The Changing World Economy and Implications for Economic Statistics

Transcription

1 The Changing World Economy and Implications for Economic Statistics High level Meeting, Vladivostok, September 2014 Robert Dippelsman, Reproductions of this material, or any parts of it, should refer to the as the source. Developments in Economic Analysis and Policy and their Influence on Statistics (1) Issues identified by the IMF Statistical Forum Economists and statisticians met last year to identify issues and priorities (2) Balance Sheet Approach Statistical Responses to the Financial Crisis of 2008 (3) Data Gaps Initiative (4) SDDS Plus 2 1

2 (1) Issues Identified by the First IMF Statistical Forum Topic: Statistics for Global Economic and Financial Stability Discussion on cutting edge statistical issues with data users, providers, and policymakers Sessions listed on following slides show current economic issues and their statistical implications Held November 2013 Papers available at: Economic developments Economic policy concerns Statistical development 3 (1) Statistics for Global Economic and Financial Stability ctd. Risk Exposures in International and Sectoral Balance Sheets Philip Lane, Professor, Trinity College Dublin The analysis of international and sectoral balance sheets will deepen the understanding of private sector vulnerabilities to external and domestic shocks across countries. In particular, understanding the macro-financial linkages and risk transfers across countries and across countries is essential, with important interactions between cross-border and inter-sectoral risk exposures. This session will also focus on the value of information on other economic flows, which is important for understanding the impact of the crisis on national/global wealth. 4 2

3 (1) Statistics for Global Economic and Financial Stability ctd. From-Whom-to-Whom: Interconnectedness and Spillovers Kevin Cowan, Manager, Central Bank of Chile Coordinated Portfolio Investment Survey (CPIS), Coordinated Direct Investment Survey (CDIS), and the Bank for International Settlements (BIS) International Banking Statistics (IBS) data are extremely rich, offering a domestic and global perspective on interconnectedness and spillovers. These data, along with the sectoral balance sheets, monetary and financial statistics, and financial soundness indicators, could also shed light on the policy response to balance sheet adjustments and the transmission of shocks. 5 (1) Statistics for Global Economic and Financial Stability ctd. Shadow Banks and Global Contagion: Identifying the Systemic Risks at the Edges of the Financial Sector Hyun Song Shin, Professor, Princeton University This session will explore using various financial sector data covering banks and nonbank institutions, such as the BIS-IBS and European Central Bank (ECB) credit institutions and money market funds balance sheet data the prominent role played by shadow banks in propagating the financial crisis, and systemic risks in the financial sector. It could also address the interplay of macro-prudential and macroeconomic policies. 6 3

4 (1) Statistics for Global Economic and Financial Stability ctd. Fault Lines in the Public Sector Jürgen von Hagen, Professor, University of Bonn Cutting-edge statistics on government debt and debt securities can also shed light on the public sector s exposures and risks maps across domestic sectors and the global economy, as well a clearer picture on who bears the risks of public sector debt. They could also clarify the negative sovereign bank feedback loops. 7 (1) Statistics for Global Economic and Financial Stability ctd. Capital Flows: How Do We Know When there is a Problem? Wang Xiaoyi, Deputy Administrator, State Administration of Foreign Exchange, P.R. China The free flow of capital across the globe can have important benefits for countries and for the global economy. Capital flows can also pose important risks however. They are volatile and can be large relative to the size of a country s financial markets or economy. This can lead to booms and busts in credit or asset prices, and makes countries more vulnerable to contagion from global instability. Are the current and emerging data sets adequate to tell us whether or not these flows pose a problem? 8 4

5 (2) Balance Sheet Approach (BSA) for Economic Analysis Crises in the 1990s and 2000s were driven by financial factors, which lead to a shift to the using BSA to examine macroeconomic vulnerabilities. Traditional crises from excessive budget deficits, low export prices, export demand collapse, natural disasters. New style crises from private sector financial flows. BSA is embedded in the System of National Accounts. Provides links of balance sheets to transactions and other economic flows Provides links between above the line (production, income, saving, investment in nonfinancial assets) and below the line (financing, investment in financial assets) BSA analyzes an economy as a system of balance sheets of key sectors. This framework facilitates the identification and analysis of contagion and vulnerabilities. (2) Balance Sheet Approach Analyze vulnerabilities of sectors: Maturity mismatches Between sort term liabilities and longer term assets expose borrowers to rollover risk and interest rate risk Unable to finance maturing debt Differential impact on assets and liabilities depending on interest structure Currency mismatches Liabilities are denominated in foreign currency but assets in domestic currency Also exchange rate risk Capital structure mismatches Reliance on debt rather than equity to finance investment Equity provides a buffer in downturn; dividends drop with earnings Debt payments remain unchanged 5

6 (2) Balance Sheet Approach Key indicators of a sector s vulnerability: Net financial position Large negative position may indicate solvency problems, especially if leverage is high (debt as a share of total liabilities) Net foreign currency position Large negative position indicates vulnerability to exchange rate depreciation Net short term position Large negative position indicates vulnerability to interest rate increases and rollover risk Holder of liability (creditor) General Other depository Other financial Nonfinancial Other resident Issuer of Central bank government corporations corporations corporations sectors Nonresidents liability (debitor) Central bank Monetary Base Total Other liabilities Short-term Medium-and long-term General government Total liabilities Short-term Medium-and long-term (2) BSA - Intersectoral Asset and Liability Matrix Other depository corporations Total liabilities Short-term Medium-and long-term Other financial corporations Total liabilities Short-term Medium-and long-term Nonfinancial corporations Total liabilities Short-term Medium-and long-term Other resident sectors Total liabilities Short-term Medium-and long-term Nonresidents Total liabilities Short-term Medium-and long-term 6

7 (2) BSA - Intersectoral Asset and Liability Matrix ctd. To who from whom expansion of the balance sheet: Additional detail in the sectoral accounts Heavy data requirements but core elements usually already available from financial sector which plays a key role as intermediary between creditors and debtors Supports analysis of linkages and spillovers Points to contagion Breaking down the nonresidents row/column by partner country gives an even more complete view of linkages. Partner country data in Coordinated Portfolio Investment Survey and Coordinated Portfolio Investment Survey Bringing together different datasets (monetary and financial, BOP, government finance) requires consistent definitions and treatments between different agencies. 13 (3) How did the international statistical community respond to the global financial crisis? G-20 Data Gaps Initiative SDDS Plus 14 7

8 (3) G 20 Data Gaps Initiative G 20: 19 globally significant countries + European Union Range of economic matters including statistics Data Gaps Initiative (DGI) started by G 20 in 2009 Studied information gaps revealed by the global financial crisis Twenty recommendations developed 15 (3) G 20 Data Gaps Initiative : collaborative effort among international institutions IAG Work program coordinated by the Inter Agency Group on Economic and Financial Statistics (IAG, chaired by the IMF). Support for implementing the 20 recommendations on statistics made by the G 20 IMF and Financial Stability Board (FSB) report to the G 20Finance Ministers and Central Bank Governors. Sixth progress report in September

9 (3) G 20 DGI: Progress on the 20 Recommendations (a) Build up of Risk in the Financial Sector #2: 94 economies (19 of which are G-20) report FSIs regularly, up from 45 (14 of which G-20) in 2009, with 14 G-20 economies reporting FSI data with quarterly/monthly frequency; Spring edition of the IMF s Global Financial Stability Report (GFSR) included FSIs for 115 economies for #3: The IMF has published three papers on tail risks and a GFSR chapter on shadow banking a topic also under study by the FSB. #4: Conceptual work completed by the BIS on system-level measures of maturity mismatches on banks international balance sheets based on the BIS international banking statistics (IBS); FSB working on shadow banking sector. #2 Financial Soundness Indicators (FSIs) #3 Tail risk in the financial system #4 Aggregate Leverage and Maturity Mismatches #5 Credit Default Swaps #5: BIS s Credit Default Swaps statistics have now more detail. #6: International Organization of Securities Commissions published a report on Asset-Backed Securities (ABS) Disclosure Principles in April 2010 and a complementing consultation report in February #7: Parts 1, 2, and 3 of the Handbook on Securities Statistics (HSS) have been published, and all G-20 economies participate in BIS Securities Statistics. #6 Structured Products #7 Securities Data 17 (3) G 20 DGI: Progress on the 20 Recommendations (b) Cross border Financial Linkages #8 and 9: A common data template for globally significant banks was approved by the FSB Plenary to become operational in three phases. Phase 1 including the launch of a data hub was completed in March Work in progress for Phase 2 and Phase 3. #10 and 11: IBS: Stage 1 of the IBS enhancements close to completion, and Stage 2 has started. CPIS: Enhanced CPIS data (incl. semi-annual frequency improvements in timeliness and scope) started to be collected in January 2014 and disseminated by the IMF in March 2014, with 56 economies (including 14 of the 17 G-20 economies participating in the annual CPIS collection) submitting enhanced CPIS data. #12: Increase in quarterly reporters of IIP to 82 (including 13 G-20 economies), from 47 (including 7 G-20 economies) in 2009; BPM6 enhancements on track. #13: A working paper on consolidation concepts was published in February 2012, and work ongoing to turn the paper into a reference document. #14: An inventory and a navigation template on cross-border positions has been developed; the template, populated with data for the G-20 and five non-g-20 FSB member economies was posted on the Principal Global Indicators (PGI) website. #8, 9 Global network connections and systemically important global financial institutions #10, 11 International Banking Statistics (IBS) and the Coordinated Portfolio Investment Survey (CPIS) #12 International Investment Position #13, 14 Cross-border financial linkages 18 9

10 (3) G 20 DGI: Progress on the 20 Recommendations (c) Vulnerability of Domestic Economies to Shocks #15: Preparation and dissemination of template on sectoral accounts. OECD data hyperlinked to the PGI website. All G- 20 economies developed plans for reporting internationally comparable sectoral accounts and balance sheet data. #16: Work on distributional information is at an advanced stage. An OECD expert group was set up to refine the methodology to compile distributional information. #17: The IAG developed a common reporting template for GFS data. From May 2011, IMF staff reports adopted a presentation of fiscal data following the GFSM #18: The public sector debt database was introduced, jointly implemented by World Bank, OECD, and IMF. Around 85 countries have agreed to participate, of which 17 G-20 economies report data. #19: The Handbook on Residential Property Price Indices (RPPI) was published in April BIS started to disseminate, in 2010, real estate price statistics on its website (17 G-20 economies are currently providing data). Work is underway on Handbook on Commercial Property Price Indices (CPPI). #15 Sectoral Accounts #16 Distributional Information #17 Government Finance Statistics #18 Public Sector Debt #19 Real Estate Prices 19 Recommendation #20: (3) G 20 DGI: (d) Data Dissemination The G 20 economies to support enhancement of the Principal Global Indicators (PGI) website and close the gaps in the availability of their national data. The IAG should consider making longer runs of historical data available. PGI Website ( Launched in April 2009 and as a joint undertaking of the IAG, hosted by the IMF. Presents major economic indicators available at participating international agencies. Facilitates the monitoring of economic and financial developments. Expanded coverage: initially covering the G 20, has been further expanded to include economies with systemically important financial sectors. Expanded topical coverage of external, fiscal, real, and financial sectors. Plans for work: Improving the data coverage and timeliness of the PGI website

11 (4) Special Data Dissemination Standard (SDDS) Plus Highest tier of the IMF s data standards initiatives Adherents disseminate data necessary to assess and analyze systemic risks to domestic economies Contribute to global financial stability and strengthen bilateral and multilateral surveillance. Includes all SDDS prescribed data categories, plus nine additional data categories Rigorous dissemination requirements including for coverage, timeliness, and time series data No flexibility option (unlike SDDS) but a transition period until end-2019 to meet all nine additional data categories Requires adherents to prepare metadata, advance release calendar, and a modernized national summary data page 21 (4) SDDS Plus Overview: 9 Additional Categories 22 11

12 (4) SDDS Plus Links to G 20 DGI G-20 DGI SDDS Plus 23 (4) SDDS Plus Links to G 20 DGI ctd. G-20 DGI SDDS Plus 24 12

13 (4) SDDS Plus Links to G 20 DGI ctd. G-20 DGI SDDS Plus 25 (4) SDDS Plus Links to G 20 DGI ctd. G-20 DGI SDDS Plus 26 13

14 (4) SDDS Plus Links to G 20 DGI ctd. G-20 DGI SDDS Plus 27 Thank you Any questions? 28 14