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Optimal kapitaldekning for norske banker
Get PDFI dette memoet analyserer vi hvor høy kapitaldekning bankene bør ha i et samfunnsøkonomisk perspektiv. Mer egenkapital i bankene kan bidra til finansiell stabilitet ved å redusere risikoen for kostbare bankkriser, men utlån kan bli dyrere om bankene må finansiere seg med mer egenkapital. I vurderinger av optimal kapitaldekning må derfor samfunnsøkonomiske kostnader av dyrere utlån veies opp mot gevinsten av at det kan inntreffe færre og mindre kostbare bankkriser. Beregningene våre tar hensyn til de siste endringene i kapitalreguleringen av bankene. Resultatene tyder på at norske banker bør ha en ren kjernekapitaldekning på mellom 12 og 19 prosent. Dagens kapitalnivå på rundt 18 prosent er i tråd med dette. Våre anslag samsvarer med resultater fra internasjonale studier, men anslagene varierer betydelig ved endringer i usikre forutsetninger. Bankenes kapitalbehov under bankkrisen på begynnelsen av 1990-tallet viser imidlertid at slike anslag ikke er urimelige.publishedVersio
The Price Responsiveness of Shale Producers: Evidence from Micro Data
Get PDFWe show that shale oil producers respond positively to favourable oil price signals, and that this response is mainly associated with the timing of production decisions through well completion and refracturing, consistent with the Hotelling theory of optimal extraction. This finding is established using a novel proprietary data set consisting of more than 200,000 shale wells across ten U.S. states spanning almost two decades. We document large heterogeneity in the estimated responses across the various shale wells, suggesting that aggregation bias is an important issue for this kind of analysis. Our empirical results call for new models that can account for a growing share of shale oil in the U.S., the inherent flexibility of shale extraction technology in production and the role of shale oil in transmitting oil price shocks to the global economy.publishedVersio
Vi setter renten opp for å få prisveksten ned
Get PDFSentralbanksjef Ida Wolden Baches innledning på pressekonferanse om rentebeslutningen 3. november 2022.publishedVersio
Financial Stability Report 2022: vulnerabilities and risks
No full textIn its annual Financial Stability Report, Norges Bank assesses the financial stability outlook. The Report discusses cyclical and structural developments in financial markets, the Norwegian economy and among banks and other financial institutions that are of importance for vulnerabilities and risks in the financial system. The Report also points to measures that can contribute to financial stability. In its quarterly Monetary Policy Report with financial stability assessment, Norges Bank provides assessments of cyclical vulnerabilities and banks’ resilience, along with the “Monetary policy assessment” and “Assessment of the countercyclical capital buffer”. In the Financial Infrastructure Report, Norges Bank assesses vulnerabilities and risks in the financial infrastructure. The report Norway’s financial system provides a comprehensive overview of Norway’s financial system, its tasks and the performance of these tasks. Norges Bank’s Monetary Policy and Financial Stability Committee discussed Financial Stability Report 2022 at its meetings on 30 September, 25 October and 2 November 2022.publishedVersio
Næringseiendomsmarkedet - ikke lenger en «svart boks»
Get PDFNorske banker har en stor eksponering mot næringseiendom. Historisk har banker i Norge og internasjonalt tapt mye på utlån til næringen i finansielle kriser. Offentlig tilgjengelig informasjon har vært begrenset. Det skyldes blant annet at næringseiendom er et svært heterogent produkt, og at transaksjoner av næringsbygg ofte ikke registreres i offentlige registre. Norges Bank har nylig fått tilgang til et stort utvalg av data for næringsbygg. Vi har koblet dette datasettet mot bankenes pant i bygg og estimert markedsverdier til byggene. Våre resultater viser at bankene har en overvekt av sin eksponering i næringseiendom mot kontormarkedet i de store byene, og da særlig Oslo. På den annen side er de dyreste kontorbyggene et av segmentene bankene i mindre grad er eksponert mot. Videre finner vi at bankene er bredt eksponert mot næringseiendomsmarkedet, og at enkeltbanker er nokså likt eksponert mot ulike byggtyper.publishedVersio
Frontfagets betydning for lønnsdannelsen i private tjenestnæringer
Get PDFI denne analysen ser vi nærmere på i hvilken utstrekning lønnsutviklingen i industrien driver lønnsutviklingen i de ulike tjenesteytende næringene i privat sektor, i tråd med prediksjonen fra frontfagsmodellen. Spesielt studerer vi om lønnsevnen i den enkelte tjenestenæring, definert som verdien av bruttoproduktet per arbeidstime, også har betydning. Vi finner at lønnsutviklingen i frontfaget er den viktigste forklaringsfaktoren også på disaggregert nivå, men egen lønnsevne har også (signifikant) betydning i om lag halvparten av tjenestenæringene. Mens lønnsnivået for tjenestenæringene samlet over tid har vokst i samme takt som industrilønna, er dette i mindre grad tilfellet for den enkelte tjenestenæring.publishedVersio
Explaining Deviations from Okun’s Law
Get PDFDespite its stability over time, as for any statistical relationship, Okun’s law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun’s regressions and structural shocks identified using a SVAR model by inspecting how unemployment responds to the state of the economy. We show that deviations from Okun’s law are a natural and expected outcome once one takes a multi-shock perspective, as long as shocks to automation, labor supply and structural factors in the labor market are taken into account. Our simple recipe for policy makers is that, if a positive deviation from Okun’s law arises, it is likely to be generated by either positive labor supply or automation shocks or by negative structural factors shocks.publishedVersio
Foreign banks and the doom loop
Get PDFThis paper explores whether foreign banks stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. In this context, the presence of foreign intermediaries poses a fundamental, yet unexplored, trade-off. On the one hand, domestic sovereign shocks are broadly inconsequential for the lending capacity of foreign banks, given that their funding conditions are not hampered by such shocks. On the other, these intermediaries may react more harshly than domestic banks to a deterioration in local loan risk and demand conditions, or import shocks from their own sovereign. We exploit granular and confidential data on euro area banks operating in different countries to assess this trade-off. Overall, it is found that, under certain conditions, the presence of foreign lenders stabilises lending, thus mitigating the doom loop.publishedVersio
Aggregate density forecast of models using disaggregate data - A copula approach
Get PDFWe propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct a set of Monte Carlo studies to investigate the properties of the suggested approach. In our empirical application, we use the Norwegian index for goods consumption (VKI) and the Norwegian consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods using recursive out-of-sample estimation.publishedVersio
Monetary Policy Report with financial stability assessment 3/22
Get PDFAt its meetings on 6 September and 13 September, the Committee discussed the economic outlook, the monetary policy stance and the countercyclical capital buffer rate. On 21 September, the Committee decided on the policy rate and the buffer rate, on the basis of the deliberations and a recommendation from Norges Bank staff.publishedVersio