Norges Banks vitenarkiv
Not a member yet
2942 research outputs found
Sort by
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Get PDFA flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction step is introduced using a sequential clustering mechanism that allocates the large set of forecast densities into a small number of subsets and the combination weights of the large set of densities are modelled as a dynamic factor model with a number of factors equal to the number of subsets. The forecast density combination is represented as a large finite mixture in nonlinear state space form. An efficient simulation-based Bayesian inferential procedure is proposed using parallel sequential clustering and filtering, implemented on graphics processing units. The approach is applied to track the Standard & Poor 500 index combining more than 7000 forecast densities based on 1856 US individual stocks that are are clustered in a relatively small subset. Substantial forecast and economic gains are obtained, in particular, in the tails using Value-at-Risk. Using a large macroeconomic data set of 142 series, similar forecast gains, including probabilities of recession, are obtained from multivariate forecast density combinations of US real GDP, Inflation, Treasury Bill yield and Employment. Evidence obtained on the dynamic patterns in the financial as well as macroeconomic clusters provide valuable signals useful for improved modelling and more effective economic and financial policies.publishedVersio
Changing Supply Elasticities and Regional Housing Booms
Get PDFRecent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show hat housing supply elasticities have fallen markedly in recent years. Housing supply elasticities have declined more in areas where land-use regulation has tightened the most, and in areas that experienced the sharpest housing busts. A lowering of the housing supply elasticity implies a strengthened price responsiveness to demand shocks, whereas quantity reacts less. Consistent with this, we find that an expansionary monetary policy shock has a considerably stronger effect on house prices during the recent recovery than during the previous housing boom. At the same time, building permits respond less.publishedVersio
Forvaltningen av Statens pensjonsfond utland
Get PDFDirektør Yngve Slyngstad. Innledning til høring om forvaltningen av Statens pensjonsfond utland i Stortingets finanskomité.publishedVersio
A Macroprudential Stress Testing Framework
Get PDFWe present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks’ capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress testing assesses macroeconomic consequences of the impact of banks’ adjustments to capital requirements. The outcome of such testing depends on the capital requirements and on banks’ capital targets. The primary focus is not on whether or not banks “pass” the test, but on how macroprudential policy tools can prevent a deterioration of macroeconomic developments. Such analyses will be included in Norges Bank’s decision basis for the countercyclical capital buffer. This framework was used to conduct the stress test in Financial Stability Report 2018.publishedVersio
Gjennomføringen av pengepolitikken
Get PDFSentralbanksjef Øystein Olsen. Innledning til høring i stortingets finanskomite 9. mai 2019.publishedVersio
Kunderetta betalingsformidling 2018
Get PDFBruken av betalingskort held fram med å auke. I 2018 vart det gjort til saman 2,5 milliardar transaksjonar med norske betalingskort. Kvar av oss brukte betalingskortet i gjennomsnitt 475 gonger i 2018. Den gjennomsnittlege verdien av korttransaksjonane var 382 kroner. Kortbetalingar over internett (netthandel) auka på nytt mykje, og utgjer no 12 prosent av alle betalingar med norske kort. Veksten i mobilbetalingar var òg svært høg. Talet auka frå 91 millionar i 2017 til 141 millionar i 2018. Ein større del av mobilbetalingane vert no belasta bankkonto direkte, og dei fleste av desse går gjennom infrastrukturen for Straksbetalingar. I 2017 vart det utført om lag éin million Straksbetalingar, medan talet i 2018 hadde auka til 58 millionar. Det var ein ytterlegare nedgang i bruken av kontantinfrastrukturen. Talet på uttak frå minibankar og som cash-back i butikkar minka med høvesvis 13 og 18 prosent frå 2017 til 2018. Nedgangen i uttak av kontantar frå minibankar og i butikkar er ikkje av ny dato, men har vore særskilt høg dei seinaste åra. Utvalsundersøkingar frå Noregs Bank syner at kontantar vert nytta i om lag kvar tiande betaling som privatpersonar gjer på utsalsstader og til andre privatpersonarpublishedVersio
Management of the Government Pension Fund Global
Get PDFIntroductory statement by CEO Yngve Slyngstad before the Standing Committee on Finance and Economic Affairs of the Storting.publishedVersio
The conduct of monetary policy
Get PDFIntroductory statement by Governor Øystein Olsen at the hearing before the Standing Committee on Finance and Economic Affairs of the Storting (Norwegian parliament), 9 May 2019.publishedVersio
Review of macro modelling for policy purposes at Norges Bank
Get PDFThe evaluation team was given a mandate to assess whether the current set of models employed for monetary policy analysis and forecasting purposes (i) constitute best practice in the policy arena and in relation to recent academic developments; (ii) are appropriate to answer relevant policy questions for an inflation-targeting central bank in a small open economy; (iii) and can be further developed in the years to come and in what way.
Our general conclusions are that i) Norges Bank is at the high end of the spectrum of best-practice central banks; ii) that the modelling strategy used to support the policy process is adequate and iii) that Norges Bank is conscious of recent developments at the frontier of macroeconomic modelling and is actively working in some of these areas. Nevertheless, we indicate a number of changes to the structure of the core model (NEMO) and, more generally, to the set of models used to support the policy decision process. We also present some strategic considerations on model developments for the years to come.publishedVersio
Klimaendringer, klimarisiko og Norges Bank
Get PDFTale ved visesentralbanksjef Egil Matsen på et seminar i regi av Norges Bank.publishedVersio