Norges Banks vitenarkiv
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25 år med renteinvesteringer
No full textThis book looks at our approach to invest in fixed income to safeguard our assets for the long term. It explains how our fixed-income management originated from the central bank’s management of the foreign exchange reserves. The role of fixed income in the fund is to reduce return fluctuations, meet liquidity needs and reap bond market risk premiums. These objectives still stand today despite low interest rates.publishedVersio
20 år med aktiv intern aksjeforvaltning
No full textInternal active equity management has enabled the fund to develop investment strategies tailored to its characteristics. This book is an historic review of the fund’s more than 20 years’ experience in this area. Company insight is critical in fulfilling our role as a large and long-term owner of companies. The company insight strategies have been based on knowing companies in depth. We have unsurpassed access to company management and conduct more than 3,000 company meetings every year.publishedVersio
Modellering av terminstrukturer i aksjemarkedet
No full textIn this note, we outline a present-value modelling approach for estimating term structures of expected dividend growth and risk premiums in equity markets. We apply our methodology to equity markets in the US, euro area, Japan and UK.We outline a methodology for estimating term structures of expected dividend growth and risk premiums, which we apply to equity markets in the US, euro area, Japan, and the UK. These term structures are key inputs when estimating expected returns on the market and decomposing equity price movements. Our estimation approach relies on the use of dividend futures prices, which provide a way to breakdown the market into value associated with fixed horizons. We combine these futures prices with stock index prices, options data, and surveys within a present-value framework, allowing us to estimate term structures that extend to long maturities. Our model produces dividend growth and risk premium term structures that explain high proportions of the variation in stock index prices, and closely match dividend futures prices. There is considerable cyclical variation in the expected dividend growth estimates, particularly at shorter horizons. Similarly, short-term risk premiums vary considerably more than long-horizon estimates, and increase sharply during market downturns. The present-value approach allows us to decompose stock market values by horizon, and indicates that the majority of the value occurs beyond ten years for all markets. This is also reflected in estimates of equity market duration, which range from 20 to 25 years for the US and Japan, and 15 to 20 years for the euro area and UK.publishedVersio
Executive Labor Market Frictions, Corporate Bankruptcy and CEO Careers
No full textCEOs of large firms filing for bankruptcy are more likely to exit the executive labor market after bankruptcy and experience substantial compensation losses (Eckbo et al., 2016). While the fear of reputational scarring can lead to lower risk-taking and manifest itself as lower rates of entrepreneurship and job growth, the mechanisms through which bankruptcy affects CEO careers are not well understood. In this paper, we examine the effect of "random bankruptcy" decisions on small and medium-sized business CEOs’ careers. By random, we mean job separation for reasons unrelated to a firm or CEO quality but rather through a court’s bankruptcy decision. We control for the unobserved ability of bankrupt and non-bankrupt CEOs by using randomly assigned judges’ propensity to liquidate firms as an instrument. We then combine our sample of CEOs with administrative records containing granular information on income, wealth, new employers and job titles. Our results show that bankrupt CEOs find new employment quickly, but that a large share exits the executive labor force. On average, bankruptcy reduces CEOs’ variable income components. While the net present value of CEOs’ loss of future capital income equals more than 60 percent of annual pre-bankruptcy income, we observe no effect on wage income. We find that displaced CEOs are more likely to reallocate to new industries and new geographic areas, suggesting that managerial skills are portable. We explore how the income and employment effects of bankruptcy vary with industry conditions. Consistent with the executive labor market using bankruptcy as a noisy signal of managerial ability, we find the displacement effect is stronger when industry conditions are good. Our evidence is consistent with the presence of information frictions that could entail important social costs.publishedVersio
Digital currencies and real-time payments – the road ahead
Get PDFSpeech by Deputy Governor Ida Wolden Bache at Finance Norway's Payments Conference, 4 November 2021publishedVersio
Klimarisiko og bankers utlån til foretak
Get PDFBasert på informasjon om utslipp og eksponering mot fysisk risiko fra enkelt tilgjengelige, offentlige norske kilder, kartlegger vi hvor stor andel av foretakslånene i norske banker som er eksponert mot overgangsrisiko – konsekvenser av overgangen til lavere utslipp – og fysisk risiko – konsekvensene av økte globale temperaturer. Vi ser på bankenes relative eksponering ved en økning i utslippsprisen fra dagens nivå til 2000 kroner. Vi ser på bruk av energimerking av næringseiendom og viser hvordan bankenes pant i eiendom kan bli påvirket av endringer i flo og flom. Kartleggingen er et første steg i å få et mer detaljert bilde av hvordan klimaendringene kan påvirke risiko i norske banker i årene fremover. Store spørsmål gjenstår for videre analyse, både knyttet til effekter av selve omstillingen til lavere utslipp og for å få bedre oversikt over de økonomiske konsekvenene av fysiske klimaendringer.publishedVersio
Hvordan virker ulike kapitalkrav på bankene i dårlige tider?
Get PDFBruk av kapitalbuffere kan dempe faren for at bankene forsterker tilbakeslag. Men andre krav kan hindre bankene fra å bruke bufferne motsyklisk, særlig om konsekvensene av å bryte andre krav er mer alvorlige enn konsekvensene av å bryte bufferkrav. I dette memoet analyserer vi hvordan kapitalbufferne virker i dårlige tider når bankene også skal oppfylle krav til uvektet kjernekapitalandel (LR) og krav til ansvarlig kapital og konvertibel gjeld (MREL). Resultatene viser at den delen av MREL som de største norske bankene vil kunne bruke mest ren kjernekapital til å oppfylle, er det risikovektede etterstillelseskravet beregnet med tilsynsformelen («Prudential formula»). Ifølge beregningene må bankene bruke en betydelig del av bufferkapitalen til å oppfylle dette kravet, i alle fall om bankene utsteder lite etterstilt gjeld. Det innebærer at flere banker bare kan bryte deler av bufferkravene uten å bryte MREL. Analysene viser også at denne overlappen mellom bufferkrav og tilsynsformelen kan bli større i dårlige tider. Om kravet til motsyklisk buffer og andre bufferkrav settes ned, vil det risikovektede etterstillelseskravet til MREL reduseres tilsvarende, slik at bufferne kan virke etter hensikten. Dersom bankene utsteder rikelig etterstilt gjeld, kan de også falle ned i en større del av bufferkapitalen uten å bryte MREL.publishedVersio
The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis
Get PDFWe test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy.publishedVersio
Norway's financial system 2021 : An Overview
No full textNorway’s financial system provides a general overview of the financial system in Norway, its tasks and how these tasks are carried out. This report is meant as a reference guide and textbook and is intended for a broad audience. The focus is on presenting the financial system in a simplified manner. Financial system professionals will also be able to find useful information. Hyperlinks to other, more detailed Norges Bank publications and to other institutions have been inserted in the text, enabling the reader to delve more deeply into topics of interest. The introduction provides an overall overview of all the components of the financial system. Section 1 describes the various markets: the money, bond, foreign exchange and equity markets, and the financial derivatives markets. Section 2 discusses the most important financial institutions: banks, mortgage companies, insurance companies, pension schemes and various funds, etc. Section 3 describes the financial system infrastructure, which includes the payment system and systems for the payment and transfer of securities, foreign currency and derivatives.publishedVersio
Finansiell stabilitet 2021 : sårbarhet og risiko
No full textDen årlige rapporten Finansiell stabilitet kommuniserer Norges Banks vurderinger av utsiktene for finansiell stabilitet. Rapporten drøfter sykliske og strukturelle utviklingstrekk i banker og andre finansforetak, finansmarkedene og norsk økonomi som har betydning for sårbarhet og risiko i det finansielle systemet. Rapporten peker også på tiltak som kan bidra til finansiell stabilitet. I Pengepolitisk rapport med vurdering av finansiell stabilitet gis en vurdering av den løpende utviklingen i sykliske sårbarheter og bankene, som ledd i Norges Banks beslutning om nivået på motsyklisk kaptialbuffer. I rapporten Finansiell infrastruktur vurderer Norges Bank sårbarhet og risiko i den finansielle infrastrukturen. Rapporten Det norske finansielle systemet gir en samlet oversikt over det finansielle systemet i Norge, dets oppgaver og hvordan disse oppgavene blir utført. Norges Banks komité for pengepolitikk og finansiell stabilitet drøftet innholdet i rapporten Finansiell stabilitet 2021 på møtene 30. september, 26. oktober og 3. november 2021.publishedVersio