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Chapter 2 Financial markets
Chapter 2 Financial markets Executive Board December 2003 150 1,5 140 1,4 130 1,3 120 1,2 110 100 90 80 1 0,9 140 1997 Daily figures 1,1...
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Chapter 2 Financial markets
Executive Board December 2003
150
1,5
140
1,4
130
1,3
120
1,2
110 100 90 80
1 0,9
140 1997
Daily figures
1,1
150
1996
2.1a Exchange rates against USD 1.4
0,8 1998
1999
2000
2001
2002
2003
1.3
130 120
1.5
1.2
JPY per USD (left-hand scale)
1.1
110 100
USD per euro (right-hand scale)
0.9
90 80 2000 Executive Board December 2003
1
0.8 2001
2002
2003 Source: EcoWin
1
130
130
120
120
110
110
100
100
90
90
80
2.1b Nominal effective exchange rates.
A rising value denotes an appreciating exchange rate. 3 January 2000 = 100. Daily figures
80
120
70 1996
70
1997
1998
1999
2000
2001
2002
EUR
2003
110
110
100
100 USD
90
80 2000
2002
15
12
12
9
9
6
6
3
3
9 8
92
2003 Sources: EcoWin, ECB and Norges Bank
15
-3
2.2a Three-month money market rates Nominal interest rates. Daily figures 9
0 -3 93
94
95
90
80 2001
Executive Board December 2003
0
120
96
97
98
99
00
01
02
8
03
7
7
6
NOK
5
5 GBP
4 3
EUR
1
USD
0
Executive Board December 2003
4 3
2
-1 2000
6
JPY
2001
2002
2 1 0 -1
2003 Source: Norges Bank
2
October-December 2003
2.2b Yields on 10-year government bonds. Redemption yield. Daily figures 8
5
5
4
4
3
8
2
7
US
2
7
1
6
3
6
0
1 0
01 06 11 16 21 26 31 05 10 15 20 25 30 05 10
5
5
Germany
4
4
3
3 Japan
2
2 1
1
0
0 2000
2001
2002
2003 Sources: Norges Bank and EcoWin
Executive Board December 2003
2.3 Movements of sub-indices on the Oslo Stock Exchange Daily figures. 2 January 2001 = 100
125
OSEBX
Energy
Industrials
Financials
125 ICT*
100
100
75
75
50
50 * The ICT index is calculated as the average of the IT and telecom indices.
25 2001 Executive Board December 2003
25 2002
2003 Source: EcoWin
3
2.4 Developments on international bourses. Daily figures 2 January 2001 = 100 125
125 Wilshire 5000,USA
FTSE 100,UK
DAX,Tyskland
Topix,Japan
100
100
75
75
50
50
25 2001
25 2002
2003 Source: EcoWin
Executive Board December 2003
2.5 Yield spreads between US corporate bonds and government bonds Daily figures. Percentage points
2.4
11 10
2.2 2
Investment grade (left-hand scale)
9
1.8
8
1.6
7
1.4
6 Speculative grade (right-hand scale)
1.2 1 Jan 02 Executive Board December 2003
5 4
May 02
Sep 02
Jan 03
May 03
Sep 03 Source: EcoWin
4
2.6 Yield spreads between government bonds from emerging economies and US government bonds. Daily figures. Percentage points 25
25
20
20 Brazil
15
15
Turkey
10
10
EMBI+
5
5 Asia
0
0 Jan 02
May 02
Sep 02
Jan 03
May 03
Sep 03 Sources: JP Morgan, EcoWin
Executive Board December 2003
2.7 Norges Bank's sight deposit rate and short-term money market rates. Nominal interest rates. Daily figures 9
9 1-week rate
8
8
7
7
6
10
10
8
Sight deposit rate
6
8
5
5
6
6
4
4
4
4
3-month rate 2 96
3
2 97
98
99
2 2001 Executive Board December 2003
00
01
02
3
03
2 2002
2003 Source: Norges Bank
5
6
6
4
4
2
2
0
0
4
-2 1996
2.8 Interest rate differentials NOK-EUR and NOK – main trading partners. 3-month nominal rates. Daily figures 4
-2 1997
1998
1999
2000
2001
2002
2003
3
3 NOK-EUR
2
2
1
1
0 2001
NOK-Main trading partners
2002
0
2003 Source: Norges Bank
Executive Board December 2003
2.9 Three-month forward rates FRA rates 4
4 16 September
24 October
3.5
3.5
3
10 December
2.5
3
2.5 Sep 03
Executive Board December 2003
Dec 03
Mar 04
Jun 04
Sep 04 Source: Norges Bank
6
2.12 Three-month FRA rates. 1 January 2003 -10 December 2003. Daily figures 6
6
5
5
March 2004 December 2003 June 2004
4
September 2004
3
2 Jan 03
4
3
2 Mar 03
May 03
Jul 03
Sep 03
Nov 03 Source: Norges Bank
Executive Board December 2003
2.11 Norges Bank's sight deposit rate, actual 3-month rates and FRA rates 8
8 3-month rate
7
7 Sight deposit rate
6
6 FRA rates:
5
24 Oct. 03
4
16 Sept. 03
3
5 4 3
10 Dec. 03
2 2000 Executive Board December 2003
2 2001
2002
2003
2004 Source: Norges Bank
7
2.12a Forward rates in Norway Implied short-term forward rates 6
6 23 October 2003
5
5 10 December 2003
4
4
3
3 16 September 2003
2
2
1
1
0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
0
Source: Norges Bank
Executive Board December 2003
2.12b Forward rates in Norway, the US and Germany 10 December 2003 7
7 US
6
6
Germany
5 4
5 Norway
4
3
3
2
2
1
1
0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
0
Executive Board December 2003
Source: Norges Bank
8
2.12c Differential between Norwegian and German forward rates 1,5
1,5
1
1 16 September 2003
0,5
23 October 2003
0,5
10 December 2003
0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
0
Source: Norges Bank
Executive Board December 2003
2.13a Differencial between Norwegian and German 10-year forward rates 1.5
1.5
1.2
1.2
0.9
0.9
0.6
0.6
0.3
0.3
0 2000 Executive Board December 2003
0 2001
2002
2003
Source: Norges Bank
9
2.13b Differential against German forward rates 10 years ahead 1.5
1.5 Norway
1.2
1.2 0.9
0.9 0.6
0.6
US
0.3
0.3
0
0 -0.3 2001
-0.3 2002
2003 Source: Norges Bank
Executive Board December 2003
2.14 Yields on Norwegian government bonds Redemption yield. Daily figures 7
7
6
6 10
10
10-year rate 8
5
6
6
4
5
8
4
4
2 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003
3 2001 Executive Board December 2003
5-year rate
4
2
3 2002
2003 Source: Norges Bank
10
2.15 Yield spreads. Government bonds 10-year maturity. Daily figures 2.5
2.5 NOK/USD
2
2
NOK/DEM
1.5
1.5
1
1
0.5
0.5
0
NOK/SEK
-0.5 2001
-0.5 2002
2003 Source: EcoWin
Executive Board December 2003
85
85
Monthly figures
90 95
90 95
100 105
0
2.16 Exchange rates Index. Daily figures
100
84
84
105
110
110
881997
115 1996
88
115 1998
92 96
1999
2000
2001
2002
2003
92
Import-weighted exchange rate, 44 countries (1995=100)
96
100
100
104 108 2001 Executive Board December 2003
Trade-weighted exchange rate (1990=100)
104 108
2002
2003 Source: Norges Bank
11
2.17 Krone exchange rate (TWI) and 3-month interest rate differential against other countries 5 4
90
3-month interest rate differential
TWI
95
3 100 2 105
1 0 2001
110 2002
2003 Source: Norges Bank
Executive Board December 2003
2.18 Nominal effective exchange rates Rising value denotes an appreciating currency 2 January 2001 = 100 120
Norway
Australia
New Zealand
Canada
120
110
110
100
100
90
90
80 2000 Executive Board December 2003
80 2001
2002
2003 Sources: Norges Bank and EcoWin
12
2.19 Implied volatility for NOK/EUR Annualised expected standard deviation. Per cent 11
11
10
10
9
9
9
7
9
7
5
5
3 1999
8
8
3
2000
2001
2002
2003
7
7
6
6
5
5
4 Jan 02
1 mo.
3 mo.
12 mo.
Jan 03
May 03
Sep 03
4 May 02
Sep 02
Source: EcoWin
Executive Board December 2003
2.20 Probability for the effective krone exchange rate Probability per 0.1 one month ahead point
3
24.10.03
2,5
09.12.03
2
NOK/EUR=50% NOK/USD=15% NOK/SEK=22% NOK/GBP=13%
1,5
16.09.03
1 0,5 0 90 Executive Board December 2003
95
100
105
110
115 Source: Norges Bank
13
2.21 Credit indicator (C2) 12-month growth. Per cent 10
10
8
8
16 12
16
6
8 4
8 4
4
0
4
0
-4 -8
6
12
-4
2 90
2
-8 91
92
93
94
0 Jan 02
95
96
97
Apr 02
98
99
00
01
02
03
Jul 02
Oct 02
Jan 03
Apr 03
Jul 03
0 Oct 03
Source: Norges Bank
Executive Board December 2003
Share of loan debt in October 2003
8
2.22 C2 by borrower sector
Households Non-fin. enterp. Municipalities
12-month growth. Per cent
34 58
20
20
15
Non-financial enterprises
Households
15
10
10
5
5 Municipalities
0 1998 Executive Board December 2003
0 1999
2000
2001
2002
2003
Sources: Statistics Norway and Norges Bank
14
2.23 Total credit (C3) (Domestic and foreign sources) 12-month growth. Per cent 10
10 8 18 15
C3 mainland Norway 18
6
9
C3
12
4
4
9
6 3
6
15
12
8
6 3
2
0 1997
2
0 1998
1999
2000
2001
2002
2003
0
0 Jan 02
Apr 02
Jul 02
Oct 02
Jan 03
Apr 03
Jul 03
Oct 03
Source: Norges Bank
Executive Board December 2003
16
16
2.24 Money supply (M2)
12
12
12-month growth. Per cent
8
8
12
4
124
10
0 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003
10
0
8
8
6
6
4
4
2
2
0 Jan 02 Executive Board December 2003
0 Apr 02
Jul 02
Oct 02
Jan 03
Apr 03
Jul 03
Oct 03
Source: Norges Bank
15
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