Data produced by individual countries

Users at the Workshop stressed the importance of countries implementing existing frameworks. They indicated that the release of a comprehensive range of data could lead to a more efficient allocation of resources and/or increased confidence in the markets, leading to a lower cost of capital.

To find out more information on the availability of financial markets data from countries, the project team despatched a questionnaire to a group of countries, which eighteen countries completed. The countries surveyed included those represented at the Workshop and those represented on important international statistical groups, such as the IMF Committee on Balance of Payments Statistics.

Appendix IV provides a summary of the extent to which the surveyed countries produce and publish various types of data. The data items identified by users that were covered by the questionnaire included money supply, balance of payments, external debt, foreign exchange reserves, flow of funds, IIP, derivatives, repurchase agreements and institutional sector data. We acknowledge that the appropriate coverage for a country depends upon its individual circumstances. Accordingly, the summarised results of the questionnaire acts as a source of information to establish what types and frequency of financial market data are available as well as the difficulties producers face in compiling these data. The variety in the results is discussed below.

3.3.1 Debt data

All surveyed countries publish their external debt by sector⁹⁵, with the exception of two countries, one of whom only publishes the external debt of the banking sector as the debt of the other sectors is considered negligible; and the other publishes data

95 Sector breakdown in the questionnaire: government sector (SNA93 definition), public sector (World Bank definition), monetary authorities, banks (residency basis), banks with foreign offices consolidated (nationality basis), non-bank financial institutions and corporations.

disaggregated into the public, banks and other sectors. The frequency and timeliness of the release of external debt data varies between countries. Four countries release monthly data with lags of 4 to 8 weeks; seven countries produce quarterly data, with lags ranging from 8 to 24 weeks; two countries produce semi-annual data with a lag of 20 weeks; and four countries produce annual data, with lags ranging from 4 weeks to one year.

The questionnaire results on external debt on a residual (remaining) maturity basis show that only seven countries surveyed currently publish data on a residual maturity basis. The sectoral dissagregation of these debt data by these countries is diverse.

One country publishes total external debt on a residual maturity basis, not disaggregated by sector; three countries only release residual maturity data for the central government; and one country only publishes residual maturity data for banks.

Two other countries release remaining maturity information for the debt of the central government and other institutions. The remaining countries surveyed indicated that they could not produce external debt on a residual maturity basis and were unlikely to do so, unless policy makers embrace this demand⁹⁶. A related issue was whether producers should compile data on an original and residual maturity basis, or only on a residual maturity basis. This will need to be considered by IFIs in their review of existing standards and frameworks.

3.3.2 Foreign Exchange Reserves

All countries surveyed in a separate Bank of England survey of monetary frameworks⁹⁷ publish information on official foreign exchange reserves. Seventeen countries publish fortnightly or more frequently; thirty-two publish monthly; seven quarterly; and one country publishes less frequently than quarterly. The average publication delay was approximately a month.

96 The World Bank’s Global Development Finance provides data on projected debt service, which can be used to derive remaining maturity.

97 These answers on reserves come from a survey on monetary policy frameworks of 57 countries, conducted by the Bank of England between December 1998 and March 1999.

Only seven countries publish information on their reserve related forward positions, with the publication lag of these data longer than for reserve position data in five of the seven countries.

3.3.3 Financial flows and positions by sector

Six of the countries responding to the questionnaire do not compile flow of funds statistics. Of those who do, seven publish quarterly data with lags ranging from 8 to 65 weeks and five publish annually, with lags of 16 to 104 weeks.

The survey produced mixed results in relation to data availability by the sectors identified by users. All countries in the survey publish some information on the activities of banks on at least a monthly frequency. The collection of data from the non-bank financial corporations sector was broadly split between monthly and quarterly frequency. Statistics available by type of individual institution⁹⁸ varied considerably. It is worth noting that countries stated that hedge funds are usually located in offshore centres and, therefore, are usually not surveyed.

There appear to be a range of difficulties associated with collecting financial information from the household sector. Nonetheless, one example of the importance of these data is provided by Slovenia— see Box 3. Producers face difficulties obtaining and publishing reliable data on household sector activity because direct surveys of households are usually expensive at least in terms of staff costs; response rates and timeliness of reporting are poor; and privatisations of public sector institutions can complicate the measurement of the security holdings of the household sector.

Similarly, producers noted that there are increasing difficulties in recording non-resident (or rest of the world) sector ownership of domestic liabilities. In particular, there are problems with the identification of non-resident holdings of securities and some countries believe that the accuracy of these data may only be improved by

98 Individual institution types were: banks, security houses/investment banks, insurance companies, pension funds, mutual funds, finance houses (if relevant), hedge funds and corporations.

collecting more micro information (i.e. reporting of individual securities by institutions).

3.3.4 International Investment Position (IIP)

Five of the countries in the survey do not publish the IIP statement. Nine countries publish annual data with lags ranging from 12 to 68 weeks; one publishes semi-annual data with a lag of 24 weeks; and three countries publish quarterly data with lags of 8,12, and 18 weeks, respectively. Countries reported mixed practices in relation to the collection and publication of components of the IIP.

3.3.5 New financial instruments

Given user data requirements for comprehensive information on new instruments, the questionnaire asked countries to supply information about their collection and publication of data for derivatives and repurchase agreements (repos). Countries were asked whether their markets have significant derivatives or repos business. All countries, bar two, that were surveyed indicated that they have significant derivatives activity. One country’s market is too small and the other country has restricted derivative market development by regulation, although a significant forward market does exist. Except for three of the eighteen countries surveyed, all other countries have significant repo markets.

The questionnaire also asked countries about their valuation of derivative positions and the basis for recording transactions and positions data for repos. Only one country does not value contracts at marked-to-market values, and this country records notional values for swaps and forwards (the only instrument detail collected by this country). Most countries regard repos as collateralised loans, although there are two countries that record repos on a change of ownership basis if the ownership of the underlying security changes hands. All countries adopt the same approach to recording securities lending as they do for repos.

A wider range of issues associated with derivatives and repurchase agreements are addressed in Chapter 5.

3.3.6 Money aggregates

Countries were asked by the questionnaire to indicate the frequency and timeliness of their publication of money aggregates. Five countries publish weekly data with a lag of one to two weeks; one country publishes fortnightly with a lag of three weeks; and twelve publish monthly with lags ranging from one to eight weeks.

Apart from the timeliness and frequency differences between countries, as evidenced by the questionnaire results, users at the Workshop indicated that there are difficulties in comparing monetary aggregates across countries because the definitions of the aggregates can vary⁹⁹. These differences arise both because of differences in market practices and/or because of the current lack of international guidelines. Users also stressed the importance of compiling sectoral monetary aggregates because monetary growth in different sectors can have different economic implications.

3.4 Summary

It is evident from this chapter that IFIs should continue their current work on reviewing and rationalising the current frameworks and standards, particularly in respect of the user identified disaggregations of external debt. We recommend that existing frameworks be more fully implemented by countries as this would improve data sources and better meet identified user requirements. However, in reviewing country reporting requirements, IFIs will need to consider the practical issues that producers face, which are covered in Chapter 6.

99 Similar issues also apply to inflation rates where different countries adopt different compilation methodologies.

BOX 3

The Household Sector and Exchange Market Pressure in Slovenia in 1995¹⁰⁰

The currency and financial crisis in Slovenia at the end of 1995 was primarily caused by unexpected demand for foreign cash by the households due to interest rate differentials and expectations of future depreciation of the local currency. This speculative attack on the local currency was eventually quelled by announcement of policy measures to break expectations of future depreciation.

In Slovenia, all foreign exchange cash transactions were required to be routed through the banks or exchange houses. In turn, the exchange houses had to buy from the banks at the beginning of the day and sell back to the banks at end of day. Thus, the net flow of cash would be reflected in the foreign currency position of the banking system on the same day.

Banks and exchange houses were obliged to report daily turnovers and exchange rates.

Volumes were substantial and the gross turnover exceeded 35% of GDP in 1995, which was around a third of the registered turnover on foreign exchange markets.

The statistical data collected from the banks and offices do not include reliable information about the type or sources and uses of these cash transactions. One component comprises foreign cash loans raised abroad and transferred into Slovenia in order to circumvent regulations that prohibited households from borrowing abroad. Another component comprises households’ savings in foreign cash. This accumulation (‘dollarization’) of foreign cash had been going on for some years, as residents perceived foreign currency to be more of a store of value than the domestic currency. By 1992, macro-economic conditions were perceived as stable and residents gradually began releasing the accumulated foreign cash and converting it into local currency.

The marginal depreciation of the domestic currency in the middle of 1995 led households to increase their demand for foreign currency from the banking system to meet their foreign exchange liabilities. This sudden demand for foreign cash took the markets by surprise, triggering a currency crisis. The cash exchange rate for the Slovenian Tolar depreciated by 14% over the next six months. The central bank sought to break expectation of further depreciation by offering unlimited quantity of foreign exchange to banks, and through them, to the households and other sectors. These funds was sold for future delivery and reduced forward premiums and hence expectations for future rates.

The episode in Slovenia highlights the fact that residents can trigger speculative attacks on currency. Comprehensive data on the transactions of this sector would be welcome but there are considerable practical difficulties in collecting such information. It also brings out the susceptibility to such crises of other transition economies with high ‘dollarization’, where foreign currency is used as a store of value and where sufficient incentive exists for households to circumvent exchange control regulation.

100 Summarised from the case study, The Episode of Exchange Pressure in Slovenia (Bradesko), presented at the Workshop.

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CHAPTER 4: SUPERVISORY STATISTICS AS BANKING SECTOR