challenge

Dávid Németh

chief economist

20. October 2016.

1

range of 3-month sovereign yields (between 2005 and 2013 and in 2016)

-3

0

3

6

9

12

15

18

21

Jam

aic

a

Turk

ey

Bra

zil

Gre

ece

Vene

zu

ela

Indon

esia

Ro

man

ia

South

Afr

ica

Co

lom

bia

Hu

nga

ry

Me

xic

o

Port

ug

al

India

Le

ban

on

Ne

w Z

eala

nd

Ru

ssia

Lithu

ania

Phili

ppin

es

Austr

alia

Bulg

aria

Pola

nd

Cro

atia

Un

ite

d K

ing

dom

Peru

No

rwa

y

Isra

el

South

Kore

a

Un

ite

d S

tate

s

Tha

iland

Austr

ia

Ire

land

Slo

vakia

De

nm

ark

Ca

nad

a

Fin

land

Ne

therl

and

s

Ita

ly

Spain

Belg

ium

Fra

nce

Germ

any

Sw

ede

n

Czech R

epu

blic

Ho

ng K

on

g

Ch

ina

Sin

gapo

re

Sw

itzerl

and

Japa

n

interest rate range median boundary for "low" interest rate (1.25%) YTD2016

global real rates (%)

source: Barclays and IMF estimation

emerging economies’ sovereign

credit spread

source: J.P. Morgan

average real treasury-bill rates

source: Reinhart and Sbrancia (2014)

estimates of US short-term and

long-run world real interest rate

source: Hamilton et al. (2015)

300 years of UK nominal and

long-term yields

source: Bank of England Historical database

savings and investment shares

(% of GDP)

source: IMF

18

20

22

24

26

28

30

32

34

world investment world savings AE investment

AE savings EME investment EME savings

population development (middle=40-64 years; old=65+ years)

source: United Nation

demographic pressure on savings

source: United Nation, IMF

still on the save side in Hungary

forrás: MNB

0

2

4

6

8

10

12

40

50

60

70

80

90

100

1102

00

7

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

A r

end

elke

zésr

e ál

ló jö

ved

elem

ar

ányá

ban

(%

)

A G

DP

ará

nyá

ban

(%

)

Nettó pénzügyi megtakarítás (jobb tengely) Nettó pénzügyi vagyon

in r

atio o

f G

DP

(%

)

in r

atio o

f dis

posable

incom

e (

%)

net financial savings (rhs) net financial savings stock

relative consumption in EU

Belgium

Bulgaria

Czech Republic

Denmark

Germany

Estonia

IrelandGreece Spain

France

Croatia

ItalyCyprus

Latvia

Lithuania

Hungary

Malta

Netherlands

Austria

PolandPortugal

Romania

SloveniaSlovakia

FinlandSweden

UK

40

50

60

70

80

90

100

110

120

130

140

40 50 60 70 80 90 100 110 120 130 140

pe

rso

nal

co

nsu

mp

tio

n p

er

cap

ita

(PP

S, E

U=1

00

)

GDP per capita (PPS, EU=100)

lack of investment in Hungary

-15

-10

-5

0

5

10

15

20

25

30

-15

-10

-5

0

5

10

15

20

25

30

2010 2011 2012 2013 2014 2015 2016

Vállalatok Szűk állam Kvázifiskális szektor Lakosság Beruházások (%)

százalékpont százalékpont

corporate close state quasi fiscal sector household investment (%)

C/A surpluses to the world GDP

source: IMF

banks’ balance sheet

composition

0

20

40

60

80

100

120

140

loans overdeposits

loans over assets leverage ratio deposits overliabilities

securities overassets

low environment high environment

banks' NIM and profitability

0

0,5

1

1,5

2

2,5

3

3,5

4

net interest margin return on assets

low environment high environment

effect of 1ppt decrease in 3-

month yield, (bp)

-70

-60

-50

-40

-30

-20

-10

0

net interest margin interest income margin interest expense margin

low environment high environment

effect of 1ppt decrease in 3-month

yield (by duration, bp)

-100

-90

-80

-70

-60

-50

-40

-30

-20

-10

0

short maturity long maturity short maturity long maturity

interest income margin interest expense margin

low environment high environment

change in NIM in a low rate

environment

-7

-6

-5

-4

-3

-2

-1

0

t=1 t=2 t=3 t=4

tier 1 capital ratio (%)

source: IMF

24

the competitive landscape is changing

$ 20bn Estimated FinTech

investments 2015

source: McKinsey and Banking Reports

global financial stability map

source: IMF

credit overhang to GDP over

long-term trend (China, %pt)

shadow assets as a share of

capital buffers (China, %)

strength of investors protection (higher value…stronger protection)

A

U

property rights (higher value…stronger protection)

efficiency of legal framework in

challenging regulations (higher…greater)

central banks’ bond holdings

(in 2016, %)

source: Citibank

sovereign yield spreads (10-year to 1-year spread, bp)

source: Bloomberg

global bond portfolio duration

source: Barclays Capital, Bloomberg

government debt breakdown (foreign currency & local currency debt by nonresidents)

overvalued financial assets

is next crisis knocking on the door? (bankruptcy among non-investment bonds)

forrás: Morgan Stanley, Moody’s, Citi, NBER

balance sheet of NBH

preferential deposit O/N depo obligatory reserve 3-month depo 2-week depo