Is micro-data report the future for interest rates statistics?
Patrícia Antunes, Inês Correia, Rita Lameira
Porto, 20|22 June 2013
The Monetary Financial Statistics information
The new micro-data on interest rates
The potentialities of micro-data – some examples
Concluding remarks
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
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The Monetary Financial Statistics information
Banco de Portugal is in charge of the compilation of Monetary and Financial Statistics:
- Balance sheets of Banco de Portugal and Other monetary financial institutions (OMFI)
- Monetary financial institutions interest rates
NFC
Euro
HH
Euro-area
Loans and
deposits
Resident
banks
Interest
rate
statistics
NFC: Nonfinancial corporations; HH: Households
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
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The Monetary Financial Statistics information
Why are interest rate statistics so important?
Assessing the transmission mechanism
of monetary policy
Appraising the convergence of euroarea markets
Providing insights on financing
conditions and deposits remunerations
Evaluating the financial margin of the
banking sector
Analysing the debt service effort of
the non-financial sector
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
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The Monetary Financial Statistics information
ECB /2001/18
Harmonised
MIR Statistics
ECB /2009/7
Additional
Requirements
2012
• Instruction 19/2002
• Sample of around 16 resident OMFI
• Information on new business and outstanding amounts and the corresponding interest rates by
institutional sector, instrument, initial period of rate fixation and purpose of the loans
• Instruction 12/2010
• Universe of the resident OMFI (around 70 institutions)
• New business further broken down by initial period of rate fixation and loan volume;
Information on fully collateralized loans reported separately
• Instruction 20/2012
• Mandatory for OMFI that reach the threshold of 50 million euro per month of new loans to NFC
in the aggregated report
• New loans, including overdrafts, granted by OMFI to NFC on a loan-by-loan basis
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
5
The new micro-data on interest rates
firm
contractual
maturity
collateral
MIR
Database
residency
private vs.
state-owned
size
•Annualized agreed
rate
•Amount
•Date of the operation
•Nature of the loan
initial
period of
rate
fixation
Is micro-data reporting the future for interest rate statistics?
Other
Statistical
Databases
sector of
activity
(NACE)
exporting
vs. nonexporting
Porto, 20|22 June 2013
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The potentialities of micro-data – the new data set
Monthly (on average):
12 institutions
Around 140 000 records
Constant sample:
10 institutions
(85% of the total monthly
new business volume)
• 44 000 new loans with a
monthly volume of 3.5 bn
Euros
• 85 000 overdrafts with a
monthly volume of 10 bn
Euros
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
7
The potentialities of micro-data – Loans by NFC residency
95% of the loans to
NFC, excluding
overdrafts, are
granted to residents
in Portugal, despite
the higher interest
rates.
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
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The potentialities of micro-data – Loans by maturity
80% of the new
loans are short term
(up to one year).
The differential
between long term
and short term
interest rates is
negative.
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
9
The potentialities of micro-data – Loans by firm size
Conditions are on average tighter for private
SME than for private large enterprises.
Interest rates on new loans granted to stateowned enterprises do not present a regular
behaviour.
Is micro-data reporting the future for interest rate statistics?
Interest rates charged on overdrafts to private
large enterprises are on average higher than the
ones applied for SME.
The state-owned enterprises usually pay higher
interest rates on overdrafts.
Porto, 20|22 June 2013
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Concluding remarks
The availability and integrated management of micro-databases presents
several advantages:
allows the reduction of the reporting burden and simultaneously improves the
quality of the data;
enables further economic analysis and increases flexibility; and
enhances the capacity to respond to ad hoc information requests.
In order to improve international comparison it should be encouraged in
other countries as well as in other statistical fields, as for example the
deposit operations.
Is micro-data reporting the future for interest rate statistics?
Porto, 20|22 June 2013
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Rita Lameira
Monetary and Financial Statistics Division
rlameira@bportugal.pt
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