Norges Banks vitenarkiv: Recent submissions
Now showing items 1-20 of 2279
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Hvordan vurdere systemrisikobufferen for bankene?
(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
(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 ... -
Hvordan påvirker IFRS 9 bankenes tapsføring i dårlige tider?
(Staff Memo;9/2019, Working paper, 2019)IFRS 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 ... -
How does IFRS 9 affect banks’ impairment recognition in bad times?
(Staff Memo;9/2019, Working paper, 2019)IFRS 9 has changed the way banks recognise credit losses. Under IFRS 9, credit impairment shall be based on more forward-looking assessments by including recognition of expected credit losses. The purpose of this memo is ... -
Likviditetsindikatorer for det norske statsobligasjonsmarkedet
(Staff Memo;8/2019, Working paper, 2019)Statsgjeldsforvaltningen i Norges Bank har som mål å dekke statens lånebehov til lavest mulig kostnader. Samtidig skal forvaltningen søke å opprettholde en rentekurve opp til 10 år. Likviditeten i markedet har betydning ... -
Hvor mye ren kjernekapital må bankene sette av ved utlån til næringseiendom?
(Staff Memo;10/2019, Working paper, 2019)Finansdepartementet har foreslått et midlertidig minstekrav for hvor mye ren kjernekapital de største bankene må sette av bak norske næringseiendomslån. Næringseiendom er den næringen som har påført bankene størst tap i ... -
How much CET1 capital must banks set aside for commercial real estate exposures?
(Staff Memo;10/2019, Working paper, 2019)The Ministry of Finance has proposed a temporary capital requirement (risk weight floor) for commercial real estate (CRE) exposures in Norway, applicable to the largest banks. CRE is the sector where banks have historically ... -
Liquidity indicators for the Norwegian government bond market
(Staff Memo;8/2019, Working paper, 2019)An objective of Norges Bank Government Debt Management is to meet the government’s borrowing requirement at the lowest possible cost. At the same time, Government Debt Management shall seek to maintain a yield curve out ... -
What drives office rents?
(Staff Memo;12/2019, Working paper, 2019)Banks 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 ... -
The decline of the labor share: new empirical evidence
(Working Paper;18/2019, Working paper, 2019)We estimate a structural vector autoregressive model in order to quantify four main explanations for the decline of the US labor income share: (i) rising market power of firms, (ii) falling market power of workers, (iii) ... -
The Saving and Employment Effects of Higher Job Loss Risk
(Working Paper;17/2019, Working paper, 2019)In this paper we use Norwegian tax data and a novel natural experiment to isolate the impact of job loss risk on saving behavior. We find that a one percentage point increase in job loss risk increases liquid savings by ... -
State dependence of monetary policy across business, credit and interest rate cycles
(Working Paper;21/2019, Working paper, 2019)We investigate how the business, credit and interest rate cycles affect the monetary transmission mechanism, using state-dependent local projection methods and data from 18 advanced economies. We exploit the time-series ... -
Does Publication of Interest Rate Paths Provide Guidance?
(Working Paper;16/2019, Working paper, 2019)Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we ... -
Narrative monetary policy surprises and the media
(Working Paper;19/2019, Working paper, 2019)We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage that can be explained by central ... -
The macroeconomic effects of forward communication
(Working Paper;20/2019, Working paper, 2019)This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the “forward guidance puzzle”. Our identification strategy allows us to disentangle ... -
Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model
(Working Paper;22/2019, Working paper, 2019)We 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 ... -
The shale oil boom and the U.S. economy: Spillovers and time-varying effects
(Working Paper;14/2019, Working paper, 2019)We analyze if the transmission of oil price shocks on the U.S. economy has changed with the shale oil boom. To do so, we put forward a framework that allows for spillovers between industries and learning by doing (LBD) ... -
Oil price drivers, geopolitical uncertainty and oil exporters’ currencies
(Working Paper;15/2019, Working paper, 2019)Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether ... -
Partially Censored Posterior for robust and efficient risk evaluation
(Working Paper;12/2019, Working paper, 2019)A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ... -
Liquidity at risk: Joint stress testing of solvency and liquidity
(Working Paper;11/2019, Working paper, 2019)The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may ...