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The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway

Olsen, Helene; Wieslander, Harald
Working paper
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URI
https://hdl.handle.net/11250/2647912
Date
2020-03
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [98]
Abstract
We search for leading determinants of financial instability in Norway using a signaling approach, and examine how these respond to a monetary policy shock with the use of structural VAR models. We find that the wholesale funding ratio and gap, credit-to-GDP gap, house price-to-income ratio and gap, and credit growth provide good signals of future financial instability. Following a contractionary monetary policy shock, the credit-to-GDP gap and house price-to-income ratio decrease significantly. The implication of our findings is that the central bank can respond to an increase in these indicators by increasing the interest rate, which in turn will decrease the indicators and thereby the probability of financial distress.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;02/2020

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