Blar i Norges Banks vitenarkiv på forfatter "Gerdrup, Karsten R."
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A Macroprudential Stress Testing Framework
Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug Melle; Krogh, Tord (Staff Memo;1/2019, Working paper, 2019)We 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 ... -
Bankenes motpartsrisiko - resultater fra en kartlegging gjennomført av Norges Bank og Kredittilsynet
Gerdrup, Karsten R.; Bakke, Bjørn (Journal article, 2002)Norges Bank og Kredittilsynet har kartlagt en del norske bankers usikrede eksponeringer mot deres største motparter for å vurdere risikoen for en systemkrise hvis en viktig motpart ikke innfrir sine forpliktelser. Funnene ... -
Banks’ Counterparty Risk – Results of a Survey Conducted by Norges Bank and the Banking Insurance and Securities Commission
Gerdrup, Karsten R.; Bakke, Bjørn (Journal article, 2003)Norges Bank has overall responsibility for promoting financial stability and works systematically to identify conditions that could trigger a systemic crisis. As part of this work, Norges Bank, in collaboration with the ... -
Bubbles and Crises: The Role of House Prices and Credit
Anundsen, André K.; Hansen, Frank; Gerdrup, Karsten R.; Kragh-Sørensen, Kasper (Working Papers;14/2014, Working paper, 2014)This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set ... -
Den nøytrale realrenten
Bernhardsen, Tom; Gerdrup, Karsten R. (Journal article, 2006)Begrepet «nøytral realrente» assosieres gjerne med det nivået på realrenten som innebærer at pengepolitikken verken er ekspansiv eller kontraktiv. I artikkelen ser forfatterne nærmere på hvordan den nøytrale realrenten i ... -
Documentation of NEMO - Norges Bank’s Core Model for Monetary Policy Analysis and Forecasting
Gerdrup, Karsten R.; Kravik, Erling Motzfeldt; Paulsen, Kenneth Sæterhagen; Robstad, Ørjan (Staff Memo;8/2017, Working paper, 2017)This paper explains the basic mechanisms of Norges Bank’s core model for monetary policy analysis and forecasting (NEMO). NEMO has recently been extended with an oil sector to incorporate important channels of shocks to ... -
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
Bjørnland, Hilde C.; Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;1/2009, Working paper, 2009)We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are ... -
Et rammeverk for makrotilsynsstresstester
Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug Melle; Krogh, Tord (Staff Memo;1/2019, Working paper, 2019)Vi presenterer et rammeverk for makrotilsynsstresstester. Mens tradisjonelle stresstester vurderer nivået på bankenes kapitaldekning opp mot regulatoriske krav gjennom en tenkt krise, handler makrotilsynsstresstester om å ... -
Evaluating Ensemble Density Combination - Forecasting GDP and Inflation
Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; Thorsrud, Leif Anders (Working Papers;19/2009, Working paper, 2009)Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight ... -
Financial imbalances and medium-term growth-at-risk in Norway
Arbatli-Saxegaard, Elif C.; Gerdrup, Karsten R.; Johansen, Rønnaug M. (Staff Memo;5/2020, Working paper, 2020)We examine how measures of financial imbalances affect macroeconomic tail risks over the medium-term in Norway and in other advanced economies. We use a broad set of financial indicators to capture cyclical systemic risk ... -
Financial Variables and Developments in the Real Economy
Gerdrup, Karsten R.; Hammersland, Roger; Naug, Bjørn E. (Journal article, 2006)This article examines whether financial variables are useful as leading indicators of the output gap and mainland GDP growth. Financial variables may be leading indicators either because they (a) are priced on the basis ... -
Finansielle størrelser og utviklingen i realøkonomien
Gerdrup, Karsten R.; Hammersland, Roger; Naug, Bjørn E. (Journal article, 2006)Artikkelen vurderer om finansielle variable er egnet som ledende indikatorer for produksjonsgapet og BNPveksten for Fastlands-Norge. Forfatterne finner at boligpriser, aksjekurser, kredittvekst, pengemengdevekst, korte ... -
A high-frequency financial conditions index for Norway
Bowe, Frida; Gerdrup, Karsten R.; Nicolò, Maffei-Faccioli; Olsen, Helene (Staff Memo;1/2023, Working paper, 2023)We 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 ... -
Historical Monetary Statistics for Norway 1819–2003
Eitrheim, Øyvind; Erlandsen, Solveig K.; Gerdrup, Karsten R.; Grytten, Ola Honningdal; Holter, Jon Petter; Klovland, Jan Tore; Qvigstad, Jan F. (Occasional Papers;35, Book, 2004) -
Key Indicators for a Countercyclical Capital Buffer in Norway - Trends and Uncertainty
Gerdrup, Karsten R.; Kvinlog, Aslak Bakke; Schaanning, Eric (Staff Memo;13/2013, Working paper, 2013)The credit-to-GDP gap has a prominent role in the Basel Committee's frame- work for a countercyclical capital buffer under Basel III. The Committee uses a one-sided Hodrick-Prescott filter to calculate the trend of ... -
Leaning Against the Wind When Credit Bites Back
Gerdrup, Karsten R.; Hansen, Frank; Krogh, Tord; Maih, Junior (Working Papers;9/2016, Working paper, 2016)This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis ... -
Norges Bank's Role in the Event of Liquidity Crises in the Financial Sector
Gerdrup, Karsten R. (Journal article, 2005)Central banks have traditionally had a role as lender of last resort (LLR). This means that the central bank can supply extraordinary liquidity to an individual bank or the banking system when demand for liquidity cannot ... -
Nowcasting GDP in Real-Time: A Density Combination Approach
Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (Working Papers;11/2011, Working paper, 2011)In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a ... -
On the Purpose of Models - the Norges Bank Experience
Gerdrup, Karsten R.; Nicolaisen, Jon (Staff Memo;6/2011, Working paper, 2011)Macroeconomic models are important ingredients in the monetary policy process, and, in the Norwegian case, projecting a forward interest rate path. In this paper we argue that when deciding on a model strategy, it is crucial ... -
Review of Flexible Inflation Targeting (ReFIT) - sluttrapport
Alstadheim, Ragna; Bergholt, Drago; Brubakk, Leif; Gerdrup, Karsten R.; Hagelund, Kåre; Hansen, Frank; Husabø, Eilert; Krogh, Tord; Langbraaten, Nina; Midthjell, Nina Larsson; Olsen, Øystein; Røisland, Øistein (Norges Banks Skriftserie;51, Book, 2017)