Norges Bank 11 Executive Board meeting 15 October 2008.
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Transcript of Norges Bank 11 Executive Board meeting 15 October 2008.
Norges Bank
11
Executive Board meeting15 October 2008
Norges Bank
2Source: Bloomberg
0
200
400
600
800
1000
1200
Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08
0
200
400
600
800
1000
1200
JPMorgan Chase
iTraxx Europe index
Goldman Sachs
Morgan Stanley
Price of credit default insurance Large international banks. 5-year CDS prices. Basis points.
2 July 2007 – 13 October 2008
Bank of America
DnB NOR
UBS
Norges Bank
3
2
3
4
5
6
7
Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
2
3
4
5
6
7
Sources: DnB NOR Markets, Bloomberg and Thomson Reuters
UK
Germany
Effective yields on covered bonds5-7 years average term to maturity. Percentage points
5 January 2004 – 10 October 2008
Spain
Denmark
IrelandNorway1)
1) The regulation relating to covered bonds entered into force on 01.06.07
Norges Bank
4
Difference between money market rates andexpected key rates1)
Percentage points. 5-day moving average. 2 July 2007 – 13 October 2008
0
0.4
0.8
1.2
1.6
2
2.4
2.8
3.2
3.6
Jul-07 Dec-07 May-08 Oct-08
3-month US3-month UK3-month Norway3-month Euro area
Jul-07 Dec-07 May-08 Oct-08
0
0.4
0.8
1.2
1.6
2
2.4
2.8
3.2
3.612-month US12-month UK12-month Norway12-month Euro area
Sources: Bloomberg, Thomson Reuters and Norges Bank
1) The expected key rate is measured by the Overnight Index Swap (OIS). ForNorway, the estimates are based on key policy rate expectations in the market.
Norges Bank
5
40
50
60
70
80
90
100
110
120
130
140
Jul-07 Sep-07 Nov-07 Jan-08 Mar-08 May-08 Jul-08 Sep-08
40
50
60
70
80
90
100
110
120
130
140
EquitiesTotal return. 1 July 2007 = 100. 1 July 2007 – 13 October 2008
Source: Thomson Reuters
US, S&P 500
Emerging markets, MSCI
Norway, OSEBX
Europe, Stoxx
Japan, Topix
Norges Bank
6
Implied volatility from equity optionsPer cent. 1 January 2005 – 13 October 2008
0
10
20
30
40
50
60
70
80
90
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
0
10
20
30
40
50
60
70
80
90
Sorces: Thomson Reuters and Oslo Børs
Europe
Norway
US
Norges Bank
7
Global Risk IndexExpected volatility between USD, EUR and JPY in per cent1)
1 January 2005 – 13 October 2008
0
5
10
15
20
25
30
Jan-05 Jan-06 Jan-07 Jan-08
0
5
10
15
20
25
30
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
8
-4
-3
-2
-1
0
1
2
2005 2006 2007 2008
-4
-3
-2
-1
0
1
2
Lower risk willingness
Higher risk willingness
Total risk index1)
Daily observations. 1 January 2000 - 13 October 2008
Sources: Thomson Reuters and Norges Bank1) Compound indicator based on arithmetic
mean of seven financial market components
Norges Bank
9
85
88
91
94
97
100
103
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
-1
0
1
2
3
4
5
Sources: Thomson Reuters and Norges Bank
I-44 (right-hand
scale)
Weighted interest rate differential (left-hand scale)
25 June 2008
13 October 2008
1) A rising curve denotes an appreciation of the krone.
3-month interest rate differentialand import-weighted exchange rate (I-44)1)
January 2002 – December 2011
13 October 2008
Norges Bank
10
Implied volatility in the Norwegian exchange marketBased on 1-month currency option prices.
1 January 2005 – 13 October 2008
0
3
6
9
12
15
18
21
24
Jan-05 Jan-06 Jan-07 Jan-08
0
3
6
9
12
15
18
21
24Volatility EURNOK Volatility USDNOK
Source: Bloomberg
Norges Bank
11
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
Non-food agriculturals
Metals
Food
All items
1) I XDR
20.06.08 (MPR 2/08)
13.10.08
Oil price (Brent Blend)in USD per barrel
Futures prices (broken lines)
International commodity prices1)
Index. Week 1 2002 = 100 Week 1 2002 – week 40 2008
Sources: Thomson Reuters, Statistics Norway and Norges Bank
Norges Bank
12
Net exports from G-7 to emerging economiesContribution to GDP growth in the G-7 countries .
Percentage units. 1992 Q1 – 2008 Q2
Source: OECD
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1992 1995 1998 2001 2004 2007
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
Norges Bank
13
Growth forecasts WEO1)
GDP. Percentage change on previous year
-1
0
1
2
3
4
5
6
7
8
9
10
US Euro UK China 26 TP India
IMF April
IMF Oct
-1
0
1
2
3
4
5
6
7
8
9
10
US Euro UK China 26 TP India
IMF April
IMF Oct
2008 2009
Sources: IMF and Norges Bank1) World Economic Outlook
Norges Bank
14
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
US Euro UK Japan China India
IMF April
IMF Oct
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
US Euro UK Japan China India
IMF April
IMF Oct
2008 Q4
Source: IMF1) IMF forecasts from July and October
Growth forecasts WEO1)
GDP. Percentage change on previous year
2009 Q4
1)1) 1)1)
Norges Bank
15
-5
0
5
10
15
20
Jan-02 Jan-04 Jan-06 Jan-08
-5
0
5
10
15
20
US
Source: Thomson Reuters
-5
0
5
10
15
20
Jan-02 Jan-04 Jan-06 Jan-08
-5
0
5
10
15
20
Rise in consumer prices abroad12-month change. Per cent. January 2002 – September 2008
Russia
Brazil
India1)
China
UK
Euro areaJapan
Sweden
1) Wholesale prices
Norges Bank
16
0
1
2
3
4
5
6
7
Jun-07 Jun-08 Jun-09 Jun-10
0
1
2
3
4
5
6
7
Sources: Thomson Reuters og Norges Bank
US
Euro area
13 October 2008
Market after MPR 2/08 (25 June)
Sweden
UK
Key rates and forward ratesPer cent. 1 June 2007 – 13 October 2008
Norges Bank
1717
-2.5
0
2.5
5
2002 2003 2004 2005 2006 2007 2008
-2.5
0
2.5
5
CPI
CPIXE1)
Consumer prices12-month change. Per cent. January 2002 – September 2008
1) CPIXE: CPI adjusted for tax changes and excluding temporary changes in energy pricesSources: Statistics Norway and Norges Bank
Norges Bank
18
National Budget 2009
• A structural, non-oil deficit of NOK 92 billion in 2009 equals the expected real return on the Fund. The Government Pension Fund – Global estimated at NOK 2300 billion at the start of 2009
• The deficit increases by 14 billion 2009-NOK from 2008 to 2009, or 0.7 percentage point of trend GDP
• Nominal underlying growth in spending in the national budget of 7.8 per cent in 2009. Nominal growth in mainland GDP estimated at 5.7 per cent
Norges Bank
19
90
100
110
120
130
140
150
Jan-02 Jan-04 Jan-06 Jan-08
90
100
110
120
130
140
150
Source: Thomson Reuters
90
100
110
120
130
140
150
Jan-02 Jan-04 Jan-06 Jan-08
90
100
110
120
130
140
150
Trend
Manufacturing production indexSeasonally adjusted volume index. 3-month moving average.
January 2002 – August 2008
3-month moving average
Capital goods
Intermediate goods
Consumer goods
Norges Bank
20
-3
-2
-1
0
1
2
3
4
5
Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Oct-07 Oct-08-3
-2
-1
0
1
2
3
4
5
Actual and expected productionManufacturing, building and construction
Production for home market
Market outlook
Exports
Suppliers to petroleum industry
Building and construction
IncreasingIncreasing
Source: Norges Bank and Norges Bank Regional Network
Norges Bank
21
Extra round of phone callsNorges Bank’s regional network
• Private consumption– Decline in travel and restaurant sectors in recent weeks
• Investment– Sharp decline in building starts second half of 2008– Pronounced slowdown in commercial real estate in recent
months– Weaker investment prospects in retail trade and services
• Employment– Decline in employment in building and construction in past
couple of months and prospects for further decline – Decline in employment in some service industries supplying
the household sector– Increased supply of labour
Norges Bank
22
130
140
150
160
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
130
140
150
160
Index of commodity consumption Volume. Seasonally adjusted. January 2005 – April 2009
Source: Statistics Norway
Norges Bank
23
-100
-80
-60
-40
-20
0
20
40
60
2003 2004 2005 2006 2007 2008
-100
-80
-60
-40
-20
0
20
40
60
Household net lendingTotal past four quarters. In billions of NOK. 2003 Q1 – 2008 Q2
Financial sector accounts (FINSE)
National accounts
National accounts, excludingreinvested dividends
Sources: Statistics Norway and Norges Bank
Norges Bank
24
1
2
3
4
5
6
1998 2000 2002 2004 2006 2008
1
2
3
4
5
6
Unemployed Percentage of labour force. Seasonally adjusted.
January 1998 – August 2008
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
25
2380
2400
2420
2440
2460
2480
2500
2520
2540
Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08
2380
2400
2420
2440
2460
2480
2500
2520
2540
Source: Statistics Norway
Employment (LFS)In 1000s of persons. Seasonally adjusted. June 2006 – July 2008
Norges Bank
26
-5
0
5
10
15
20
25
Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
-5
0
5
10
15
20
25Credit to enterprises1)
Property prices and creditGrowth from same month/half-year previous year. Per cent.
Credit to households
1) Non-financial enterprises mainland Norway.
House prices
Sources: Norwegian Association of Real Estate Agents, Association of Real Estate Agency Firms, Finn.no, ECON Pöyry, Statistics Norway and Norges Bank
Norges Bank
27
3.5
4.5
5.5
6.5
7.5
8.5
Jul-07 Sep-07 Nov-07 Jan-08 Mar-08 May-08 Jul-08 Sep-08
3.5
4.5
5.5
6.5
7.5
8.5
Key policy rate, money market rate1) and banks’ lending rate on new loans2)
Per cent. 1 July 2007 – 14 October 2008
Money market rate
Mortgage 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.
Sources: Norsk familieøkonomi AS and Norges Bank
Norges Bank
28
Key policy rate in the baseline scenario and estimated forward rates
Per cent. 2008 Q4 – 2010 Q4
Sources: Thomson Reuters and Norges Bank
3.0
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
3.0
4.0
5.0
6.0
7.0
Market after publication of MPR 2/08 (25 June)
Baseline scenario MPR 2/08
Market 13 October 2008
Norges Bank
2929
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
1/053/04
2/053/05 1/06
2/063/06
2/071/07
3/071/08
2/08
Strategy interval
MPR 2/08