Recent Submissions

  • Countercyclical capital requirement reductions, state dependence and macroeconomic outcomes 

    Juelsrud, Ragnar E.; Arbatli-Saxegaard, Elif C. (Working Paper;9/2020, Working paper, 2020)
    We use bank-, loan- and firm-level data together with a quasi-natural experiment to estimate the impact of capital requirement reductions on bank lending and real economic outcomes. We find that capital requirement reductions ...
  • The countercyclical capital buffer: A cross-country overview of policy frameworks 

    Arbatli-Saxegaard, Elif C.; Muneer, Mohammad Adnan (Staff Memo;6/2020, Working paper, 2020)
    The countercyclical capital buffer (CCyB) is a relatively new macroprudential tool, but the number of countries that have set a positive buffer level increased significantly over recent years. Furthermore, during the ...
  • Banks’ wholesale funding share as an indicator of financial vulnerability 

    Alstadheim, Ragna (Staff Memo;7/2020, Working paper, 2020)
    A review of theoretical links between the wholesale (or market) funding share of banks (WFS) and financial vulnerability is provided. The vulnerability may both be within the financial system, and in the non-financial ...
  • The interaction between macroprudential and monetary policies: The cases of Norway and Sweden 

    Cao, Jin; Dinger, Valeriya; Grodecka-Messi, Anna; Juelsrud, Ragnar; Zhang, Xin (Working Paper;8/2020, Working paper, 2020)
    To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and ...
  • Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity 

    Furlanetto, Francesco; Hagelund, Kåre; Hansen, Frank; Robstad, Ørjan (Working Paper;7/2020, Working paper, 2020)
    This paper documents the suite of models used by Norges Bank to estimate the output gap. The models are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the ...
  • Mortgage regulation and financial vulnerability at the household level 

    Aastveit, Knut Are; Juelsrud, Ragnar Enger; Wold, Ella Getz (Working Paper;6/2020, Working paper, 2020)
    We evaluate the impact of mortgage regulation on credit volumes, household balance sheets and the reaction to adverse economic shocks. Using a comprehensive dataset of all housing transactions in Norway matched with buyers' ...
  • Expectations switching in a DSGE model of the UK 

    Borge, Anette; Bårdsen, Gunnar; Maih, Junior (Working Paper;4/2020, Working paper, 2020)
    Rational expectations (RE) has been dominant both in the economic literature and in the macromodels routinely used in central banks. The RE assumption has recently come under attack as one of the drawbacks of the Dynamic ...
  • Inflation expectations and the pass-through of oil prices 

    Aastveit, Knut Are; Bjørnland, Hilde C.; Cross, Jamie L. (Working Paper;5/2020, Working paper, 2020)
    Do inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global market for crude oil? We answer this question with a novel structural vector ...
  • 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 ...
  • Bonds, currencies and expectational errors 

    Granziera, Eleonora; Sihvonen, Markus (Working Paper;3/2020, Working paper, 2020)
    We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel ...
  • A macroprudential contagion stress test framework 

    Bjørland, Christian; Kockerols, Thore (Staff Memo;4/2020, Working paper, 2020)
    We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings ...
  • Norway’s road to inflation targeting : Overcoming the fear of floating – counterfactual analyses of four episodes 

    Eitrheim, Øyvind; Qvigstad, Jan Fredrik; Kravik, Erling Motzfeldt; Mimir, Yasin (Occasional Papers;56/2020, Book, 2020)
    Norway suffered from a deep recession with a systemic banking crisis in the early 1990s. The prevailing fixed exchange rate system at that time had procyclical properties. The fall of the Berlin Wall in 1989, the German ...
  • The rationale for central bank liquidity insurance and liquidity regulation 

    Søvik, Ylva (Staff Memo;3/2020, Working paper, 2020)
    One of the core functions of a central bank is to provide liquidity insurance, often termed the lender of last resort (LLR) function. During and after the Great Financial Crisis (GFC) in 2007-09 central banks’ role as ...
  • Effekter av IRB-metoden på bankenes utlån til norske foretak 

    Andersen, Henrik; Juelsrud, Ragnar Enger; Kostøl, Andreas (Staff Memo;1/2020, Working paper, 2020)
    I dette memoet analyserer vi hvordan innføringen av IRB-metoden kan ha påvirket bankenes utlån til foretak, utlånsmarginer og porteføljekvalitet i Norge. Våre resultater viser at IRB-bankene reduserte utlånsmarginene ...
  • Handling structural break points in NEMO 

    Kravik, Erling Motzfeldt; Paulsen, Kenneth Sæterhagen (Staff Memo;2/2020, Working paper, 2020)
    This paper documents a new feature in Norges Bank’s policy model NEMO, namely the ability to handle structural break points, i.e. shifts in one or more parameter values at a specific point in time. This property is introduced ...
  • Effects of the IRB approach on bank lending to Norwegian enterprises 

    Andersen, Henrik; Juelsrud, Ragnar Enger; Kostøl, Andreas (Staff Memo;1/2020, Working paper, 2020)
    This paper analyses how the introduction of the IRB approach may have affected banks' lending to enterprises, lending margins and portfolio quality in Norway. Our results show that the IRB banks' lending margins decreased ...
  • How broadband internet affects labor market matching 

    Bhuller, Manudeep; Kostøl, Andreas R.; Vigtel, Trond C. (Working Paper;1/2020, Working paper, 2020)
    How the internet affects job matching is not well understood due to a lack of data on job vacancies and quasi-experimental variation in internet use. This paper helps fill this gap using plausibly exogenous roll-out of ...
  • Location, location, location! - A quality-adjusted rent index for the Oslo office market 

    Anundsen, André K.; Hagen, Marius (Working Paper;2/2020, Working paper, 2020)
    In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases ...
  • Hvordan vurdere systemrisikobufferen for bankene? 

    Mæhlum, Sverre; Riiser, Magdalena D. (Staff Memo;11/2019, Working paper, 2019)
    Siden 2013 har det vært krav om at norske banker skal holde en systemrisikobuffer på tre prosent. Kravet begrunnes med strukturelle sårbarheter i økonomien og finanssystemet. Finansdepartementet har foreslått å øke ...
  • How to assess the systemic risk buffer for banks 

    Mæhlum, Sverre; Riiser, Magdalena D. (Staff Memo;11/2019, Working paper, 2019)
    Since 2013, Norwegian banks have been required to hold a systemic risk buffer (SyRB) of 3 percent. The reason for the buffer is to address structural vulnerabilities in the economy and the financial system. The Ministry ...

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