Transcript PowerPoint-præsentation

DANMARKS
NATIONALBANK
Presentation of Danish quarterly financial accounts
Agenda
1. Introduction / Tue
2. Compilation system, sources and data gaps / Martin
3. Internal use of financial accounts
a.
b.
Usage in Systemic Risk Council / Martin
Usage in Economics Department / Paul
4. Other items?
The National Bank of Denmark Act (1936)
• § 1. ”Danmarks Nationalbank […] shall as the Central Bank of
this country […] maintain a safe and secure currency system in
this country, and facilitate and regulate the traffic of money and
the extension of credit.”
• § 14a. ”The Bank collects, compile and disseminates statistical
information within its competence and is allowed to use this
information when necessary in order for the Bank’s fulfillment of
its tasks.”
• § 14a, cont. ”The Bank can request that individuals [red.] pass
on information they posses to the Bank […] if it is necessary for
the Bank to receive the information for the fulfillment of its tasks
[see §1].”
Nationalbankens main targets
Stable prices /
exchange
rates
Safe payments
Stable financial
system
Organisation
Statistics Department
Statistics
1 May 2013
Total staff*: 48
Bent Christiansen
Afdelingschef
Administration/STINA
Britta Gaarde
Kirsten Avngaard
2
* In addition, 3 staff members are on extended leave, etc.
Banking and National Accounts
Statistics
Tue Mollerup Mathiasen
Securities and External Statistics
Niki Bjarne Kjær Saabye
Data Management
René Bergman
Peter Askjær Drejer
Rune Egstrup
Jens Uhrskov Hjarsbech
Klaus Theill Jensen
Stinne Skriver Jørgensen
Sigrid Alexandra Koob
Mikkel Kragelund
Mads Kristoffersen
Andreas Kuchler
Susanne Marie Lassen
Jens Pagh Maltbæk
Rasmus Kofoed Mandsberg
Martin Oksbjerg
Jonas Bovbjerg
Kristoffer Kjær Lomholt
Kristian Nørgaard Bentsen
Mark Niels Strøger Hansen
Anita Holst
Birthe Merethe Jensen
Jesper Jensen
Ida Rommedahl Julin
Sanne Veje Klausen
Hans Chr. Kvist Knudsen
Stine Nynne Larsen
Bjarke Madsen
Julie Nyborg
Henrik Winkler Pedersen
Robert Wederkinck
Thusjanthan Gunapalasingham
Casper Ernst Lythcke-Jørgensen
Flemming Thor Hansen
Michael Zukanovic Hansen
Jun Li
Alexander Khalileev
Anja Krøyer Kristoffersen
Anne-Marie Mortensen
Lone Marner Mortensen
Jørgen Petersen
Morten Nystrup Rasmussen
Wolfgang Erich Starzer
Ole Sørensen
Jørgen Vendorf
16
16
13
Financial Statistics in Danmarks Nationalbank
Quarterly financial accounts
Domestic
Abroad
Overview of financial statistics produced by Danmarks Nationalbank
International investment position (IIP)
Direct investments
Balance of Payment (BOP)
Monetary financial institutions (MFI)
Investment funds (IF)
Interest rate statistics (IR)
Securities statistics (SEC)
Danmarks Nationalbanks international reserves and balance sheet
Agenda
1. Introduction / Tue
2. Compilation system, sources and data gaps / Martin
3. Internal use of financial accounts
a.
b.
Usage in Systemic Risk Council / Martin
Usage in Economics Department / Paul
4. Other items?
Danish quarterly financial accounts
• Quarterly statistic on all
sectorial balance sheets and
financial flows.
• Publish data and press release
with a highlighted
development.
• Relevant for financial and
conjunctural analysis of Danish
economy.
Quarterly release, 4th quarter 2012:
Non-financial companies’ transactions
Dimensions of financial accounts
Sectors:
Instruments:
Accounts:
• Non-financial companies (S.1100)
• Monetary gold and SDR (AF.1)
• Stock (AF)
• Danmarks Nationalbank (S.1210)
• Currency and deposits (AF.2):
• Transactions (FT)
• Other monetary financial institutions (S.1220)
• Other financial intermediaries (S.1230)
Currency (AF.21)
Transferable deposits (AF.22)
Other deposits (AF.29)
• Financial auxiliaries (S.1240)
• Securities other than shares (AF.3):
• Insurance corporations and pension funds (S.1250)
Short-term securities other than shares (AF.31)
• General government (S.1300)
• Households and NPISH (S.1415)
• Rest of the world (S.2000)
Long-term securities other than shares (AF.32)
Financial derivatives (AF.34)
• Loans (F.4):
Short-term loans (AF.41)
Long-term loans (AF.42)
• shares and other equities (AF.5):
Quoted shares (AF.511)
Unquoted shares (AF.512)
Other equity (AF.513)
Mutual fund shares (AF.52)
• Insurance technical reserves (AF.6):
Net equity of households in life insurance reserves (AF.611)
Net equity of households in pension funds reserves (AF.612)
Pprepayments of insurance premiums and reserves for outstanding claims (AF.62)
• Other accounts receivables/payable (AF.7)
Trade credits and advances (AF.71)
Other accounts receivalbe/payable, excl. trade credits (AF.79)
• Revaluations (RE)
• Other volume changes (OVC)
Example: Other MFIs short-term loans to nonfinancial companies
ACCOUNT
ASSET SECTOR
LIABILITY
INSTRUMENT
QUARTER
AF
FT
RE
OVC
AF.41
2012Q1
243
9
0
0
2012Q2
253
10
0
0
2012Q3
237
-16
0
0
SECTOR
S.1220
S.1100
A world of counterparties
• Our system compiles
sectorial accounts at detailed
”counter party”-level.
• Our ”cube” must not have
empty cells (almost).
• Ensures ”horizontal”
consistency:
∑ assets = ∑ liabilities).
Compilation from primary sources
• Financial accounts receives ”partial” cubes
from primary statistics.
• All primary statistics’ cubes are combined
to fill out empty cells.
• Ensures overall consistency between all
financial statistics.
• Different data for one cell leads to
reconciliation between sources.
MFI
BOP/IIP
IF
SEC
FA
Dataflow in compilation system
SEC
MFI
PUBDB
IF
Publication
BOP/IIP
ICPF
PUBDB
Other financial intermediaries
etc.
(yearly company accounts)
Government financial statistics
(GFS)
SOURCE DATA
RECONCILIATED DATA
Pivot tables for analysis
ECB, etc.
PUBDB
Financial accounts in a National accounts
perspective
Domestic sectors, S.1
For., S.2
SEC/MFI (interest income)
BOP/SEC/MFI
(property inc.)
Ensures ”vertical”
consistency
Non-financial
Net lending/ net
borrowing
Statistical
discrepancies
Securities
IIP
BOP
MFI
Accounts,
Financial auth.,
other sources
Financial
To sum up: Compilation
1. The different sources are prioritised for each instrument and
sector on a sector-by-sector level (SAS programming).
2. Correction of flows so that the identity is satisfied:
Ultimo = Primo + Transactions + Revaluation + Other changes
3. Correction to net-lending in the non-financial accounts
(compiled by Statistics Denmark)
4. Data analysis and validation
•
Primary tool: Balancing matrix for checking consistency across primary
statistics (Excel VBA tools)
The Danish business register: Common grounds
• Common Danish business
register administered by
Statistics Denmark.
• Danmarks Nationalbank has
active part in sectorization of
financial companies.
• Ensures consistent
sectorization in all financialand non-financial statistics:
NA, FA, SEC, MFI, IF,
BOP/IIP, etc…
Company Company Sector
Branch
ID
name
(ESA)
("NACE") Time
…
Danske
61126228 Bank A/S
122021 64.19.00
201308
Data gap: Loans between non-financial
corporations
• In the financial accounts cube,
data is unconsolidated.
• Fx interbank lending increase both
assets and liabilities of other MFIs.
• Loans between non-financial
corporations was missing.
• Data not included in any primary
source statistic.
Liabilities of NFCs excl. equity (old)
Data gap, cont.
• Estimate data on best effort
basis.
1. Aggregate all loans in yearly
accounts of all non-financial
companies.
2. Subtract allready known loans
from other sectors.
3. Residual = intercompany loans.
4. Linear interpolation for quarterly
data.
• Uncertain estimate increased
private sector debt by 27 pct.
of GDP!
Liabilities of NFCs excl. equity (new)
Analytical improvements: Disaggregation of
accounts
• Disaggregation of households and non-financial corporations at
the institutional units (that is, individual household and
enterprises).
• Distributional information necessary for structural wealth
analysis.
• Most micro data is administrative registers with tax information
collected directly from banks, employers, etc.
• Also, we collect detailed loan-by-loan information from
mortgage banks.
Analytical improvements, cont.
Total household sector debt-ratio by country and year, 2010
Per cent of disposable income
350
300
250
200
150
100
50
1980
1995
2010
Note: For Germany 2010: The data refer to 2009. For Norway 1980: The data refer to 1987.
Source: Isaksen et. al. (2011): Household balance sheets and debt – an international country study, Danmarks Nationalbank, Monetary Review, 4th quarter, Part 2.
Denmark
Net herlands
Ireland
Norw ay
Aust ralia
Sw eden
UK
Canada
Port ugal
Spain
USA
Japan
Finland
Aust ria
Germany
France
Greece
Belgium
It aly
0
Analytical improvements, cont.
Distribution of assets across gross debt intervals, 2010
Total assets excl. pension
Pension wealth
Analytical improvements, cont.
• Micro data covers most parts
of aggregate financial
accounts.
• However, some parts of
financial accounts not properly
covered by micro data.
• Ongoing work on detailed
micro data from life insurance
corporations and pension
funds.
Comparing household micro- and macro data
Agenda
1. Introduction / Tue
2. Compilation system, sources and data gaps / Martin
3. Internal use of financial accounts
a.
b.
Usage in Systemic Risk Council / Martin
Usage in Economics Department / Paul
4. Other items?
Usage in Systemic Risk Council
• Newly created Systemic Risk Council to prevent and reduce
systemic risk in the financial system.
• The council affects policy through its recommendations and
warnings.
• The councils chairman is our governor, Lars Rohde, and its
secretariat is situated in Danmarks Nationalbank.
• Financial accounts are used in the secretariat material.
Development in net lending/borrowing position
Net lending/borrowing position by sector
Note: GDP is calculated as four-quarters rolling sum.
Source: Danmarks Nationalbank and Statistics Denmark.
Development of other financial intermediaires
Other financial intermediaries by branches
Note: GDP is calculated as four-quarters rolling sum.
Source: Danmarks Nationalbank and Statistics Denmark.
Development of non-financial corporations
Total balance sheets of non-financial corporations by instruments
Note: GDP is calculated as four-quarters rolling sum.
Source: Danmarks Nationalbank and Statistics Denmark.
Agenda
1. Introduction/ Tue
2. Compilation system, sources and data gaps / Martin
3. Internal use of financial accounts
a.
b.
Usage in Systemic Risk Council / Martin
Usage in Economics Department / Paul
4. Other items?
Agenda
1. Introduction / Tue
2. Compilation system, sources and data gaps / Martin
3. Internal use of financial accounts
a.
b.
Usage in Systemic Risk Council / Martin
Usage in Economics Department / Paul
4. Other items?
Overview
• A few examples on how we use the financial accounts
• Development in net lending
• Credit conditions
• Financial conditions of the private sector (mainly households and NFC),
used as input in our quarterly forecast exercise (separate handout)
• Financial accounts in our macro-model (to be implemented)
• Wealth (balance) of the various sectors (households, non-financial, financial,
public and abroad)
• Consumption
Sectoral savings surpluses
Per cent of GDP
10
8
6
4
2
0
-2
-4
-6
-8
-10
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012
Households
Non-financial firms
Financial sector
Public sector
Balance of payments
Change in net lending of NFC since 2008
Per cent of GDP
4,0
3,5
Ot her
Dividends, net
3,0
2,5
Compensat ion of
employees
2,0
1,5
1,0
Int erest paid, net
0,5
0,0
Tot al savings
Tot al real invest ment s
Source: Statistics Denmark
Note: Per cent of GDP in 2012
Accumulated transactions of NFC since 2008
Per cent of GDP
10
Liabilit ies
Asset s
9
8
7
Abroad
6
5
4
3
2
Domest ic
1
0
Reduct ion of debt
Ot her liabilit ies
Increase in equit y asset s
Ot her asset s
Source: Statistics Denmark and Danmarks Nationalbank
Note: Per cent of GDP in 2012
Credit to non-financial firms
Billion kr.
1200
1100
1000
900
800
700
600
500
400
300
200
100
0
2005
Banks
2006
2007
2008
M ort gage Credit Inst it ut ions
2009
2010
2011
Corporat e bonds
2012
Tot al
2013
Financial accounts in our macro-model
• Five sectors: households, NFC, FC, public, abroad
• Still working on which instruments (equity, securities other than
shares, pensions, other instruments).
• Both assets and liabilities.
Households: consumption function
• Household wealth
• Wealth effects in our model for private consumption, but different wealth
effects on different assets classes (equity, pension, housing and other).
M4: Household sector
M2: Household sector
Log of consumption ratio
0,2
Log of wealth ratio
2,0
Log of consumption ratio
0,2
Log of wealth ratio
1,0
0,1
1,5
0,1
0,5
0,0
1,0
0,0
0,0
-0,1
0,5
-0,1
-0,5
-0,2
0,0
-0,2
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
Consumption ratio
Wealth ratio (right-hand axis)
-1,0
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
Consumption ratio
Wealth ratio, adjusted weights (right-hand axis)
Other sectors
• Financial position of other sectors (NFC, FC, public, abroad)
• To be implemented. Equations for stock, flows and re-valuations for each
instrument and each sector.
• For the system to work, we need who-to-who information.