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A high-frequency financial conditions index for Norway
Get PDFWe have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed by the use of principal component analysis and has an average value of zero and a standard deviation of one. A positive value indicates that financial conditions are tighter than the historical average, while a negative value suggests that financial conditions are looser than the historical average. The FCIN is constructed to provide real time insight into financial conditions for the Norwegian economy beyond what is already included in the policy rate and market policy rate expectations. Here we depart from other studies which typically aim at assessing financial conditions more broadly. The index is meant to complement monetary policy analyses and improve our assessments of economic activity.publishedVersio
Uttak fra Statens pensjonsfond utland og mulige avveininger
No full textWe outline a simulation model of the Norwegian economy and the Government Pension Fund Global. We explore the trade-off between spending from the fund in line with expected returns, and spending counter-cyclically in Norway. We analyse the cyclical properties and sustainability of a range of alternative rules for guiding withdrawals from the fund.publishedVersio
Central bank digital currency – experimental testing in project Phase 4
Get PDFThis is a sub report from phase 4 of Norges Bank’s central bank digital currency (CBDC) project. The project began in 2016. Reports from former phases are available on Norges Bank's websites. Norges Bank has not decided on whether to introduce a CBDC, nor on the type of technology and design.
In Phase 4 of Norges Bank's CBDC project, the work relating to the validation of technical solutions was supplemented by experimental testing. This work was carried out by a Validation Group (VG).1 This report discusses the experimental
technology testing.publishedVersio
High policy rate for some time
Get PDFIntroductory statement by Governor Ida Wolden Bache at the press conference following announcement of the policy rate on 2 November 2023publishedVersio
Introduction of central bank digital currency – necessary legislative amendments
Get PDForges Bank has been running a central bank digital currency project since 2016. The project is now in its fourth phase, and as part of this phase an overview will be provided of required legislative amendments linked to the introduction of CBDC. For an overview of Norges Bank’s CBDC project, please see the web page on central bank digital currency (https://www.norges-bank.no/en/topics/financial-stability/central-bank-digital-currency/). This memo assesses the legislative amendments that are expected to be required in order to introduce CBDC.publishedVersio
The Norwegian overnight interbank market during the Covid pandemic
Get PDFWe analyse the behaviour of the Norwegian unsecured overnight interbank market in response to heightened uncertainty and the central bank's liquidity support measures following the Covid-19 pandemic. The liquidity measures enabled banks to fulfil their liquidity needs primarily through participation in extraordinary liquidity auctions. The distribution of central bank reserves across banks did not change due to these measures, but interbank trading fell sharply. Ample liquidity support through the auctions and low interbank trading contributed to low and overly stable overnight rates. Actually, throughout our sample period from 2017 to 2021, the overnight rates remained largely unaffected by fluctuations in uncertainty and overall liquidity conditions.publishedVersio
Renten holdes uendret nå
Get PDFSentralbanksjef Ida Wolden Baches innledning på pressekonferanse om rentebeslutningen 19. januar 2023.publishedVersio
Monitoring multicountry macroeconomic risk
Get PDFWe propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a parsimonious way. We develop two algorithms for posterior inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for the euro area, we establish the good empirical properties of the QFAVAR as a tool for assessing the e ects of global shocks on country-level macroeconomic risks. In particular, QFAVAR short-run tail forecasts are more accurate compared to a FAVAR with symmetric Gaussian errors, as well as univariate quantile autoregressions that ignore comovements among quantiles of macroeconomic variables. We also illustrate how quantile impulse response functions and quantile connectedness measures, resulting from the new model, can be used to implemennt joint risk scenario analysis.publishedVersio
The downs and ups of mark-ups
Get PDFBased on sectoral National accounts data and estimates of the implicit rental rate of capital, we calculate price mark-ups for 42 Norwegian industries for the period 1980-2019. The results indicate a broad-based increase in mark-ups over the sample period, with an average increase of roughly 20 percentage points. Taken at face value, the secular rise in mark-ups have added almost 0.5 percentage points to GDP inflation each year since 1980. As part of the analysis, we also trace out movements in factor shares. Our results indicate a widespread decline in capital shares, and more so than for labor shares. Hence, our findings cast doubt on factor substitution as an important explanation for the decline in the aggregate labor share and instead point to increased corporate market power as the main culprit.publishedVersio
Digitale sentralbankpenger - konsekvenser for likviditetsstyringen og pengepolitikken
Get PDFNotatet drøfter mulige effekter av digitale sentralbankpenger (DSP) på likviditets- og pengepolitikken.publishedVersio