executive board meeting - norges bank the eu stress test, ... broken lines show estimated forward ra...
TRANSCRIPT
Executive Board Meeting
11August 2010
3-month growth
2002 2006 2010-15
-10
-5
0
5
10
-15
-10
-5
0
5
10
World trade
Manufacturing output
Index
2
80
100
120
140
160
180
80
100
120
140
160
180
2002 2006 2010
World trade
Manufacturing output
Source: CPB Netherlands Bureau for Economic Policy Analysis
World trade and global manufacturing output 3-month moving average. Volume. Seasonally adjusted. Per cent. January 2002 – May 2010
Global manufacturing output and demand Index. January 2000 – May 2010. Average = 100
3
Source: JP Morgan
Macro pulse index Actual key figures compared to expectations. Weekly figures. 1 January 2005 – 6 August 2010
4
Sources: Westpac and Bloomberg
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
2005 2006 2007 2008 2009 2010
US Europe
GDP – BRIC countries Four-quarter change. Per cent. 2000 Q1 – 2010 Q2
-15
-10
-5
0
5
10
15
-15
-10
-5
0
5
10
15
2000 2002 2004 2006 2008 2010
Brazil China
India Russia
5
Source: Thomson Reuters
Growth projections for 2010 Investment banks at different points in time
Euro area
0.0
0.5
1.0
1.5
2.0
0.0
0.5
1.0
1.5
2.0
April May June July
JP Morgan
Goldman Sachs
Morgan Stanley
US
0.0
1.0
2.0
3.0
4.0
0.0
1.0
2.0
3.0
4.0
April May June July
JP Morgan
Goldman Sachs
Morgan Stanley
6
Source: Consensus Economics
Growth projections for 2011 Investment banks at different points in time
Euro area
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.5
1.0
1.5
2.0
2.5
April May June July
JP Morgan
Goldman Sachs
Morgan Stanley
US
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
April May June July
JP Morgan
Goldman Sachs
Morgan Stanley
7
Source: Consensus Economics
0
3
6
9
12
15
18
21
0
3
6
9
12
15
18
21
2000 2002 2004 2006 2008 2010
US
UK
Euro area
Spain 1)
8
Source: Thomson Reuters
Labour market Percentage of labour force. Seasonally adjusted. January 2000 – July 2010
0
2
4
6
8
10
12
14
0
2
4
6
8
10
12
14
2000 2002 2004 2006 2008 2010
USUKSpain 1)
Unemployment Long-term unemployment
1) Not seasonally adjusted
Gross public debt* General government fiscal balance*
Tightening * in 2010 and 2011
Greece 115.1 -13.6 11.5
Portugal 76.8 -9.4 3.3
Spain 53.2 -11.2 5.0
Italy 115.8 -5.3 1.7
Ireland 64.0 -14.3 2.1
France 77.6 -7.5 5.2 (2010-2013)
Germany 73.2 -3.3 1 (2011-2014)
EMU 78.7 -6.3
US 83.2 -11.0
UK (fiscal year 2008/2009)
71.4 -12.3 Approx. 8 (over the period to end-2014/2015)
Denmark 41.6 -2.7 1.5 (2013)
*) In percentage of GDP in 2009
Fiscal tightening in OECD countries
Sources: Eurostat, OECD, national finance ministries and Financial Times
9
Stress test scenarios Difference in GDP growth between the baseline scenario and the stress scenario in the EU stress test, the US stress test and Norges Bank’s stress test from Financial Stability Report 1/2010. Percentage points
10
-5
-4
-3
-2
-1
0
1
2
3
4
-5
-4
-3
-2
-1
0
1
2
3
4
Year 1 Year 2 Year 3 Year 4 Year 5
US EU27 Mainland Norway
Sources: CEBS, Federal Reserve and Norges Bank
Yield spreads against German 10-year government bonds Percentage points.1 January 2007 – 9 August 2010
11
Source: Bloomberg
0
2
4
6
8
10
0
2
4
6
8
10
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10
Portugal
Spain
Italy
Ireland
Greece
12
International stock prices Total yield. Index. 2 January 2007 = 100. 2 January 2007 – 9 August 2010
Source: Thomson Reuters
0
20
40
60
80
100
120
140
160
0
20
40
60
80
100
120
140
160
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10
Europe Stoxx Japan TopixNorway OSEBXUS S&P 500Emerging economies MSCI
Prices for Norwegian oil, gas and petroleum exports USD/barrel. February 1999 – June 2010
0
20
40
60
80
100
120
140
160
0
20
40
60
80
100
120
140
160
1999 2001 2003 2005 2007 2009
Oil price
Petroleum price 1)
Gas price
13
Sources: Thomson Reuters, Statistics Norway and Norges Bank 1) Weighted average of Norwegian crude oil and gas export prices
Industrial metal prices USD. Index. 2 January 2002 = 100. January 2002 – August 2010 Forward rates September 2010 – March 2013
14
Sources: Thomson Reuters and Norges Bank
MPR 2/10 9 August 2010
0
100
200
300
400
500
600
700
0
100
200
300
400
500
600
700
2002 2004 2006 2008 2010 2012
Aluminium
Copper
Outstanding loans from the European Central Bank In billions of EUR. 1 January 2010 – 9 August 2010
15
Source: Bloomberg
400
500
600
700
800
900
1000
400
500
600
700
800
900
1000
Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10
Key rates and estimated forward rates as at 23 June 2010 and 9 August 20101)
Per cent. 1 January 2007 – 31 December 20132)
Sources: Bloomberg and Norges Bank
16
1) Broken lines show estimated forward rates as at 23 June 2010. Thin lines show forward rates as at 9 August 2010. Forward rates are based on Overnight Indexed Swap (OIS) interest rates
2) Daily figures from 1 January 2007 and quarterly figures as at 9 August 2010
0
1
2
3
4
5
6
7
0
1
2
3
4
5
6
7
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13
US Euro area UK
MPR 2/10 9 August 2010
80
85
90
95
100
105
110
80
85
90
95
100
105
110
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10
MPR 2/10 MPR 1/10
Import-weighted exchange rate (I-44) 1 January 2007 – 9 August 2010
Source: Norges Bank
Lehman Brothers
Projection MPR 2/10
17
Difference between 3-month money market rate and key rate expectations in the market1) Percentage points. 5-day moving average. 4 January 2007 – 9 August 2010
Sources: Bloomberg, Thomson Reuters and Norges Bank
18
1) Expected key rates are derived from Overnight Indexed Swap (OIS) rates. Norges Bank’ projections for market key rate expectations are used for Norway
0
1
2
3
4
0
1
2
3
4
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10
US Norway Trading partners Euro area
Key policy rate, money market rate1),weighted bank lending rates on new loans2) and average lending rates to enterprises3) Percentage points. 1 June 2007 – 9 August 2010
0
1
2
3
4
5
6
7
8
9
0
1
2
3
4
5
6
7
8
9
Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10
Money market rate
Key policy rate
Bank lending rates (new residential mortgages)
Average lending rate to enterprises
1) 3-month NIBOR (effective) 2) Interest rate on new residential mortgages of NOK 1m within 60% of purchase price with
variable interest rate. Figures for the 20 largest banks, weighted according to market share 3) Non-financial corporations. 2007 Q2 – 2010 Q1 Sources: Norsk familieøkonomi, Statistics Norway and Norges Bank
19
Changes in banks’ credit standards 2009 Q2 –2010 Q3
Source: Norges Bank
-50
-40
-30
-20
-10
0
10
20
30
40
50
-50
-40
-30
-20
-10
0
10
20
30
40
50
Q2 09 Q3 09 Q4 09 Q1 10 Q2 10 Q3 10 Q2 09 Q3 09 Q4 09 Q1 10 Q2 10 Q3 10
Actual credit standards
Projected credit standards
Non-financial corporations Households
20
Exports and imports of traditional goods Seasonally adjusted volume index. 2000 = 100. 2002 Q1 – 2010 Q2
90
100
110
120
130
140
150
160
170
90
100
110
120
130
140
150
160
170
2002 2004 2006 2008 2010
Exports excl. ships and platforms, crude oil and natural gas
Imports excl. ships and platforms
21
Source: Statistics Norway
Projections for mainland GDP Projections from SAM1) with fan chart from MPR 2/10 and SAM as at10 August 2010. Four-quarter change. Per cent
22
Sources: Statistics Norway and Norges Bank
-4
-2
0
2
4
6
8
-4
-2
0
2
4
6
8
Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11
SAM in MPR 2/10
Baseline scenario MPR 2/10
New SAM projection (10 August)
1) System for Averaging Models. For more information about SAM and the projections, see www.norges-bank.no
CPI, CPI-ATE1) and CPIXE2) Projections from MPR 2/10 (broken lines). 12-month change. Per cent. January 2007 – September 2010
Sources: Statistics Norway and Norges Bank
1) CPI adjusted for tax changes and excluding energy products 2) CPI adjusted for tax changes and excluding temporary changes in energy prices. Real time data. See Staff Memo 2008/1 and 2009/3 from Norges Bank for a description of the CPIXE
23
-1
0
1
2
3
4
5
6
-1
0
1
2
3
4
5
6
2007 2008 2009 2010
CPI CPI-ATE CPIXE
Projections for CPI-ATE1) Projections from SAM2) with fan chart from MPR 2/10 and SAM as at10 August 2010. Four-quarter change. Per cent
24
0
1
2
3
4
0
1
2
3
4
Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11
SAM in MPR 2/10
Baseline scenario MPR 2/10
New SAM projection (10 August)
1) CPI adjusted for tax changes and excluding energy products 2) System for Averaging Models. For more information about SAM and the projections, see www.norges-bank.no Sources: Statistics Norway and Norges Bank
Executive Board Meeting
11August 2010