Workshop on Integrated Management of Micro-database
F. Prospective Data Repositories for Statistical Purposes
Understanding money markets via surveys
Peter Neudorfer
Porto, 21-22 June 2013
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Money Markets and surveys
•
In order to fulfil specific analytical user needs (also beyond traditional
monetary statistics) the ECB (DG-S) started collecting and processing
micro data that represent information directly retrieved from individual
economic agents.
•
Specialised surveys – even if based on voluntary participation – are
considered an adequate tool in case the target is to capture the essential
(qualitative) developments that characterise market behaviour.
•
Examples of surveys dealing with money market activities
–
–
•
ECBs Euro Money market survey
ICMA European Repo Council Survey
The ECBs MMS exemplifies the typical trade-off between the flexibility of
meeting a specific information goal and providing resilient quantitative
indictors that can be extrapolated to aggregate assessment.
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Euro Money Market Survey (MMS) objectives
• Collect information on the euro interbank money market
activity during the 2nd quarter of a year, i.e. it includes
– only transactions denominated in EUR
– no customer transactions / inter-group flows / NCB transactions
• Compile unique statistics to allow analysing turnover,
maturity and market structure in the:
•
•
•
•
Unsecured market
Secured market (repos / reverse repos)
OTC market (various types of swaps, FRA)
Short-term securities market
• Collect qualitative information on efficiency, changes in
liquidity and the breakdown of transaction by location of
counterparty and trading system
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MMS Reporting frame
•
The MMS could in principle be based on statistical sampling, e.g.
using the population of MFIs contributing to the BSI statistics as
frame
Despite the correlation between BSI inter-MFI positions and MMS
unsecured market, the high variance of other MMS transactions across
institutions however, so far, hampered the design of a statistical sample
•
Consequently, the MMS reporting population depends on the
voluntary participation of MFIs selected by NCBs. This implies a
continuous change in the composition of the population
•
Unfortunately this also means that it is
– not possible to extrapolate data to the overall market volume
– not possible to assess coverage of the MMS
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2
MMS Reporting institutions
• The attempt to survey all “relevant players” in the EU has lead to a
stepwise increase of the number of participating institutions (“total
population”): The 2012 round for instance comprised 172 credit
institutions across Europe (all but one resident in the EU)
AT
8
CZ
8
DE
17
IT
8
MT
5
SK
2
CH
3
BE
3
DK
1
GR
7
LV
4
NL
6
SI
3
UK
16
BG
4
FI
2
HU
3
LT
3
PL
12
ES
13
PT
14
CY
3
FR
9
IE
6
LU
3
RO
3
SE
3
EE
3
• In order to be able to compare findings with those of previous
studies and to analyse long-term trends in the euro money
market, a “constant panel” of 105 banks is applied for all money
market studies dating back to 2002.
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MMS Data collection details
•
•
•
•
•
Unsecured market
– Average turnover in borrowing / lending by maturity band
Secured market
– Average turnover in (reverse) repos by maturity band
– Separate identification of bilateral / tri-party repos and CCP
transactions
OTC market
– Average turnover in by maturity band for Overnight Index, FX,
Interest Rate and Cross-Currency swaps
– Average turnover in by maturity band for Forward Rate Agreements
Short-term securities market
– Average turnover in by sector
– Average issues
plus
Qualitative questions
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3
MMS Publication
• The Money Market Survey has so far been conducted annually
(covering transactions during the 2nd quarter a year)
• Every second year, a comprehensive Money Market Study is
being published
• High level results are published in ECB press releases
• The participating banks receive feedback on their share in the
total results
• Aggregated results - in form of indices - also published on the
ECB website via the SDW
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MMS next steps / future
• Increase frequency
• Introduction of a quarterly survey
Pilot started in Q3
2012
• Option / need to even move to monthly frequency?
• Improve definition and management of (constant) “panels”
control for shifts in business models, mergers, etc.
• Improve “sampling” feature
allow for crossing-up
• Establish connections between surveys
survey results create synergies?
Could the linking of
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