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The Balance Sheet Approach: Data Needs, Data at Hand, and Data Gaps

The Balance Sheet Approach: Data Needs, Data at Hand, and Data Gaps. Alfredo M. Leone Deputy Director Statistics Department International Statistical Conference "Statistics - Investment in the Future 2" Prague, Czech Republic September 14-15, 2009.

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The Balance Sheet Approach: Data Needs, Data at Hand, and Data Gaps

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  1. The Balance Sheet Approach:Data Needs, Data at Hand, and Data Gaps Alfredo M. Leone Deputy Director Statistics Department International Statistical Conference "Statistics - Investment in the Future 2" Prague, Czech Republic September 14-15, 2009

  2. The views expressed are those of the author and should not be attributed to the International Monetary Fund, its Executive Board, or its Management. Disclaimer

  3. The Balance Sheet Approach • Focus of Analysis • Stocks of assets and liabilities • System of interlinked sectoral balance sheets • Main Applications at the IMF • Surveillance work • Crisis management • Design of IMF-supported programs • Financial stability analysis • Vulnerability analysis

  4. The Balance Sheet Approach: Analysis of Key Mismatches • Maturity mismatches • Rollover risk • Interest rate risk • Currency mismatches • Exchange rate risk • Capital structure mismatches • Debt rather than equity risks • Mismatches can lead to: • Liquidity problems • Solvency problems • Spillover effects

  5. Balance Sheet Approach: Key Indicators of a Sector’s Vulnerability • Net financial position: financial assets – financial liabilities • Net foreign currency position: foreign currency assets – foreign currency liabilities • Net short-term position: short-term assets – short-term liabilities

  6. Intersectoral Financial Asset and Liability Position Matrix Off-Balance N/A Sheet Items Incomplete Incomplete Limited country coverage Limited country coverage Limited country coverage Limited country coverage Incomplete N/A Limited country coverage N/A Incomplete Limited country coverage

  7. Data at Hand • IMF Monetary and Financial Statistics (MFS): Standardized Report Forms (SRFs) • BIS International Banking Statistics • IMF Balance of Payments and International Investment Position (BOP/IIP) • World Bank/IMF Quarterly External Debt Statistics (QEDS) • BIS/IMF/OECD/World Bank Joint External Debt Hub (JEDH) • IMF Reserves Template • IMF Coordinated Portfolio Investment Survey (CPIS) • IMF Government Finance Statistics (GFS)

  8. Data Gaps • Timeliness (reporting/disseminating lags) • Frequency (low periodicity of data) • Coverage • Country coverage • Off-balance sheet positions and special purpose vehicles (ultimate risk) • Shadow financial system • Exposures to complex structured products (credit risk transfer) • Cross-border counterparty exposures • Definition/coverage of government sector • Nonfinancial corporate and households sectors • Remaining maturity of outstanding liabilities • Nonfinancial assets (housing-related data)

  9. New Initiatives (1) • Addressing data gaps: • Establishment of the Inter-Agency Group on Economic and Financial Statistics, IAG (2008) • BIS, ECB, Eurostat, IMF (Chair), OECD, UN, WB • Coordinate work to explore data gaps and strengthen data collection • G-20 Working Group on Reinforcing International Co-operation and Promoting Integrity in Financial Markets • Asked the IMF and the Financial Stability Board (FSB) to explore gaps and provide proposals to address them to the next meeting of G-20 Finance Ministers and Central Bank Governors (late 2009) • IMFC (IMF Governing Body) welcomed the work of the IMF and FSB to provide better indicators of systemic risks and address data gaps

  10. New Initiatives (2) • Improving communication of official statistics • IAG launched common public online website (April 2009): the Principal Global Indicators which displays for G-20 economies: • Predetermined tables of statistics • Cross-country datasets • Links to national websites of central banks, regulatory agencies, and statistical offices • Links to the SDDS National Summary page • Links to websites of the IAG agencies

  11. New Initiatives (3) • Initiatives at the IMF • Further implementation of SRFs to enhance the BSA • Regular compilation and dissemination of Financial Soundness Indicators, a complement to the BSA in enhancing vulnerability and financial stability analysis • Development of a conceptual framework for the compilation and presentation of debt securities (issuance and holdings) with the BIS, ECB, and the WB (Working Group on Securities Databases) • Promotion of high-frequency (quarterly) general government sector data on a harmonized basis • Development of Public Sector Debt Guide for the collection and dissemination of public sector debt statistics. • Coordinated Direct Investment Survey (direct investment positions with equity reported separately from debt investment)

  12. Concluding Remarks: Challenges Ahead • Five key areas: • Sectoral balance sheet data • Improving availability, timeliness, frequency, and coverage of assets and liabilities • Public sector • Accounting for government intervention in response to the crisis (including contingent liabilities) • Ultimate risk and credit risk transfer • Capturing assets and liabilities of special purpose entities and off-balance sheet positions • Housing markets • Improving availability of housing-related data and making data cross-country comparable • Macroprudential risks • Improving indicators of financial soundness, including measures of leverage and liquidity.

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