2006年-ECB欧洲央行_Handbook_for_the_compilation_of_flows_statistics_on_the_MFI_balance_sheet_February_2006_37页_419kb

Summary of the Handbook for the Compilation of Flows Statistics on the MFI Balance Sheet

Core Content

This document outlines the methodology and procedures used by the European Central Bank (ECB) to compile flows statistics on the balance sheets of Monetary Financial Institutions (MFIs) in the euro area. It is part of the ECB's broader statistical framework for monetary and banking statistics, as defined in the Money and Banking Statistics Guideline and updated by Regulation ECB/2001/13 and subsequent amendments.

The handbook provides a structured approach to compiling flows statistics, starting with national data and moving through a series of steps to derive the euro area consolidated flows. It also details the exchange rate adjustment procedures, the calculation of growth rates, and the inclusion of new members like Greece in the statistical framework. Additionally, it includes annexes for further clarification on specific topics such as the design of exchange rate adjustment, its relation to price revaluation, and quality checks.

Main Procedure for Compiling Flows Statistics

The procedure involves several key steps:

Step 0: National Exchange Rate Adjustments

• The ECB calculates exchange rate adjustments for national series and each balance sheet item.
• These adjustments are made using the average exchange rate for the period and are applied to liabilities and assets denominated in non-euro currencies (DKK, SEK, GBP, USD, JPY, and CHF).

Step A: Reception of Balance Sheet Data

• National Central Banks (NCBs) and the ECB submit monthly balance sheet data on write-offs/write-downs of loans and revaluation adjustments.
• This includes data on all items from Table 1 of Regulation ECB/2001/13, except those provided by international securities settlement systems (SSSs).

Step B: Definition of Flows Statistics

• Flows are calculated as the difference between end-of-month stocks, adjusted for reclassification and revaluation changes.
• The formula used is:

$$
F_t = (L_t - L_{t-1}) - C_t - V_t - E_t
$$

Where:

• $F_t$ = Flow
• $L_t$ = Stock at the end of the period
• $L_{t-1}$ = Stock at the end of the previous period
• $C_t$ = Reclassification adjustment
• $V_t$ = Revaluation adjustment
• $E_t$ = Exchange rate adjustment

Step C: Intermediate Euro Area Summary Balance Sheet

• Flows from all euro area Member States are aggregated into a single summary balance sheet.
• This includes flows from NCBs, other MFIs, and the ECB.

Step D: Euro Area Aggregated Flows

• Flows are further aggregated into euro area counterpart categories:
  • Domestic counterparts
  • Other euro area counterparts
• The formula used is:

$$
F_t^{EA} = F_t^D + F_t^{OM}
$$

Where:

• $F_t^{EA}$ = Flows for euro area counterparts
• $F_t^D$ = Flows for domestic counterparts
• $F_t^{OM}$ = Flows for other participating Member States counterparts

Step E: Euro Area Consolidated Flows Statistics

• The ECB consolidates the flows of the euro area MFI sector.
• This includes netting out inter-MFI positions and identifying the counterpart sectors for monetary aggregates and their flows.

Step F: Calculation of Monetary Aggregates

• Monetary aggregates (M1, M2, M3) are calculated using consolidated flows and data on deposits held by other euro area resident sectors with the central government.
• The calculation process is consistent with the steps outlined in the previous sections.

Key Concepts and Definitions

• Flows Statistics: Represent changes in balance sheet stocks adjusted for non-transactional events (reclassifications, revaluations, exchange rate adjustments).
• Exchange Rate Adjustment: A standard adjustment used to convert non-euro balance sheet items into euro for consistency.
• Monetary Aggregates: Defined as M1 (narrow), M2 (intermediate), and M3 (broad), based on the liquidity and moneyness of assets.
• Reclassification Adjustment: Adjustments made to move items between categories in the balance sheet.
• Revaluation Adjustment: Adjustments for changes in the value of securities due to market price movements.
• External Liabilities and Assets: Reflect holdings and obligations outside the euro area, including SDRs and holdings by the Rest of the World.

Exchange Rate Adjustment Details

• Exchange rates for non-euro currencies are obtained from the Bank for International Settlements (BIS) databank.
• The adjustment process involves:
  1. Calculating real flows in the original currency.
  2. Translating flows into euro using the average exchange rate of the period.
• For currencies like DKK and SEK, the adjustment was introduced in January 2003 after the first quarterly data were available.
• The exchange rate adjustment is applied separately for each item, sector, and country.

Entry of Greece (2001)

• Greece entered the euro area in 2001, and from that point onward, data included Greece.
• Stock data for periods up to December 2000 included only the 11 original euro area countries.
• The ECB uses SSS data to estimate holdings of securities by non-euro area residents, including those issued by MFIs.

Annexes

• Annex I: Details the design of the exchange rate adjustment.
• Annex II: Explains the relationship between exchange rate adjustment and price revaluation.
• Annex III: Provides information on the calculation of flows and growth rates when Greece entered the euro area.
• Annex IV: Describes the quality checks applied to flows data.

Conclusion

The handbook serves as a comprehensive guide to the statistical procedures used by the ECB to ensure consistency and accuracy in flows statistics for the euro area MFI sector. It emphasizes the importance of adjusting for non-transactional events and provides a clear, step-by-step approach to compiling and presenting these statistics. The procedures have been refined over time to accommodate changes in the euro area, including the inclusion of new members and the introduction of more detailed classifications.