• A Composite Indicator of Systemic Stress (CISS) for Norway – a Reference Indicator for the Reduction of the Countercyclical Capital Buffer 

      Wen, Yudi (Staff Memo;4/2015, Working paper, 2015)
      This paper constructs a Composite Indicator of Systemic Stress (CISS) for Norway using a portfolio-theoretic framework as in Holló, Kremer and Lo Duca (2012) to facilitate real-time monitoring of the short-term development ...
    • A Heatmap for Monitoring Systemic Risk in Norway 

      Arbatli, Elif Ceren; Johansen, Rønnaug Melle (Staff Memo;10/2017, Working paper, 2017)
      We develop a tool to monitor systemic risk in Norway’s financial system. In particular, we construct 39 indicators capturing a wide range of financial vulnerabilities and organise them under three broad classes of ...
    • 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 ...
    • Anslag på bankenes tap på utlån til ikke-finansielle foretak 

      Hjelseth, Ida Nervik; Saxegaard, Elif Arbatli; Solheim, Haakon; Vatne, Bjørn H. (Staff Memo;10/2020, Working paper, 2020)
      Lån til ikke-finansielle foretak er den største kilden til tap i bankene. Analyser av bankenes utlånstap til foretak er derfor viktig i vurderingen av finansiell stabilitet. I dette memoet presenterer vi Norges Banks ...
    • Bank Lending to the Commercial Real Estate Sector - a Source of Systemic Risk? 

      Hagen, Marius; Hjelseth, Ida Nervik; Solheim, Haakon; Vatne, Bjørn Helge (Staff Memo;11/2018, Working paper, 2018)
      Banks' commercial real estate loans account for almost half of banks' total loans to non-financial enterprises. Losses on these loans are normally low in good times, but they have proved to be one of the largest sources ...
    • 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 ...
    • Boligmarkedet i pandemiåret 2020 

      Lindquist, Kjersti-Gro; Mæhlum, Sverre; Vatne, Bjørn Helge; Wold, Ella Getz (Staff Memo;6/2021, Working paper, 2021)
      Til tross for pandemien var boligprisveksten høy gjennom store deler av 2020. Lavere utlånsrenter, endringer i boligpreferanser og begrenset tilbud av nye boliger har bidratt til økt prispress, især i Oslo. Våre analyser ...
    • Bond market fire sales and turbulence in the Norwegian FX market in March 2020 

      Alstadheim, Ragna; Nordal, Kjell Bjørn; Syrstad, Olav; ter Ellen, Saskia; Wassas, May-Iren Walstad (Staff Memo;2/2021, Working paper, 2021)
      The world witnessed a meltdown in financial markets in March 2020 as the Covid-19 pandemic hit the global economy. In this memo we document how the turbulence affected Norwegian financial markets. We describe possible ...
    • The cost efficiency improvement of Norwegian banks can be explained by automation and digitalisation 

      Andersen, Henrik (Staff Memo;9/2020, Working paper, 2020)
      Operating costs in the Norwegian banking sector have been reduced considerably in recent decades, both as a share of income and assets. This has increased banks’ resilience to increased losses and reduced the risk of crises. ...
    • 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 ...
    • The demand for safe liquid assets and the implications of issuing a Central Bank Digital Currency for bank funding instruments 

      Müller, Carola (Staff Memo;8/2020, Working paper, 2020)
      The pros and cons of issuing a Central Bank Digital Currency (CBDC) is currently debated by Norges Bank and other central banks. A CBDC would grant access to the central bank balance sheet to a broader set of economic ...
    • Distributional effects of monetary policy in Norway 

      Mimir, Yasin; Mæhlum, Mathis; Torstensen, Kjersti Næss (Staff Memo;4/2021, Working paper, 2021)
      We quantify the short-term effects of both non-systematic and systematic monetary policy on the income and wealth distribution in Norway, and measure the relative importance of the various channels. An expansionary monetary ...
    • 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 ...
    • 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 ...
    • En forbedret sammensatt systemisk stressindikator (CISS) for Norge 

      Hagen, Marius; Pettersen, Per Marius (Staff Memo;3/2019, Working paper, 2019)
      Norges Banks råd om motsyklisk kapitalbuffer baseres på et bredt sett av kvalitativ og kvantitativ informasjon. Det europeiske systemrisikorådet trekker frem at utviklingen i en generell indikator for systemisk stress i ...
    • Estimates of banks' losses on loans to the corporate sector 

      Hjelseth, Ida Nervik; Saxegaard, Elif Arbatli; Solheim, Haakon; Vatne, Bjørn H. (Staff Memo;10/2020, Working paper, 2020)
      Loans to non-financial enterprises are the main source of banks’ losses. Analyses of banks’ losses on corporate loans are therefore important in the assessment of financial stability. This paper presents Norges Bank’s framework ...
    • 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 ...
    • 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 ...
    • Government support schemes during the Covid-19 pandemic have had a dampening effect on corporate credit risk 

      Hjelseth, Ida Nervik; Solheim, Haakon; Vatne, Bjørn H. (Staff Memo;3/2021, Working paper, 2021)
      After the Covid-19 pandemic broke out, the authorities have introduced a number of measures aimed at the business sector. Support has largely been given to the sectors hardest hit by the pandemic and measures to contain ...
    • 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 ...