Monetary Policy Report 3/12. Charts

Transcription

1 Monetary Policy Report / Charts

2 Chart. Key rates and estimated forward rates as at June and October.¹) Percent. January December ²) US Euro area³) UK 9 ) Broken lines show estimated forward rates as at June. Thin lines show forward rates as at October. Forward rates are based on Overnight Index Swap (OIS) rates ) Daily figures from January and quarterly figures from Q ) EONIA for euro area from Q Sources: Bloomberg and Norges Bank

3 Chart. Yields on -year government bonds. Percent. January October Greece (left-hand scale) Germany Spain Italy 7 Jan- Jul- Jan- Jul- Jan- Jul- Source: Thomson Reuters

4 Chart. Difference between -month money market rate and expected key rates¹). Percentage points. -day moving average. January October US Euro area Norway Jan- Jul- Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- Jul- ) Expected key rates are derived from Overnight Index Swap (OIS) rates. Norges Bank's projections for market participant's key rate expectations are used for Norway Sources: Bloomberg, Thomson Reuters and Norges Bank

5 Chart. Oil price (Brent Blend) and prices for Norwegian petroleum exports¹). USD/barrel. January December Oil price Futures MPR / Futures MPR / Petroleum price ) Weighted average of Norwegian crude oil and gas exports Sources: Statistics Norway,Thomson Reuters and Norges Bank

6 Chart. Import-weighted exchange rate index (I-)¹). January December I- Projections MPR / Projections MPR / 9 Jan- Jul- Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- Jul- Jan- ) A positive slope denotes a stronger krone exchange rate Source: Norges Bank

7 Chart. Difference between -month money market rate and expected key rates.¹) Percentage points. Q Q. Projections MPR / Projections MPR /... 9 ) Norges Bank's projections from Q Sources: Thomson Reuters and Norges Bank

8 Chart.7 Key policy rate, premium in the money market¹), risk premium -year covered bonds²) and weighted average lending rate on new residential mortgages³). Percent. January October 9 7 Risk premium -year covered bonds Premium in the money market Key policy rate Bank lending rate (new residential mortgages) Jan- Jul- Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- Jul- ) -month NIBOR (effective) ) Indicative risk premium on -year covered bonds ) Nominal interest rate on new residential mortgages of NOK m within % of purchase price with variable interest rate. Figures for the largest banks, weighted according to market share Sources: Norsk familieøkonomi AS, DnB Nor Markets, Statistics Norway and Norges Bank 9 7

9 Chart. Key policy rate, premium in the money market rate¹), risk premium on -year bank bonds²) and average interest rate on corporate loans. Percent. January October 9 7 Risk premium -year bank bonds Premium in the money market Key policy rate Average interest rate on corporate loans Jan- Jul- Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- Jul- ) -month NIBOR (effective) ) Indicative risk premium in -year bank bonds Sources: DNB Markets, Statistics Norway and Norges Bank 9 7

10 Chart.9 Credit growth¹) and house prices. -month change. Percent. January December ²) - - House prices Credit growth Projected house prices Projected credit growth ) From January the Norwegian standard for institutional sector grouping was changed. For credit growth this implies a break in the series from March ) House prices up to and including September, credit growth up to and including August.Projections to Q, where debt growth is change in inventory Sources: Statistics Norway, the real estate sector (NEF, EFF, Finn.no and ECON Pöyry) and Norges Bank -

11 Chart. GDP for Mainland Norway and selected trading partners. Index. =. Norway Euro area USA Trading partners Sweden 9 Sources: Thomson Reuters and Norges Bank 9

12 Chart. Consumer prices. -month change. Percent. January September CPI % trimmed mean CPI-ATE¹) CPIM³) CPIXE²) ) CPI adjusted for tax changes and excluding energy products ) CPI adjusted for tax changes and excluding temporary changes in energy prices. Real time figures. See Norges Bank Staff Memo 7/ and /9 ) Model-based indicator of underlying inflation. See Norges Bank Economic Commentaries / Sources: Statistics Norway and Norges Bank

13 Chart. Inflation. Moving -year average¹) and variation²) in CPI³). Percent. 9 Variation Inflation target CPI ) The moving average is calculated years back ) The band around the CPI is the variation in the CPI adjusted for tax changes and excluding energy products in the average period, measured by +/- one standard deviation ) Estimate based on CPI projections in this Report Sources: Statistics Norway and Norges Bank

14 Chart. Expected consumer price inflation and years ahead.¹) Percent. Q Q Expected inflation years ahead Expected inflation years ahead ) Average of expectations of employer/employee organisations and economists in the financial industry and academia Sources: TNS Gallup and Opinion Perduco

15 Chart. Interval for the key policy rate at the end of each strategy period, actual developments and projected key policy rate in the baseline scenario. Percent. January December 7 /7 // MPR / MPR / MPR / 7 / 7 Dec / / / / / / /9 /9 /9 / / / 9 Source: Norges Bank

16 Chart.a Projected key policy rate in the baseline scenario with probability distribution. Percent. Q Q 7 % % 7% 9% 7 9 Source: Norges Bank

17 Chart.b Projected output gap¹) in the baseline scenario with probability distribution. Percent. Q Q % % 7% 9% ) The output gap measures the percentage deviation between mainland GDP and projected potential mainland GDP Source: Norges Bank -

18 Chart.c Projected CPI in the baseline scenario with probability distribution. Four-quarter change. Percent. Q Q % % 7% 9% - 9 Sources: Statistics Norway and Norges Bank -

19 Chart.d Projected CPIXE¹) in the baseline scenario with probability distribution. Four-quarter change. Percent. Q Q % % 7% 9% ) CPI adjusted for tax changes and excluding temporary changes in energy prices. As from August, the CPIXE is a real-time series. See Norges Bank Staff Memo 7/ and /9 Source: Norges Bank

20 Chart. Three-month money market rates in the baseline scenario¹) and estimated forward rates²). Percent. Q Q 7 Estimated forward rates MPR / Estimated forward rates MPR / Money market rates in the baseline scenario MPR / Money market rates in the baseline scenario MPR / 7 9 ) Key policy rate in the baseline scenario plus premiums in the Norwegian money market. The calculations are based on the assumption that announced interest rate changes are priced into the money market. ) Forward rates are based on money market rates and interest rate swaps. The blue and red bands show the highest and lowest forward rates in the period June June and October October Sources: Thomson Reuters and Norges Bank

21 Chart.7 Three-month money market rate differential between Norway¹) and trading partners and the import-weighted exchange rate index (I-)²). January December ³) I- (left-hand scale) -month rate differential (right-hand scale) 7 9 ) Key policy rate in the baseline scenario plus premiums in the Norwegian money market. The calculations are based on the assumption that announced interest rate changes are priced into the money market ) A positive slope denotes a stronger krone exchange rate ) Monthly figures from January and Norges Bank projections from Q Sources: Thomson Reuters and Norges Bank - -

22 Chart. Projected inflation¹) and output gap in the baseline scenario. Percent. Q Q Output gap (left-hand scale) CPIXE (right-hand scale) ) CPIXE: CPI adjusted for tax changes and excluding temporary changes in energy prices. As from August, the CPIXE is a real-time series. See Norges Bank Staff Memo 7/ and /9 Source: Norges Bank

23 Chart.9 Household debt burden¹) and interest burden²). Percent. Quarterly figures. 9 Q Q Interest burden (left-hand scale) Debt burden (right-hand scale) ) Loan debt as a percentage of disposable income adjusted for estimated reinvested dividends for and redemption/reduction of equity capital for ) Interest expenses after tax as a percentage of disposable income adjusted for estimated reinvested dividends for and redemption/reduction of equity capital for plus interest expenses Sources: Statistics Norway and Norges Bank

24 Chart. Projected key policy rate in the baseline scenario with probability distribution. Percent. Q Q 7 % % 7% 9% 7 9 Source: Norges Bank

25 Chart.a Key policy rate. Percent. Q Q 7 Criterion Criteria & Criteria,& 7 9 Source: Norges Bank

26 Chart.b Output gap. Percent. Q Q Criterion Criteria & Criteria,& Source: Norges Bank -

27 Chart.c CPIXE¹). Four-quarter change. Percent. Q Q.... Criterion Criteria & Criteria,& ) CPI adjusted for tax changes and excluding temporary changes in energy prices. As from August, the CPIXE is a real-time series. See Norges Bank Staff Memo 7/ and /9 Source: Norges Bank

28 Chart. Key policy rate and calculations based on simple monetary policy rules.¹) Percent. Q Q 7 7 Taylor rule Growth rule Rule with foreign interest rates Model-robust rule Key policy rate in the baseline scenario 9 ) The calculations are based on Norges Bank s projections for the output gap, growth gap, consumer prices and -month money market rates among trading partners. To ensure comparability with the key policy rate, the simple rules are adjusted for risk premiums in -month money market rates Source: Norges Bank

29 Chart. Key policy rate and interest rate developments that follow from Norges Bank s average pattern of interest rate setting.¹) Percent. Q Q 7 9% confidence interval Key policy rate in baseline scenario ) Interest rate movements are explained by developments in inflation, mainland GDP growth, wage growth and -month money market rates among trading partners. The equation is estimated over the period 999 Q Q. See Staff Memo / for further discussion Source: Norges Bank

30 Chart Key policy rate in the baseline scenario in MPR / with probability distribution and key policy rate in the baseline scenario in MPR / (red line). Percent. Q Q % % 7% 9% 7 9 Source: Norges Bank

31 Chart Factors behind changes in the interest rate forecast since MPR /. Accumulated contribution. Percentage points. Q Q Exchange rate Prices Money market premiums Interest rates abroad Lending margins Change in the interest rate forecast Q Q Q Q Q Q Q Source: Norges Bank -

32 Chart. Manufacturing PMIs. Diffusion index centred around. January October 7 US (ISM) Euro area Sweden China UK Source: Thomson Reuters

33 Chart. Growth in world trade and indicator of global exports. World trade: Three-month moving average. Past three months over previous three months. Percent. Global PMI export orders: Diffusion index centred around. January September 7 World trade (left-hand scale) Global PMI new export orders (right-hand scale) Source: Thomson Reuters

34 Chart. Interest rate on new business loans to non-financial corporations. Loans up to EUR m. Maturity between and years. Key policy rate. Monthly figures. Percent. January - August 7 Germany Spain France Italy Minimum bid rate, ECB Source: ECB

35 Chart. US unemployment. Percent of labour force. January September Unemployment rate Unemployed over weeks 7 9 Source: Thomson Reuters

36 Chart. Fixed asset investment in China. Value. Three-month moving average. -month change. Percent. January - September Manufacturing (% of total) Infrastructure (7% of total) Real estate (% of total) Sources: CEIC and Norges Bank

37 Chart. Quarterly GDP growth trading partners. Historical numbers and projections given at different points in time. Percent. Q Q - - Historical growth Projections MPR / Projections MPR / Projections MPR / Projections MPR / Projections MPR / Sources: Thomson Reuters and Norges Bank

38 Chart.7 Consumer prices in advanced economies and emerging markets.¹) -month change. Percent. January September Advanced economies Emerging market economies Headline Core inflation ) GDP-weighted (PPP). Advanced economies: Australia, Canada, euro area, Japan, UK and US. Emerging markets: Argentina, Brazil, India, Indonesia, China, Mexico, Russia, South Africa, South Korea and Turkey. Sources: CEIC, IMF, Thomson Reuters and Norges Bank -

39 Chart. Prices for coal, crude oil and natural gas. USD per MMBTU. Monthly figures. January August Coal US¹) Futures prices Oil¹) Gas UK¹) Gas US¹) Gas Russia Gas Norway 7 9 ) For October, calculated as daily average Sources: IMF, Thomson Reuters, Statistics Norway and Norges Bank

40 Chart.9 Commodity prices. USD. Index, January =. Daily figures. January December 7 Aluminium Copper Wheat Maize Soybeans Futures prices Sources: CME Group, ICE and Thomson Reuters

41 Chart. CPI, CPI-ATE ) and CPIXE ). -month change. Percent. January 9 February ) CPI CPI-ATE CPIXE 9 ) CPI adjusted for tax changes and excluding energy products ) CPI adjusted for tax changes and excluding temporary changes in energy prices. Real-time figures. See Norges Bank Staff Memo 7/ and /9 ) Projections for October February (broken lines) Sources: Statistics Norway and Norges Bank

42 Chart. CPI-ATE ). Total and by supplier sector. -month change. Percent. January 9 February ) CPI-ATE Imported consumer goods Domestically produced goods and services³) ) CPI adjusted for tax changes and excluding energy products ) Projections for October February (broken lines) ) Norges Bank's estimates Sources: Statistics Norway and Norges Bank

43 Chart. CPI-ATE. Domestically produced goods and services. Average -month change. Percent. January September Agriculture and fish products Sheltered goods Source: Statistics Norway Goods influenced by global market prices Goods influenced by global market competition Rent Other services

44 Chart. Indicator of external price impulses to imported consumer goods measured in foreign currency. Annual change. Percent. ) ) Projections for Source: Norges Bank

45 Chart. CPI-ATE ). Actual figures, baseline scenario and projections from SAM,) with fan chart. Four-quarter change. Percent. Q Q ) MPR / % % 7% 9% SAM CPI-ATE mar. sep. mar. sep. mar. ) CPI adjusted for tax changes and excluding energy products ) System for averaging short-term models ) Projections from SAM is based on information up until October ) Projections for Q Q (broken lines) Sources: Statistics Norway and No

46 Chart. GDP mainland Norway. Actual figures, baseline scenario and projections from SAM,) with fan chart. Four-quarter change. Volume. Seasonally adjusted. Percent. Q Q ) 7 % % 7% 9% 7 MPR / SAM GDP mainland Norway Mar- Sep- Mar- Sep- Mar- Sep- ) System for averaging short-term models ) Projections from SAM is based on information up until October ) Projections for Q Q (broken lines) Sources: Statistics Norway and Norges Bank

47 Chart. GDP mainland Norway. Quartely change. Percent. Q Q ). GDP mainland Norway GDP mainland Norway except electricity production... Mar- Jun- Sep- Dec- Mar- ) Projections for Q Q Sources: Statistics Norway and Norges Bank

48 Chart.7 GDP mainland Norway per capita. Annual change. Percent. 99 ) GDP growth per capita Average ) Projections for Sources: Statistics Norway and Norges Bank

49 Chart. Change in production past three months and expected change in production next six months. Index ). February March ) - Domestically oriented manufacturing Suppliers to the petroleum industry - - Export industry Construction ) The scale runs from - to +, where - denotes a sharp fall and + denotes strong growth. See article "Norges Bank's regional network: fresh and useful information" in Economic Bulletin /9 for further information ) Latest observation in the Regional network is September Source: Norges Bank

50 Chart.9 Capacity constraints and labour supply ) reported by the Regional network and estimated output gap. Percent. Q Q - Output gap MPR / (left-hand scale) Capacity constraints (right-hand scale) Labour supply (right-hand scale) ) Share of contacts that will have some or considerable problems accommodating an increase in demand and the share of contacts where production is constrained by labour supply Source: Norges Bank

51 Chart. Household saving and net lending as a share of disposable income. Percent. 99 ) Saving ratio excl. dividend income Saving ratio, adjusted ²) Net lending ratio excl. dividend income ) Projections for (broken lines) ) Adjusted for estimated reinvested dividend income for and redemption/reduction of equity capital for Sources: Statistics Norway and Norges Bank -

52 Chart. TNS Gallup s trend indicator for households. Seasonally adjusted. Net figures. 99 Q Q - - TNS Gallup s trend indicator Average 99 Q Q Source: TNS Gallup

53 Chart. Household consumption ) and real disposable income ). Annual change. Percent. ) Household consumption Household real disposable income 7 9 ) Includes consumption among non-profit organisations. Volume ) Excluding dividend income. Including income in non-profit organisations ) Projections for (broken line) Sources: Statistics Norway and Norges Bank

54 Chart. Difference between number of housing completions and increase in households ), and population growth ) Difference between number of housing completions and increase in households (left-hand scale) Population growth (right-hand scale) ) Projections for and ) Projections for Sources: Statistics Norway and Norges Bank

55 Chart. Investment in mainland Norway excluding public sector. Constant 9 prices. In billions of NOK. 99 ) Business Housing ) Projections for Sources: Statistics Norway and Norges Bank

56 Chart. Employment ) and Norges Bank's regional network's indicator of change in employment and expected change in employment next three months. Percent. Q Q ) Regional network Employment growth ) Seasonally adjusted quarterly change in Quarterly National Accounts ) Latest observation in the Regional network is September. Latest observation in the Quarterly National Accounts is Q, projections for Q Q (broken line) Sources: Statistics Norway and Norges Bank -

57 Chart. Annual wage growth ) and LFS unemployment. Per cent. 99 ) Annual wage growth Unemployment rate ) Including estimated costs of increase in number of vacation days and introduction of mandatory occupational pensions ) Projections for (broken lines) Sources: Statistics Norway, Technical Reporting Committee on Income Settlements and Norges Bank

58 Chart.7 Structural non-oil deficit and expected real return on the Government Pension Fund Global. Constant prices. In billions of NOK. ) Structural, non-oil deficit Expected real return ) Projections for Sources: Ministry of Finance and Norges Bank

59 Chart. Petroleum investment. Constant 9 prices. In billions of NOK. 99 ) ) Projections for Sources: Statistics Norway and Norges Bank