Norges Banks vitenarkiv
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Hvordan påvirker IFRS 9 bankenes tapsføring i dårlige tider?
Get PDFIFRS 9 har endret tapsføringen i bankene. Under IFRS 9 skal nedskrivingene på utlån bygge på mer fremoverskuende vurderinger, slik at nedskrivinger reflekterer forventede tap. Formålet med dette memoet er å analysere hvordan IFRS 9 påvirker forløpet for norske bankers utlånstap i dårlige tider. Vi analyserer effektene av dette ved å beregne og sammenlikne forløpet for bankenes utlånstap under IAS 39 og IFRS 9 i perioden 2001–2017. Våre resultater tyder på at IFRS 9 kan øke utlånstapene både rett før og under økonomiske tilbakeslag med økt kredittrisiko.publishedVersio
What drives office rents?
Get PDFBanks have substantial exposures to commercial real estate (CRE). Rental prices are important for CRE companies’ debt-service capacity, which in turn affects the risk of future bank losses. In this paper, we estimate error correction models (ECMs) to determine the main drivers of office rents in Oslo and to detect deviations in rents from their estimated long-run equilibrium. We find that employment and stock of offices are important explanatory variables. Moreover, our results show that rents have followed their estimated equilibrium closely and have re-adjusted quickly in periods of deviation.publishedVersio
Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model
Get PDFWe estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is estimated using Bayesian techniques on US data between 1985 and 2016. The framework allows us to explain the time-varying interest rate spreads and pass-through observed in the data. We find that pass-through tends to be delayed in the short run, and incomplete in the long run. All this impacts the dynamics of the other macroeconomic variables in the model. In particular, we find monetary policy to be less effective under incomplete pass-through. Furthermore, the behavior of pass-through in the loan rate is different from that of the deposit rate shocks. This creates asymmetric dynamics at the zero lower bound, and incomplete pass-through exacerbates that asymmetry.publishedVersio
News-Driven Inflation Expectations and Information Rigidities
Get PDFWe investigate the role played by the media in the expectations formation process of households. Using a novel news-topic-based approach we show that news types the media choose to report on, e.g., fiscal policy, health, and politics, are good predictors of households' stated inflation expectations. In turn, in a noisy information model setting, augmented with a simple media channel, we document that the underlying time series properties of relevant news topics explain the time-varying information rigidity among households. As such, we not only provide a novel estimate showing the degree to which information rigidities among households varies across time, but also provide, using a large news corpus and machine learning algorithms, robust and new evidence highlighting the role of the media for understanding inflation expectations and information rigidities.publishedVersio
Norges Bank : årsrapport og regnskap 2018
No full textFra 2016 er årsberetningen for sentralbankvirksomheten skilt ut som en egen rapport. Den var tidligere å finne som del tre i årsberetningen.publishedVersio
How Much of a Tailwind Have We Had from the Weaker Krone?
Get PDFIt is usual to assume that a weaker currency will stimulate exports and improve the balance of trade. Despite the krone’s depreciation in recent years, however, exports have grown little and the non-oil trade deficit has widened. This raises questions about what effects the weaker krone has actually had. We find that exports would probably have been much lower without the depreciation of the krone. Our conclusion, therefore, is that there has been a significant tailwind
Det norske finansielle systemet 2019
No full textPublikasjonen gir en samlet oversikt over det finansielle systemet i Norge, hvilke oppgaver det utfører og hvordan disse oppgavene blir utført. Den er ment som et oppslagsverk og en lærebok og retter seg mot et bredt publikum. Det er lagt vekt på en enkel fremstilling. Profesjonelle deltakere i det finansielle systemet kan også finne nyttig informasjon. Det er lagt inn lenker til andre mer utfyllende Norges Bank-publikasjoner og til andre institusjoner slik at leserne kan fordype seg videre i de temaene som er av interesse. Faguttrykk er forklart i egen ordliste (vedlegg 4). Innledningen gir overordnet oversikt over hele det finansielle systemet og endringer den siste tiden. Kapittel 1 beskriver de ulike markedene: penge-, obligasjons-, valuta-, og aksjemarkedet og markedene for finansielle derivater. Kapittel 2 omtaler de viktigste finansforetakene: banker, kredittforetak, forsikring- og pensjonsordninger, ulike fond m.m. Kapittel 3 beskriver infrastrukturen i det finansielle systemet. Infrastrukturen omfatter betalingssystemet og systemene der betaling og overføring av verdipapirer, valuta og derivater i finansmarkedene skjer
The monetary policy toolkit
Get PDFSpeech by Governor Øystein Olsen at the Centre for Monetary Economics (CME) / BI Norwegian Business School on 8 October 2019publishedVersio
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Get PDFWe present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS evaluates– sequentially and adaptively over time– varying forecast biases and facets of miscalibration of individual forecast densities for multiple time series, and– critically– their time-varying interdependencies. We define BPS methodology for a new class of dynamic multivariate latent factor models implied by BPS theory. Structured dynamic latent factor BPS is here motivated by the application context– sequential forecasting of multiple US macroeconomic time series with forecasts generated from several traditional econometric time series models. The case study highlights the potential of BPS to improve of forecasts of multiple series at multiple forecast horizons, and its use in learning dynamic relationships among forecasting models or agents.publishedVersio
Nibor, Libor and Euribor – all IBORs, but different
Get PDFThis memo takes a closer look at what lays behind different benchmark interest rates. Particular emphasis is put on how the different practices for quotation can explain why Nibor’s risk premium has on average been higher than the premiums in USD Libor and Euribor.publishedVersio