2013年-ECB欧洲央行_Euro_area_monetary_and_financial_statistics_-_2012_quality_report_33页_870kb

Summary of the Euro Area Monetary and Financial Statistics Quality Report 2012

Core Content

The European System of Central Banks (ESCB) continues to collect, compile, and disseminate monetary and financial statistics for the euro area and other ESCB member countries. These statistics are essential for monetary policy and financial stability, and are aligned with international standards and classifications. A detailed methodology manual was published in April 2012, providing a comprehensive guide to the statistical procedures used.

The report focuses on a subset of statistical products, highlighting quality aspects and recent improvements in data collection and reporting. It also updates the revision analysis for monetary aggregates, which is crucial for ensuring the reliability of first estimates in monetary policy decisions.

Main Initiatives Enhancing Data Quality (2011-2012)

1. New Definition of Money Market Funds (MMFs)

• A new definition for MMFs was introduced in August 2011, aligning the statistical and supervisory definitions.
• The change aimed to improve homogeneity and transparency in the MFI balance sheet statistics.
• The impact on the MMF sector was significant, reducing the total net asset value by €193.7 billion (18%) since July 2011.
• However, the effect on the M3 aggregate was minimal, with a reduction of about €69 billion (0.7% of M3 outstanding amounts in February 2012).
• A statistical adjustment was made to remove any residual distortion in the data.

2. Exclusion of MFI Repurchase Agreement (Repo) Transactions with Central Counterparties (CCPs)

• The statistical measurement of M3 and credit to the private sector was revised to exclude repo transactions with CCPs.

• This change was implemented in the September 2012 release and applied retroactively from June 2010.

• The exclusion aimed to align with international standards, as CCPs are classified under "other financial intermediaries" and thus part of the "money holding sector".

• However, MFIs are typically the ultimate borrowers and lenders in these transactions, so excluding them improved the interpretation of monetary figures.

• The revisions to outstanding amounts were calculated by subtracting CCP-related positions from the original data.

• The reclassification adjustment for June 2010 ensured that the data remained consistent despite the revision.

• The impact on M3 was a downward revision of €214 billion in June 2010, while the volatility of monthly flows was reduced by about 24%.

• The annual growth rate was minimally affected due to the short-term nature of CCP transactions.

External Consistency with Balance of Payments (b.o.p.) Statistics

• A quantitative comparison between MFI balance sheet statistics and b.o.p. data was introduced in this report.

• The focus was on loans, deposits, and foreign currency holdings, excluding debt securities.

• The discrepancy between the two datasets was measured as the difference in net flows, and it was found to be non-systematic (alternating signs).

• The largest discrepancy observed was €18.5 billion, which was 5% of the net balance.

• The cumulative discrepancy peaked at €24 billion in September 2010, but later returned to lower levels.

• The relative size of discrepancies was assessed using a ratio of average absolute differences to the average absolute MFI flow, which was 7.6%.

• The volatility of discrepancies was higher in monthly data than in quarterly data, indicating that lower frequency smooths differences.

• The discrepancy in other assets and liabilities (not included in MFI balance sheets) had a low correlation (0.22) with the discrepancy in the net balance of loans, deposits, and non-euro cash holdings.

Key Information

• The ESCB ensures high-quality data through rigorous completeness, consistency, plausibility checks, and revision studies.
• The quality report is structured to provide a clear overview of the statistical products and their quality features.
• The data is disseminated via press releases, publications, and the ECB website.
• The report is biennial, and this edition is more focused than previous ones.
• Annex 1 lists the main statistical products, while Annex 2 details the components used for comparing b.o.p. and MFI datasets.
• The data revisions for the euro area M3 and M2 aggregates remain small, with 80% of revisions being ≤0.05 percentage points.
• The impact of the new MMF definition was larger in the sector than in the broader monetary aggregates due to the shift in fund categories and market conditions.

Conclusion

The 2012 Quality Report confirms that the ESCB maintains high-quality monetary and financial statistics, with continuous improvements in methodology and data consistency. The changes to the MMF definition and the exclusion of CCP repo transactions have helped harmonise statistical classifications and reduce distortions in the data. The external consistency with b.o.p. data remains non-systematic, though some discrepancies have accumulated in recent years. The report underscores the importance of reliable data for effective monetary policy and highlights ongoing efforts to enhance transparency and methodological soundness.