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions. Scandinavian Journal of Economics.
Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2023). Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations. Journal of Forecasting, 42 (2), 347-368.
Kiss, T. , Nguyen, H. & Österholm, P. (2022). Modelling Okun's law: Does non-Gaussianity matter?. Empirical Economics.
Javed, F. , Kiss, T. & Österholm, P. (2022). Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity. Applied Economics, 54 (58), 6669-6686.
Kiss, T. , Nguyen, H. & Österholm, P. (2022). The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area. Finance Research Letters, 46 (Part A).
Österholm, P. & Poon, A. (2022). Trend Inflation in Sweden. International journal of finance and economics.
Hjalmarsson, E. & Österholm, P. (2021). Anchoring in Surveys of Household Expectations. Economics Letters, 198.
Kladivko, K. & Österholm, P. (2021). Can households predict where the macroeconomy is headed?. Penning- och valutapolitik (2), 5-17.
Kladivko, K. & Österholm, P. (2021). Do Market Participants’ Forecasts of Financial Variables Outperform the Random-Walk Benchmark?. Finance Research Letters, 40.
Karlsson, S. & Österholm, P. (2020). A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun’s Law in the United States. Economics Letters, 197.
Karlsson, S. & Österholm, P. (2020). A Note on the Stability of the Swedish Phillips Curve. Empirical Economics, 59 (6), 2573-2612.
Kiss, T. & Österholm, P. (2020). Fat tails in leading indicators. Economics Letters, 193.
Hjalmarsson, E. & Österholm, P. (2020). Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data. Journal of Housing Economics, 50.
Karlsson, S. & Österholm, P. (2020). The relation between the corporate bond-yield spread and the realeconomy: Stable or time-varying?. Economics Letters, 186.
Hjalmarsson, E. & Österholm, P. (2019). A micro-data analysis of households' expectations of mortgage rates. Economics Letters, 185.
Österholm, P. (2018). The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. Finance Research Letters, 24, 186-192.
Hjalmarsson, E. & Österholm, P. (2017). Households’ mortgage-rate expectations: more realistic than at first glance?. Penning- och valutapolitik (2), 56-63.
Stockhammar, P. & Österholm, P. (2017). The Impact of US Uncertainty Shocks on Small Open Economies. Open Economies Review, 28 (2), 347-368.
Gustafsson, P. , Stockhammar, P. & Österholm, P. (2016). Macroeconomic effects of a decline in housing prices in Sweden. Journal of Policy Modeling, 38 (2), 242-255.
Beechey, M. & Österholm, P. (2014). Central bank forecasts of policy interest rates: An evaluation of the first years. Economic notes - Monte dei Paschi di Siena, 43 (1), 63-78.
Gustavsson, M. & Österholm, P. (2014). Does the labor-income process contain a unit root?: Evidence from individual-specific time series. Journal of Economic Dynamics and Control, 47, 152-167.
Antipin, J. , Boumediene, F. J. & Österholm, P. (2014). Forecasting Inflation Using Constant Gain Least Squares. Australian Economic Papers, 53 (1-2), 2-15.
Beechey, M. & Österholm, P. (2014). Policy interest-rate expectations in Sweden: a forecast evaluation. Applied Economics Letters, 21 (14), 984-991.
Österholm, P. (2014). Survey data and short-term forecasts of Swedish GDP growth. Applied Economics Letters, 21 (2), 135-139.
Gustavsson, M. & Österholm, P. (2012). Labor-force participation rates and the informational value of unemployment rates: Evidence from disaggregated US data. Economics Letters, 116 (3), 408-410.
Österholm, P. (2012). The Limited Usefulness of Macroeconomic Bayesian VARs when Forecasting the Probability of a US Recession. Journal of macroeconomics, 34 (1), 76-86.
Jonsson, T. & Österholm, P. (2012). The properties of survey-based inflation expectations in Sweden. Empirical Economics, 42 (1), 79-94.
Beechey, M. & Österholm, P. (2012). The Rise and Fall of U.S. Inflation Persistence. The International Journal of Central Banking, 8 (3), 55-86.
Berger, H. & Österholm, P. (2011). Does Money Granger Cause Inflation in the Euro Area?: Evidence from Out-of-Sample Forecasts Using Bayesian VARs. The Economic Record, 87 (276), 45-60.
Dale, S. , Orphanides, A. & Österholm, P. (2011). Imperfect Central Bank Communication: Information versus Distraction. The International Journal of Central Banking, 7 (2), 3-39.
Jonsson, T. & Österholm, P. (2011). The forecasting properties of survey-based wage-growth expectations. Economics Letters, 113 (3), 276-281.
Beechey, M. & Österholm, P. (2010). Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors. International Journal of Forecasting, 26 (2), 248-264.
Hjalmarsson, E. & Österholm, P. (2010). Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies. Empirical Economics, 39 (1), 51-76.
Österholm, P. (2010). The effect on the Swedish real economy of the financial crisis. Applied Financial Economics, 20 (4), 265-274.
Österholm, P. (2010). Unemployment and Labour-Force Participation in Sweden. Economics Letters, 106 (3), 205-208.
Berger, H. & Österholm, P. (2009). Does money still matter for U.S. output?. Economics Letters, 102 (3), 143-146.
Österholm, P. (2009). Incorporating Judgement in Fan Charts. Scandinavian Journal of Economics, 111 (2), 387-415.
Beechey, M. , Hjalmarsson, E. & Österholm, P. (2009). Testing the expectations hypothesis when interest rates are near integrated. Journal of Banking & Finance, 33 (5), 934-943.
Österholm, P. (2008). Can Forecasting Performance Be Improved by Considering the Steady State?: An Application to Swedish Inflation and Interest Rate. Journal of Forecasting, 27 (1), 41-51.
Beechey, M. & Österholm, P. (2008). Revisiting the uncertain unit root in GDP and CPI: Testing for non-linear trend reversion. Economics Letters, 100 (2), 221-223.
Gustavsson, M. & Österholm, P. (2006). The informational value of unemployment statistics: A note on the time series properties of participation rates. Economics Letters, 92 (3), 428-433.
Österholm, P. (2005). The Taylor Rule: A Spurious Regression?. Bulletin of Economic Research, 57 (3), 217-247.

Chapters in books

Österholm, P. (2017). The Limited Usefulness of Macroeconomic Bayesian VARs when Forecasting the Probability of a US Recession. In: Arturo Estrella, The Economics of Recession (pp. 76-86). Northampton, MA: Edward Elgar Publishing.

Collections (editor)

Hultkrantz, L. (ed.) & Österholm, P. (ed.) (2022). Marknad och politik (13ed.). Lund: Studentlitteratur AB.
Hultkrantz, L. (ed.) & Österholm, P. (ed.) (2017). Marknad och politik (12ed.). Lund: Studentlitteratur AB.

Conference papers

Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Paper presented at 11th European Seminar on Bayesian Econometrics, Madrid, Spain, September 2-3, 2021.

Reports

Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Örebro: Örebro University, School of Business (Working Papers, School of Business 9/2021).