Monetary Policy Report 1/12. Charts

Transcription

1 Monetary Policy Report / Charts

2 Chart. Projected output gap¹) for Norway's trading partners. Percent. Q Q MPR / MPR / ) The output gap measures the percentage deviation between GDP and projected potential GDP for Norway's trading partners Sources: IMF, Thomson Reuters and Norges Bank -

3 Chart. GDP growth for advanced economies. Quarterly change. Percent. Q Q US Euro area UK Sweden Q Q Q Q Q Q Q Q Source: Thomson Reuters -.

4 Chart. Yield spreads against German -year government bonds. Percentage points. January 8 9 March 8 8 Greece, left-hand scale Ireland Portugal Spain Italy 8 8 Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- Source: Thomson Reuters

5 Chart. Yields on -year government bonds. Percent. January 9 March Germany France Norway Sweden Source: Thomson Reuters

6 Chart. Key rates and estimated forward rates as at October and 9 March.¹) Percent. January 8 December ²) US Euro area³) UK MPR / MPR / 8 9 ) Broken lines show estimated forward rates as at October. Thin lines show forward rates as at 9 March. Forward rates are based on Overnight Index Swap (OIS) rates ) Daily figures from January 8 and quarterly figures from Q ) EONIA in euro area from Q Sources: Bloomberg and Norges Bank

7 Chart. Difference between -month money market rate and expected key rates¹). Percentage points. -day moving average. January 8 9 March US Norway Euro area Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- ) Expected key rates are derived from Overnight Index Swap (OIS) rates. Norges Bank's projections for market key rate expectations are used for Norway Sources: Bloomberg, Thomson Reuters and Norges Bank

8 Chart.7 Key policy rate, money market rate¹), yield on -year covered bonds²) and weighted average lending rate on new residential mortgages³). Percent. January 8 9 March Money market rate Key policy rate Bank lending rate (new residential mortgages) Yield on -year covered bonds Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jan- ) -month NIBOR (effective) ) Sum of -month NIBOR and indicative credit spreads on -year covered bonds ) 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 8 7

9 Chart.8 Consumer prices. -month change. Percent. January February 7. CPI % trimmed mean 7. CPI-ATE ¹) CPIXE ²) CPI-FW ³) CPIM⁴) ) 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 7/8 and /9 ) CPI adjusted for frequency of price changes. See Norges Bank Economic commentaries 7/9 ) Model-based indicator of underlying inflation. See Norges Bank Economic commentaries / Sources: Statistics Norway and Norges Bank

10 Chart.9 Inflation. Moving -year average¹) and variation²) in CPI³). Percent 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

11 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 (financial industry experts and academia) Sources: TNS Gallup and Perduco

12 Chart. Five-year forward rate¹) differential years ahead between Norway and the euro area.²) Percentage points. January 9 March ) Based on swap rates ) Expected inflation can be derived from the long-term interest rate differential. Due to a higher inflation target in Norway, the long-term interest rate differential will normally be. percentage point, depending on risk premium. This level may indicate that long-term inflation expectations are close to target. Sources: Thomson Reuters and Norges Bank

13 Chart. Household debt burden¹) and interest burden²). Percent. Quarterly figures. 988 Q Q 8 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

14 Chart.a Projected key policy rate in the baseline scenario with probability distribution. Percent. 8 Q Q 7 % % 7% 9% Source: Norges Bank

15 Chart.b Projected output gap¹) in the baseline scenario with probability distribution. Percent. 8 Q Q % % 7% 9% ) The output gap measures the percentage deviation between mainland GDP and projected potential mainland GDP Source: Norges Bank -

16 Chart.c Projected CPI in the baseline scenario with probability distribution. Four-quarter change. Percent. 8 Q Q % % 7% 9% Sources: Statistics Norway and Norges Bank -

17 Chart.d Projected CPIXE¹) in the baseline scenario with probability distribution. Four-quarter change. Percent. 8 Q Q % % 7% 9% ) CPI adjusted for tax changes and excluding temporary changes in energy prices. As from August 8, the CPIXE is a real time series. See Norges Bank Staff Memo 7/8 and /9 Source: Norges Bank -

18 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 8 December MPR / 7 /7 /8/8 /8 MPR / MPR / 7 Dec 8 / / / / / / /9 /9 /9 / 8 9 Source: Norges Bank

19 Chart. Difference between -month money market rate and expected key rates.¹) Percentage points. 7 Q Q. Premium MPR / Premium MPR / ) Norges Bank's projections from Q Source: Norges Bank

20 Chart. 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 - -

21 Chart.7 Projected inflation¹) and output gap in the baseline scenario. Percent. 8 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 8, the CPIXE is a real time series. See Norges Bank Staff Memo 7/8 and /9 Source: Norges Bank

22 Chart.8a Key policy rate. Percent. 8 Q Q 8 7 Criterion Criteria & Criteria,& Source: Norges Bank

23 Chart.8b Output gap. Percent. 8 Q Q Criterion Criteria & Criteria,& Source: Norges Bank -

24 Chart.8c CPIXE¹). Four-quarter change. Percent. 8 Q Q.... Criterion Criteria & Criteria,& ) CPI adjusted for tax changes and excluding temporary changes in energy prices. As from August 8, the CPIXE is a real time series. See Norges Bank Staff Memo 7/8 and /9 Source: Norges Bank

25 Chart.9 Key policy rate and calculations based on simple monetary policy rules.¹) Percent. 8 Q Q 8 7 Taylor rule Growth rule Rule with foreign interest rates Key policy rate in the baseline scenario ) 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

26 Chart. Three-month money market rates in the baseline scenario¹) and estimated forward rates²). Percent. 8 Q Q 8 7 Estimated forward rates Money market rates in the baseline scenario ) 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 band shows the highest and lowest forward rates in the period 7 February 9 March Sources: Thomson Reuters and Norges Bank

27 Chart. Key policy rate and interest rate developments that follow from Norges Bank s average pattern of interest rate setting.¹) Percent. Q Q % 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 /8 for further discussion Source: Norges Bank

28 Chart. Key policy rate in the baseline scenario and in the alternative scenarios. Percent. 8 Q Q 8 7 Increased inflation and increased capacity utilisation Weaker inflation and lower capacity utilisation Baseline scenario % % 7% 9% Source: Norges Bank

29 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). Per cent. 8 Q Q % % 7% 9% Source: Norges Bank

30 Chart Factors behind changes in the interest rate forecast since MPR /. Accumulated contribution. Percentage points. Q Q Growth abroad Capacity utilisation Prices and costs Money market premiums Interest rates abroad Changed loss function Change in the interest rate forecast Exchange rate Change in the interest rate forecast with previous loss function Q Q Q Q Q Q Source: Norges Bank -

31 Chart. GDP in advanced economies and emerging markets¹) and global allindustry PMI. GDP: quarterly growth, in per cent, Q Q. PMI: diffusion index centered around, January - February - - Advanced economies (left-hand scale) Emerging economies (left-hand scale) Global all-industry PMI (right-hand scale) ) 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: IMF, Thomson Reuters, Bloomberg and Norges Bank 7 7

32 Chart. Yield spreads against German -year government bonds. Percentage points. January 8 March Italy Spain Source: Thomson Reuters

33 Chart. Non-financial private sector gross debt¹). As a percentage of GDP. 98 Q Q²) US Japan UK Spain Ireland Portugal ) Figures for Ireland, Portugal and Spain include debt in public non-financial corporations. ) US to end Q Sources: ECB, Thomson Reuters and Norges Bank

34 Chart. Fiscal tightening. Change in structural budget balance (as a percentage of GDP) from one year earlier. Percentage points France Italy Spain Germany Euro area UK US Source: IMF

35 Chart. Bank lending conditions. Net balance¹). Q Q US Euro area Emerging markets To enterprises To households ) Values above indicate tighter lending conditions Sources: Thomson Reuters, Institute of International Finance and Norges Bank

36 Chart. Consumer prices in advanced economies and emerging markets.¹) -month change. Per cent. January January 8 Advanced economies Emerging market economies Headline Core prices ) 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 -

37 Chart.7 Wages.¹) -month change, -month moving average. Per cent. January January Euro area UK Sweden US ) Total economy wages. US to end January, UK and Sweden to end December. For the euro area quarterly figures to end Q. Source: Thomson Reuters

38 Chart.8 Oil price (Brent Blend) and prices for Norwegian petroleum exports¹). USD/barrel. January December 8 Oil price Futures Futures as at MPR / Petroleum price 8 8 ) Weighted average of Norwegian crude oil and gas exports Sources: Statistics Norway,Thomson Reuters and Norges Bank

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

40 Chart. Commodity prices. USD. Index, January =. January December 7 Aluminium Copper Wheat Cotton Futures prices Sources: CME Group and Thomson Reuters

41 Chart. CPI, CPI-ATE ) and CPIXE ). -month change. Per cent. January 9 December ) 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 7/8 and /9 ) Projections for March December (broken lines). Monthly figures to June, then quarterly figures Sources: Statistics Norway and Norges Bank

42 Chart. CPI-ATE ). Total and by supplier sector. -month change. Per cent. January 9 December ) CPI-ATE Imported consumer goods Domestically produced goods and services³) ) CPI adjusted for tax changes and excluding energy products ) Projections for March December (broken lines). Monthly figures to June, then quarterly figures ) Norges Bank's estimates Sources: Statistics Norway and Norges Bank

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

44 Chart. Expected change in retail prices next months. Diffusion index. ) Q Q 8 7 Norges Bank's regional network, household sector Opinion Perduco ) Share that expects higher price growth + (.*share that expects unchanged price growth) Sources: Opinion Perduco and Norges Bank

45 Chart. CPI-ATE ). Actual figures, baseline scenario and projections from SAM ) with fan chart. Four-quarter change. Per cent. Q Q ) MPR / SAM CPI-ATE % % 7% 9% Mar- Sep- Mar- Sep- ) CPI adjusted for tax changes and excluding energy products ) System for averaging models ) Projections for Q Q (broken lines) Sources: Statistics Norway and Norges Bank

46 Chart. GDP mainland Norway ) and Norges Bank's regional network's indicator of change in production past three months and expected change in production next six months. Per cent. Q Q ) Regional network Mainland GDP growth ) Seasonally adjusted quarterly change. Volume ) Latest observation in the regional network is February. Latest GDP observation is Q, projections for Q Q (broken line) Sources: Statistics Norway and Norges Bank -

47 Chart.7 Terms of trade. Index. Q =. Q Q Mainland Norway Total Sources: Statistics Norway and Norges Bank

48 Chart.8 GDP mainland Norway. Actual figures, baseline scenario and projections from SAM ) with fan chart. Four-quarter change. Volume. Seasonally adjusted. Per cent. Q Q ) 7 % % 7% 9% 7 MPR / SAM Mainland GDP Mar- Sep- Mar- Sep- Mar- Sep- ) System for averaging models ) Projections for Q Q (broken lines) Sources: Statistics Norway and Norges Bank

49 Chart.9 Capacity constraints and labour supply ) reported by the regional network and estimated output gap. Per cent. 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

50 Chart. Productivity in mainland Norway. GDP per hour. Index Q =. Q Q ) 9 Productivity Trend ²) ) Projections for ) The trend is based on a long-term historical average (97 ) Sources: Statistics Norway and Norges Bank 9

51 Chart. Exports from mainland Norway. Constant 9 prices. In billions of NOK. 99 ) Services Traditional goods ) Projections for Sources: Statistics Norway and Norges Bank

52 Chart. Household consumption ) and real disposable income ). Annual change. Per cent. ) 8 8 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

53 Chart. Household saving and net lending as a share of disposable income. Per cent. 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

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

55 Chart. Planned growth in investment for next months compared with past months. Index. ) October February Manufacturing Retail trade Services ) 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 Source: Norges Bank

56 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

57 Chart.7 Employment ) and Norges Bank's regional network's indicator of change in employment and expected change in employment next three months. Per cent. Q Q ) Regional network Employment growth ) Seasonally adjusted quarterly change in Quarterly National Accounts ) Latest observation in the regional network is February. Latest observation in the Quarterly National Accounts is Q, projections for Q Q (broken line) Sources: Statistics Norway and Norges Bank -

58 Chart.8 Population growth, net migration and excess of births. Sum of four previous quarters. In s of persons. Q Q ) 8 7 Net migration Excess of births Population growth ) Projections for Q - Q Sources: Statistics Norway and Norges Bank

59 Chart.9 Registered unemployment. Percentage of labour force. Seasonally adjusted. Q Q ) ) Projections for Q Q (broken line) Sources: Norwegian Labour and Welfare Administration, Statistics Norway and Norges Bank

60 Chart. Structural non-oil deficit and expected real return on the Government Pension Fund Global. Constant prices. In billions of NOK. ) 8 8 Structural, non-oil deficit Expected real return ) Projections for Sources: Ministry of Finance and Norges Bank

61 Chart. Petroleum investment. Constant 9 prices. In billions of NOK. 99 ) ) Projections for Sources: Statistics Norway and Norges Bank 7 7

62 Chart Outlook in production in the Regional network and TNS Gallup indicator for households. January - December - Regional network, left-hand scale TNS Gallup, right-hand scale Sources: TNS Gallup and Norges Bank

63 Chart Projections for GDP mainland Norway. Annual change. Volume. Per cent. October December Max and min others¹) ) Norges Bank Average others Actual change SAM Oct- Jan- Apr- Jul- Oct- ) Based on the institutions surveyed by Consensus Forecast Sources: Statistics Norway, Consensus Forecasts and Norges Bank

64 Chart Projections for CPI-ATE. Annual change. Per cent. October December... Max and min others¹) Norges Bank. SAM Actual change Average others Oct- Jan- Apr- Jul- Oct- ) Projections from fra DnB, Handelsbanken, Ministry of Finance, Nordea, SEB and Statistics Norway Sources: Statistics Norway, reports from the different institutions and Norges Bank