executive board meeting 24 september 2008
DESCRIPTION
Executive Board meeting 24 September 2008. 1. Financial incidents. Bear Stearns, 17 March Roskilde Bank, 24 August Fannie Mae and Freddie Mac, 7 September Merrill Lynch, 14 September Lehman Brothers, 14 September AIG, 17 September HBOS , 17 September. CDS prices for selected banks - PowerPoint PPT PresentationTRANSCRIPT
Norges Bank
1
Executive Board meeting24 September 2008
Norges Bank
Financial incidents
• Bear Stearns, 17 March
• Roskilde Bank, 24 August
• Fannie Mae and Freddie Mac, 7 September
• Merrill Lynch, 14 September
• Lehman Brothers, 14 September
• AIG, 17 September
• HBOS, 17 September
Norges Bank
Source: Bloomberg
0
100
200
300
400
Jul-07 Oct-07 Jan-08 Apr-08 Jul-08
JPMorgan Chase Citigroup
CDS prices for selected banksBasis points. 2 July 2007 – 22 September 2008
Bank of America
DnB NOR
UBS
iTraxx Europe index
Norges Bank
2
3
4
5
6
7
Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
2
3
4
5
6
7
Sources: Bloomberg and Reuters EcoWin
UK
Germany
Effective yields on covered bonds 5-7 years average term to maturity. Percentage points
5 January 2004 – 19 September 2008
Spain
Denmark
IrelandNorway1)
1) The regulation relating to covered bonds entered into force on 01.06.07
Norges Bank
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
Jul-07 Jan-08 Jul-08
3-month US3-month UK3-month Norway3-month Euro area
Jul-07 Jan-08 Jul-08
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
12-month US12-month UK12-month Norway12-month Euro area
Difference between money market rates and expected key rates1)
Percentage points. 5-day moving average 2 July 2007 – 22 September 2008
Sources: Bloomberg, Thomson Reuters and Norges Bank
1) The expected key rate is measured by the Overnight Indexed Swap (OIS). For Norway, the estimates are based on key policy rate expectations in the market.
Norges Bank
60
70
80
90
100
110
120
130
Jul-07 Sep-07 Nov-07 Jan-08 Mar-08 May-08 Jul-08 Sep-08
60
70
80
90
100
110
120
130
EquitiesIndices, 1 July 2007 = 100. 1 July 2007 – 22 September 2008
Source: Thomson Reuters
US, S&P 500
Emerging markets
Norway, OSEBX
Europe Stoxx
Japan, Topix
Norges Bank
Implied volatility from equity options 1 January 2005 – 19 September 2008
0
10
20
30
40
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
0
10
20
30
40
Sources: Reuters EcoWin and Oslo Stock Exchange
Europe
Norway
US
Norges Bank
Global Risk Index Expected volatility between USD, EUR and JPY in per cent1)
1 January 2005 – 22 September 2008
0%
5%
10%
15%
20%
Jan-05 Jan-06 Jan-07 Jan-08
0%
5%
10%
15%
20%
Source: Bloomberg1) GRI is based on implied volatility derived from prices on 3-month
currency options between EUR, USD and JPY (equally weighted)
Norges Bank
Implied volatility in the Norwegian exchange marketBased on 1-month currency option prices
1 January 2005 – 22 September 2007
2
4
6
8
10
12
14
16
18
20
Jan-05 Jan-06 Jan-07 Jan-08
2
4
6
8
10
12
14
16
18
20
Source: Bloomberg
Volatility EURNOK
Volatility USDNOK
Norges Bank
85
88
91
94
97
100
103
2002 2003 2004 2005 2006 2007 2008 2009 2010
-1
0
1
2
3
4
5
25 June 2008
22 September 2008
23 September 2008
3-month interest rate differential and import-weighted exchange rate (I-44)1)
January 2002 – December 2010
Weighted interest ratedifferential (left-hand scale)
I-44 (right-hand scale)
Sources: Reuters and Norges Bank
1) A rising curve denotes an appreciation of the krone.
Norges Bank
Growth forecasts Consensus ForecastsGDP. Percentage change on previous year
0
1
2
3
4
5
6
7
8
9
10
11
US Euro UK China 26 TP India
June
September
0
1
2
3
4
5
6
7
8
9
10
11
US Euro UK China 26 TP India
June
September
2008 2009
Source: Consensus Forecasts
Norges Bank
0
20
40
60
80
100
120
140
160
2002 2004 2006 2008 2010
0
20
40
60
80
100
120
140
160
0
50
100
150
200
250
300
350
2002 2004 2006 2008
0
50
100
150
200
250
300
350Industrials
Metals
Non-foodagriculturalsFood
All items
Oil price (Brent Blend)in USD per barrel
Futures prices (broken lines)
1) In XDR Sources: Thomson Reuters and Norges Bank
20.06.08 (MPR 2/08)
International commodity prices1)
Index. Week 1 2002 = 100 Week 1 2002 – week 38 2008
22.09.08
Norges Bank
Consumer prices abroad12-month change. Per cent. January 2002 – August 2008
-5
0
5
10
15
20
Jan-02 Jan-04 Jan-06 Jan-08
-5
0
5
10
15
20
UK
Euro area
US
Japan
Sweden
Source: Thomson Reuters
-5
0
5
10
15
20
Jan-02 Jan-04 Jan-06 Jan-08
-5
0
5
10
15
20Russia
Brazil
India1)
China
1) Wholesale prices
Norges Bank
0
1
2
3
4
5
6
7
Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
0
1
2
3
4
5
6
7
Sources: Thomson Reuters and Norges Bank
Policy rates and estimated forward rates Per cent. 2 January 2005 – 22 September 2008
US
Euro area
22 September 2008
Market after MPR 2/08 (25 June)
Sweden
UK
Norges Bank
15
-2.5
0
2.5
5
2002 2003 2004 2005 2006 2007 2008
-2.5
0
2.5
5
CPI
CPIXE1)
1) CPIXE: CPI adjusted for tax changes and excluding temporary changes in energy prices
Consumer prices 12-month change. Per cent. January 2002 – July 2008
Sources: Statistics Norway and Norges Bank
Norges Bank
0
1
2
3
4
5
6
7
8
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
0
1
2
3
4
5
6
7
8
QNA Q2
Mainland GDP – half-year figures Change from previous half year. Per cent. Annual rate. 2005 Q1 – 2008 Q2
MPR 2/08
Sources: Statistics Norway and Norges Bank
Norges Bank
Hourly productivity, mainland Norway 4-quarter change. 5-quarter moving average. Per cent. 1997 Q1 – 2008 Q2
0
1
2
3
4
5
1997 1999 2001 2003 2005 2007
0
1
2
3
4
5
Average
1997 Q1 – 2008 Q2
Sources: Statistics Norway and Norges Bank
Norges Bank
18
10
15
20
25
30
2002 2003 2004 2005 2006 2007 2008
Fixed investment in oil extraction and pipeline transport
NOK billion. Seasonally adjusted figures. 2002 Q1 – 2008 Q2
Source: Statistics Norway
Norges Bank
0
10
20
30
40
50
60
70
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
0
10
20
30
40
50
60
70Capacity1)
Labour2)
Source: Norges Bank
Norges Bank's regional network: capacity constraints Per cent. January 2005 – August 2008
1) Share reporting that they would have some or considerable difficulty in accommodating an increase in demand.2) Share who respond that the supply of labour will be a limiting factor for output/turnover.
Norges Bank
Expected change in selling prices over the next 12 months. Diffusion index¹)
30
35
40
45
50
55
60
65
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
30
35
40
45
50
55
60
65
1) Share reporting higher prices + (0.5 * share reporting unchanged prices)
Retail trade and services to the household sector
Manufacturing, building and construction and corporate services
Source: Norges Bank
Norges Bank
Retail trade componentsJanuary 2004 = 100. Volume. Seasonally adjusted.
January 2004 – July 2008
80
90
100
110
120
130
140
Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
80
90
100
110
120
130
140
Other goods
Food, beverages and tobacco
Sale of motor vehicles and automotive fuel
Electricity and fuel
Total
Sources: Statistics Norway and Norges Bank
Norges Bank
Unemployed Percentage of labour force. Seasonally adjusted.
January 1998 – August 2008
1
2
3
4
5
6
1998 2000 2002 2004 2006 2008
1
2
3
4
5
6
Registered unemployed and on labour market programmes
LFS unemployment
Registered unemployed
Sources: Statistics Norway, Norwegian Labour and Welfare Administration (NAV) and Norges Bank
Norges Bank
2200
2250
2300
2350
2400
2450
2500
2550
2600
2650
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
2200
2250
2300
2350
2400
2450
2500
2550
2600
2650
EmploymentFigures from LFS and QNA. 1000 persons
Monthly and quarterly figures. February 1998 – June 2008
LFS
QNA
Source: Statistics Norway
Norges Bank
Labour migration In thousands. January 2006 – August 2008
0
20
40
60
80
100
120
Jan-06 Jan-07 Jan-08
0
20
40
60
80
100
120
Registered foreign employees from new EEA countries (SSU)
Registered work permits (UDI)
Sources: Central Office – Foreign Tax Affairs (SSU), Norwegian Directorate of Immigration (UDI) and Norges Bank
Registered work permits – new EEA countries (UDI)
Norges Bank
0
5
10
15
20
25
30
Jan-07 Jul-07 Jan-08 Jul-08
0
5
10
15
20
25
30
Sources: Central Office – Foreign Tax Affairs (SSU), Norwegian Directorate of Immigration (UDI) and Norges Bank
Labour migration 12-month change. January 2007 – August 2008
Registered foreign employees from new EEA countries (SSU)
Registered work permits (UDI)
Registered work permits – new EEA countries (UDI)
Norges Bank
Housing investment and order reserves housing construction
2000 Q1 – 2008 Q2
12000
14000
16000
18000
20000
22000
24000
26000
2002 2003 2004 2005 2006 2007 2008
70
90
110
130
150
170
190
210
1) Measured at constant 2005-prices, mill. NOK. Seasonally adjusted 2) Deflated by the building construction index
Housing investment1), (left-hand scale)
Order reserves housing construction (volume2)), (right-hand scale)
Sources: Statistics Norway and Norges Bank
Norges Bank
0
100
200
300
400
500
600
700
800
900
2002 2003 2004 2005 2006 2007 2008
0
100
200
300
400
500
600
700
800
900
Building starts In 1000 m2. Trend. January 2002 – July 2008
Other buildings
Dwellings
Source: Statistics Norway
Norges Bank
-10
-5
0
5
10
15
20
25
30
35
40
45
50
2002 2003 2004 2005 2006 2007 2008
-10
-5
0
5
10
15
20
25
30
35
40
45
50
2002 2003 2004 2005 2006 2007 2008
Property prices and creditGrowth from same month/half-year previous year. Per cent.
Households
House prices
Credit
Enterprises
Commercial property prices
Credit
Sources: Norwegian Association of Real Estate Agents, Association of Real Estate Agency Firms, Finn.no, ECON Pöyry, Statistics Norway and Norges Bank
Norges Bank
Sources: Bloomberg, Thomson Reuters, DnB NOR Markets and Norges Bank
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
Jul-07 Oct-07 Jan-08 Apr-08 Jul-08
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
Bank bonds
Long-term financingIndicative credit spreads for Norwegian bonds. 5 years to maturity. Difference to
swap rates. Percentage points. Weekly figures. 2 July 2007 – 17 Sep. 2008
Covered bonds
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
Jul-07 Oct-07 Jan-08 Apr-08 Jul-08
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
12-month rate
3-month rate
Short-term financingDifference between money market rates and
expected key policy rate in Norway. Percentage points. 5-day moving average.
2 July 2007 – 17 Sep. 2008
More expensive financing
Norges Bank
30
Key policy rate, money market rate1) and banks’ lending rate on new loans2)
Per cent. 1 July 2007 – 22 September 2008
Sources: Norsk familieøkonomi AS and Norges Bank
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
Jul-07 Sep-07 Nov-07 Jan-08 Mar-08 May-08 Jul-08 Sep-08
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5Mortgage rate
Money market rate
Key policy rate
1) 3-month NIBOR.2) Interest rates on new mortgage loans of NOK 1 million within 60% of purchase price with floating interest rate. Figures for the 20 largest banks, weighted according to market share.
Norges Bank
Key policy rate in the baseline scenario and estimated forward rates
Per cent. 2008 Q4 – 2010 Q4
Sources: Thomson Reuters and Norges Bank
4.0
5.0
6.0
7.0
2008 Q4 2009 Q1 2009 Q2 2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4
4.0
5.0
6.0
7.0
Market 22 September 2008
Market after publication of MPR 2/08 (25 June)
Baseline scenario MPR 2/08
Norges Bank
32
Key policy rate
Source: Norges Bank
0
1
2
3
4
5
6
7
8
9
2005 2006 2007 2008 2009 2010 2011
0
1
2
3
4
5
6
7
8
9
Strategy interval
1/053/04
2/053/05 1/06
2/063/06
2/071/07
3/07MPR 2/081/08
2/08