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11	The earth trembles before cryptocurrencies; but how does a blokchain-based smart money platform perform? Isaac, Andreas, Kakavandy, Shahow January 2018 (has links) The Swedish central bank has in 2018 launched an investigation into what a digital e-currency in Sweden would look like. Tendermint is being investigated for a potential implementation. Tendermint is a blockchain building environment which has its own consensus-algorithm, and its own solution to the Byzantine general's problem. The most relevant part is the scalability and reliability of Tendermint. To do this we tested out the software by sending transactions between our computers, and recorded its performance in the case of one node and two nodes. After a series of simulations, we then come to the conclusion that indeed Tendermint is a suitable software for a potential e-krona. Blockchain blockchain technology block chain cryptocurrencies cryptocurrency Bitcoin Tendermint e-krona Riksbank Riksbanken central bank Visigon Blockchain blockkedjeteknologi blockkedjor kryptovalutor kryptovaluta Bitcoin Tendermint e-krona Riksbank Riksbanken Visigon Engineering and Technology Teknik och teknologier
12	Where There’s Smoke, There’s Fire : An Analysis of the Riksbank’s Interest Setting Policy Lahlou, Mehdi, Sandstedt, Sebastian January 2017 (has links) We analyse the Swedish central bank, the Riksbank’s, interest setting policy in a Taylor rule framework. In particular, we examine whether or not the Riksbank has reacted to fluctuations in asset prices during the period 1995:Q1 to 2016:Q2. This is done by estimating a forward-looking Taylor rule with interest rate smoothing, augmented with stock prices, house prices and the real exchange rate, using IV GMM. In general, we find that the Riksbank’s interest setting policy is well described by a forward-looking Taylor rule with interest rate smoothing and that the use of factors as instruments, derived from a PCA, serves to alleviate the weak-identification problem that tend to plague GMM. Moreover, apart from finding evidence that the Riksbank exhibit a substantial degree of policy rate inertia and has acted so as to stabilize inflation and the real economy, we also find evidence that the Riksbank has been reacting to fluctuations in stock prices, house prices, and the real exchange rate. Riksbank Taylor Rule Asset Prices Principal Component Analysis (PCA) Factor GMM Economics Nationalekonomi
13	Measuring the information content of Riksbank meeting minutes Fröjd, Sofia January 2019 (has links) As the amount of information available on the internet has increased sharply in the last years, methods for measuring and comparing text-based information is gaining popularity on financial markets. Text mining and natural language processing has become an important tool for classifying large collections of texts or documents. One field of applications is topic modelling of the minutes from central banks' monetary policy meetings, which tend to be about topics such as"inflation", "economic growth" and "rates". The central bank of Sweden is the Riksbank, which hold 6 annual monetary policy meetings where the members of the Executive Board decide on the new repo rate. Two weeks later, the minutes of the meeting is published and information regarding the future monetary policy is given to the market in the form of text. This information has before release been unknown to the market, thus having the potential to be market-sensitive. Using Latent Dirichlet Allocation (LDA), an algorithm used for uncovering latent topics in documents, the topics in the meeting minutes should be possible to identify and quantify. In this project, 8 topics were found regarding, among other, inflation, rates, household debt and economic development. An important factor in analysis of central bank communication is the underlying tone in the discussions. It is common to classify central bankers as hawkish or dovish. Hawkish members of the board tend to favour tightening monetary policy and rate hikes, while more dovish members advocate a more expansive monetary policy and rate cuts. Thus, analysing the tone of the minutes can give an indication of future moves of the monetary policy rate. The purpose of this project is to provide a fast method for analysing the minutes from the Riksbank monetary policy meetings. The project is divided into two parts. First, a LDA model was trained to identify the topics in the minutes, which was then used to compare the content of two consecutive meeting minutes. Next, the sentiment was measured as a degree of hawkishness or dovishness. This was done by categorising each sentence in terms of their content, and then counting words with hawkish or dovish sentiment. The resulting net score gives larger values to more hawkish minutes and was shown to follow the repo rate path well. At the time of the release of the minutes, the new repo rate is already known, but the net score does gives an indication of the stance of the board. Latent Dirichlet Allocation Natual Language Processing Central Bank communication Hawk-o-meter Riksbank Other Physics Topics Annan fysik
14	Is Swedish monetary policy current or forward-looking? : A study using Taylor rules to explain the setting of the repo rate Veskoukis, Andreas, Willman, Anna January 2019 (has links) The purpose of this paper is to examine how a current-looking Taylor rule explains the setting of the repo rate by the Riksbank between 1995-2018 vis-à-vis a forward-looking Taylor rule. Furthermore, we investigate whether the explanatory power of these rules change after the financial crisis. The implied Taylor rates are calculated using our own estimates of the natural rate of interest. These rates are then plotted on a graph creating a span of uncertainty in which the repo rate can be set between. Finally, we regress the repo rate on the Taylor rates. In this way, we examine which rule is more in line with the repo rate. The results showed that a forward-looking Taylor rule based on a varying real interest rate is more in line with the repo rate than the current-looking rule, both for the period as a whole and after 2008. The explanatory power of both rules decreases in the period following 2008. Taylor rule repo rate inflation expected inflation output gap natural rate of interest monetary policy Swedish Riksbank Economics Nationalekonomi
15	Swedish Breakeven Inflation (BEI) - a market based measure of inflation expectations? Calmvik, Jonas January 2008 (has links) <p>The Fisher Equation suggests that the spread between nominal and real interest rates is equal to the inflation expectations. In Sweden, where both nominal and inflation linked bonds exist the fisher equation implies that the yield spread could provide investors and policymakers with important information about markets inflation expectations. The aim of this thesis is therefore to estimate whether the yield spread between Swedish nominal and real interest rates - widely referred to as the Breakeven Inflation (BEI) - is a market based measure of inflation expectations. A sample based on historical bond prices between year 2000 and 2007 is used and adjusted for 3 distortions: i) The mismatch in cash flow structure arising from different bond characteristics. ii) The inflation indexation and bond finance implications (carry). iii) The seasonality in Consumer Price Index (CPI). In the absence of “true” inflation expectations, the benchmark used for the evaluation and comparison of the unadjusted and adjusted BEI series is the survey based, Prospera Money Market Players inflationary expectations, i.e. professional forecasters. The evaluation uses two statistical measures to estimate the errors, the Root Mean Squared Error (RMSE) to estimate the size of the forecast error and the Mean Error (ME) to measure the bias or the tendency for the forecast error to point in a particular direction. The general conclusion of the study is that both the unadjusted and the adjusted BEI series have improved significantly throughout the sample period as predictors of inflation expectations.</p><p>Further, in the first half of the sample, the MEs show that the BEI tends to underestimate inflation expectations, while in the second part of the sample the direction of the errors are less univocal. However, the carry adjusted and in some extent the carry and seasonality adjusted BEI seem to improve the BEI somewhat, although the conclusions are not very convincing. When using BEI to measure inflation expectations the conclusions should also be balanced against the possible bias associated with survey based expectations.</p> Inflation-Linked Bonds Index Linked Swedish Bonds Carry CPI Seasonality Sveriges Riksbank SNDO Prospera Inflation Expectations Economics Nationalekonomi
16	Swedish Breakeven Inflation (BEI) - a market based measure of inflation expectations? Calmvik, Jonas January 2008 (has links) The Fisher Equation suggests that the spread between nominal and real interest rates is equal to the inflation expectations. In Sweden, where both nominal and inflation linked bonds exist the fisher equation implies that the yield spread could provide investors and policymakers with important information about markets inflation expectations. The aim of this thesis is therefore to estimate whether the yield spread between Swedish nominal and real interest rates - widely referred to as the Breakeven Inflation (BEI) - is a market based measure of inflation expectations. A sample based on historical bond prices between year 2000 and 2007 is used and adjusted for 3 distortions: i) The mismatch in cash flow structure arising from different bond characteristics. ii) The inflation indexation and bond finance implications (carry). iii) The seasonality in Consumer Price Index (CPI). In the absence of “true” inflation expectations, the benchmark used for the evaluation and comparison of the unadjusted and adjusted BEI series is the survey based, Prospera Money Market Players inflationary expectations, i.e. professional forecasters. The evaluation uses two statistical measures to estimate the errors, the Root Mean Squared Error (RMSE) to estimate the size of the forecast error and the Mean Error (ME) to measure the bias or the tendency for the forecast error to point in a particular direction. The general conclusion of the study is that both the unadjusted and the adjusted BEI series have improved significantly throughout the sample period as predictors of inflation expectations. Further, in the first half of the sample, the MEs show that the BEI tends to underestimate inflation expectations, while in the second part of the sample the direction of the errors are less univocal. However, the carry adjusted and in some extent the carry and seasonality adjusted BEI seem to improve the BEI somewhat, although the conclusions are not very convincing. When using BEI to measure inflation expectations the conclusions should also be balanced against the possible bias associated with survey based expectations. Inflation-Linked Bonds Index Linked Swedish Bonds Carry CPI Seasonality Sveriges Riksbank SNDO Prospera Inflation Expectations Economics Nationalekonomi
17	Swedish banks' perception of Riksbank's Unconventional Monetary Policies Malalatunge, Stefan, Oketch, Avril January 2015 (has links) This study is among the first to provide insight into the assessment of the Swedish central bank’s (Riksbank) three unconventional monetary policies (UMPs) and their influence on Swedish commercial banks. The three UMPs include forward guidance (FG), quantitative easing (QE) and negative interest rate policy (repo rate). Riksbank introduced the UMPs in order to revive inflation and support Sweden’s economic recovery. The banks’ ability to certainly forecast their operations is highly dependent on the communication availed by the Riksbank on its expected future monetary policies through FG. QE is paramount because this is when commercial banks sell government bonds to the Riksbank. Repo rate determines interest rates set by banks. Four indicators (uncertainty, government bond yields, bank interest rates, borrowing and lending) were used in this study to investigate the perception of the commercial banks on the three UMPs. There are limited studies on Swedish banks’ perception of the UMPs which leaves a research gap in this area.Previous studies indicate that dominant banks in terms of asset shares and deposits are more sensitive to monetary policy shocks. The four dominant commercial banks studied include: Nordea, Handelsbanken, Swedbank and Skandinaviska Enskilda Banken. This thesis considers the evidence of the results from previous empirical studies. Empirical material for this study was collected through semi-structured interviews from respondents by the Riksbank and the four commercial banks. A deductive approach was used to interpret the information collected.Our results presents various perceptions of the dominant commercial banks on the three UMPs in relation to the four indicators. Some commercial banks perceived the increased transparency and clarity during the increased FG to have reduced their uncertainty. Other banks perceived that FG had increased their uncertainty. They questioned the credibility of the FG since they could not predict Riksbank’s monetary policies with the FG availed. In regards to the perception of QE on uncertainty, an increased signalling channel during QE implementation had resulted in a decline of their uncertainty since they were experiencing a surplus of liquidity in the banking sector. However, they stated other factors that increased market volatility during QE. The increased market volatility during QE increased their uncertainty. The four commercial banks agreed that the demand for government bonds increased while the yields of the government bonds declined. They perceived these changes to have been influenced by QE. The commercial banks’ lending, deposit and interbank interest rates have declined systematically correlating the trend of the declining repo rate. The four banks experienced a decline in their average net interest income, an improved flow of credit through higher lending volumes and stable lending margins to households and firms. Commercial banks perceived these changes to have resulted from the declining market interest rates because of the negative repo rate.Riksbank can use this study to assess the effectiveness of its UMPs on commercial banks based on the perception of the employees from these respective banks. This study discusses implications of the findings for commercial banks and the Riksbank, as well as academics in the realm of implementations and influences of UMPs. Swedish commercial bank Riksbank perception UMP FG QE repo rate uncertainty government bond yields borrowing lending interest rate
18	Topic classification of Monetary Policy Minutes from the Swedish Central Bank / Ämnesklassificering av Riksbankens penningpolitiska mötesprotokoll Cedervall, Andreas, Jansson, Daniel January 2018 (has links) Over the last couple of years, Machine Learning has seen a very high increase in usage. Many previously manual tasks are becoming automated and it stands to reason that this development will continue in an incredible pace. This paper builds on the work in Topic Classification and attempts to provide a baseline on how to analyse the Swedish Central Bank Minutes and gather information using both Latent Dirichlet Allocation and a simple Neural Networks. Topic Classification is done on Monetary Policy Minutes from 2004 to 2018 to find how the distributions of topics change over time. The results are compared to empirical evidence that would confirm trends. Finally a business perspective of the work is analysed to reveal what the benefits of implementing this type of technique could be. The results of these methods are compared and they differ. Specifically the Neural Network shows larger changes in topic distributions than the Latent Dirichlet Allocation. The neural network also proved to yield more trends that correlated with other observations such as the start of bond purchasing by the Swedish Central Bank. Thus, our results indicate that a Neural Network would perform better than the Latent Dirichlet Allocation when analyzing Swedish Monetary Policy Minutes. / Under de senaste åren har artificiell intelligens och maskininlärning fått mycket uppmärksamhet och växt otroligt. Tidigare manuella arbeten blir nu automatiserade och mycket tyder på att utvecklingen kommer att fortsätta i en hög takt. Detta arbete bygger vidare på arbeten inom topic modeling (ämnesklassifikation) och applicera detta i ett tidigare outforskat område, riksbanksprotokoll. Latent Dirichlet Allocation och Neural Network används för att undersöka huruvida fördelningen av diskussionspunkter (topics) förändras över tid. Slutligen presenteras en teoretisk diskussion av det potentiella affärsvärdet i att implementera en liknande metod. Resultaten för de olika modellerna uppvisar stora skillnader över tid. Medan Latent Dirichlet Allocation inte finner några större trender i diskussionspunkter visar Neural Network på större förändringar över tid. De senare stämmer dessutom väl överens med andra observationer såsom påbörjandet av obligationsköp. Därav indikerar resultaten att Neural Network är en mer lämplig metod för analys av riksbankens mötesprotokoll. Machine Learning Latent Dirichlet Allocation Neural Network Central Bank Riksbank Topic Modeling Monetary Policy Minutes Computer and Information Sciences Data- och informationsvetenskap
19	Cash is [no longer] king: is an e-krona the answer? : - a de lege ferenda investigation of the Swedish Riksbank's issuing mandate and other legal callenges in relation to economic effects on the payment market Imamovic, Arnela January 2019 (has links) For the past decades, the Swedish public’s payment habits have changed, where the majority of the public has abandoned the old way of making payments, using cash, and instead opted for more modern payment solutions, digital money. The difference between cash and digital money is that cash is physical and only issued by the Riksbank, whereas digital money is created by and stored on accounts at commercial banks. The question of what role the state should have on the payment market is an important point of discussion. But it is not categorically a new question; the Swedish government is tackling essentially the same problem today as it has been doing many times before. Today’s problem is to some extent however manifested in a different way. During the 20th century, discussions were held whether or not the Riksbank should have the exclusive right to issue banknotes. It was considered unnecessary, inappropriate and dangerous. The idea that the Riksbank could cover the entire economy’s need for banknotes was, according to the commercial banks, unreasonable. Nonetheless, in 1904 the exclusive right became fait accompli; the government intervened and gave the Riksbank the banknote monopoly. We are now finding ourselves facing a similar situation, where there is a difference of opinion regarding the Riksbank’s role on the payment market. It is therefore nothing new, but rather an expected task for the government, and thus the central bank, to analyze major changes and draw conclusions from them. The problem is essentially about cash being phased out by digital means of payment. In order to therefore solve the problem, the Riksbank has started a project to investigate whether or not the Riksbank should issue digital cash to the Swedish public, what the Riksbank calls an e-krona. To introduce an e-krona would be a major step, but for the public to not have access to a government alternative, seeing as cash usage is declining, is also a major step. No decision has been made yet regarding whether the e-krona will be introduced on the market or not. A decision that however has been made, is that the Riksbank is now working on building an e-krona to develop and assess the technique. Nonetheless, an introduction would undoubtedly have consequences for both the Riksbank and the commercial banks, which ultimately means it would have effects on the economy as a whole. What about regulatory aspects; is the Riksbank even allowed to issue an e-krona under current legislation? The answer is affirmative, to a certain extent. There are furthermore many other uncertainties regarding how an e-krona would affect the economy; the Riksbank does not fully answer many of the system issues in its project reports. The question of whether or not it even is up to the Riksbank to make a decision on the matter of an introduction is also questioned by the author in the thesis. E-crown e-crown project central bank digital currency money cash banknotes and coins physical money tangibles currency legal tender the Swedish Riksbank Act commercial bank money digital money the Swedish Riksbank central bank commercial bank bank banking law law jurisprudence monetary policy safe and efficient payment system cash-provision economy the payment system digitalization development of society fractional reserve banking bank run zero lower bound E-krona e-kronaprojekt digital centralbankspeng pengar kontanter sedlar och mynt fysiska pengar valuta lagliga betalningsmedel affärsbankspengar digitala pengar Riksbanken centralbank affärsbank bank bankrätt juridik Lag (1988:1385) om Sveriges riksbank penningpolitik säkert och effektivt betalningsväsende kontantförsörjning ekonomi betalningssystemet digitalisering samhällsutveckling fractional reserve banking bankrusning zero lower bound Law and Society Juridik och samhälle

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