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Trial Estimation of FISIM in Japan

Trial Estimation of FISIM in Japan. Y. Onuki ESRI. FISIM in Japanese SNA. 2000 ’93SNA (FISIM not allocated) 2005 Base year Changed 1995 to 2000 Not decided yet, but …. Index. Based on Eurostat Method No.448/98 and No.1889/2000 Some different method Trial calculation Impact on GDP

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Trial Estimation of FISIM in Japan

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  1. Trial Estimation of FISIMin Japan Y. Onuki ESRI

  2. FISIM in Japanese SNA • 2000 ’93SNA (FISIM not allocated) • 2005 Base year Changed 1995 to 2000 • Not decided yet, but …

  3. Index • Based on Eurostat Method No.448/98 and No.1889/2000 • Some different method • Trial calculation • Impact on GDP • Problems to be solved

  4. Loans Loan Rate A Reference Rate B Deposit Rate Deposits FISIM=A+B When deposits > loans

  5. S122 & S123 • S122 Other Depository Corporations • S123 Other Financial Intermediaries, except Insurance Corporations and Pension Funds • (Note) Securities companies are included in S123 in Japan. • Stock dealing on credit produces FISIM.

  6. Bank Debenture & Privately-Placed Bond • Bank Debentures are issued by some banks. • As a matter of fact, Bank Debentures are same as deposits. • Privately-Placed Bonds are issued. • They are not included in this calculation.

  7. Reference Rate • Method 1: Interest receivable on resident interbank loans, divided by stock of resident interbank loans. • Interbank: data not available • Interests paid by S122 & S123 to S122, S123, S124 & S125 (including insurance corporations and pension funds)

  8. Breakdown between institutional Sectors(1) • Loans • Interests paid to S122 & S123 (data not available) • Interests paid to S122 ,S123, S124 & S125 (data available): Sectorial FISIM (a) • Total FISIM broken down to each institutional sectors by the proportion of (a)

  9. Breakdown between institutional Sectors(2) • Deposits • Import of FISIM :intermediate consumption by S122 & S123 • Total Deposit FISIM – Import of Deposit FISIM • Distributed by the stock of deposits by each institutional sector

  10. Breakdown between Household and unincorporated enterprises(1) • Loans FISIM • Stock of loans and the interests paid: data available by 3 types • A) Consumer Loans • B) Dwelling Loans • C) Loans to unincorporated enterprises • Breakdown by the amount of each FISIM

  11. Breakdown between Household and unincorporated enterprises(2) • Deposit FISIM • Flow of Funds (data not available) • Household expenditure survey • Worker’s Household : Household • Self-Employed and Agricultural Household : Unincorporated enterprises • Breakdown by the stocks of deposits

  12. Import and Export of FISIM(1) • Flow of Funds (stock of deposits & loans) • Balance of Payment (Interests paid to/from non-resident institutions) • Deposit Interest rate > Loan Interest rate • Official Development Aid & Loan from/to overseas branch ???

  13. Import & Export of FISIM(2) • Hypothesis • The rates below are the same for Import, Export and inland dealing. • (Loan Rate-Reference Rate)/Reference Rate • (Reference Rate-Deposit Rate)/Deposit Rate • Because the difference of interest rates are large between inland deal (Yen) and trade (USD etc.).

  14. Import & Export of FISIM(3) • Export Loan FISIM • Interests paid by non-residents x M1 • Import Loan FISIM • Interests paid to non-resident banks x M1 • M1 = (Loan Rate-Reference Rate)/Reference Rate

  15. Import & Export of FISIM(4) • Export Deposit FISIM • Interests paid to non-residents x M2 • Import Deposit FISIM • Interests paid by non-resident banks x M2 • M2 = (Reference Rate-Deposit Rate)/Deposit Rate

  16. FISIM at constant prices • GDP deflator is used

  17. Difference from Eurostat Method • Deposits(96.3%) + Bank Debentures(3.7%) • Loan + Privately-Placed Bonds(>1.9%) • Interests paid to S122, S123, S124 & S125 from S122 & S123 • Loan FISIM is distributed to each sector by using Interests paid to S122, S123, S124 & S125 • Deposit FISIM distributed by Stock • Import & Export of FISIM (hypothesis)

  18. （％） 5.0000 4.5000 4.0000 3.5000 Loan 3.0000 Deposit 2.5000 2.0000 Average 1.5000 Reference 1.0000 （method1） 0.5000 0.0000 （Fiscal Year） 1995 1996 1997 1998 1999 2000 2001

  19. （Billion Yen） 30,000 25,000 20,000 FISIM 15,000 Imputed Interest 10,000 5,000 0 （Fiscal Year） 1995 1996 1997 1998 1999 2000 2001 Output

  20. FISIM & Commissions and Fees （Fiscal Year ,billion Yen, ％） 1995 1996 1997 1998 1999 2000 2001 95-01Avg. ＦＩＳＩＭ 20,569 21,114 21,296 21,667 20,489 21,599 24,144 21,554 80.0% 80.4% 81.4% 82.4% 75.3% 78.0% 80.7% 79.8% C & F 5,128 5,139 4,858 4,633 6,734 6,085 5,764 5,477 20.0% 19.6% 18.6% 17.6% 24.7% 22.0% 19.3% 20.2%

  21. （FY、billion Yen） 1995 1996 1997 1998 1999 2000 2001 Domestic output 20,569 21,114 21,296 21,667 20,489 21,599 24,144 Import 512 580 605 575 389 464 460 Export 409 406 459 509 346 398 506 Domestic Demand 20,466 20,940 21,150 21,602 20,446 21,534 24,190 Financial Institutions (A) 1,114 1,100 1,066 914 596 558 705 Non-Financial (B) 3,491 3,103 2,960 3,400 3,232 3,632 3,647 General Government (C) 3,194 3,428 3,445 3,384 3,342 3,541 3,989 Houshold 12,076 12,830 13,310 13,547 13,001 13,554 15,562 Households as consumers (D) 9,847 10,480 10,926 10,853 10,379 10,823 11,969 unincorporated enterprises (E) 2,228 2,351 2,384 2,693 2,622 2,730 3,594 Private Non-Profit (F) 591 479 368 358 274 249 285 Intermediate Demand (A+B+E) 6,834 6,554 6,411 7,007 6,451 6,920 7,946 Final Demands(C+D+F) 13,632 14,386 14,739 14,594 13,996 14,614 16,243 Allocation of FISIM

  22. ＜Nominal＞ （FY、billion Yen、％） 1995 1996 1997 1998 1999 2000 2001 95-01Avg. Impact on GDP 13,736 14,560 14,885 14,660 14,039 14,680 16,197 14,679 Final Consumption H 9,847 10,480 10,926 10,853 10,379 10,823 11,969 10,754 Gov & Non-profit 3,785 3,907 3,813 3,741 3,617 3,791 4,275 3,847 Export - Import 103 173 146 66 43 65 -46 79 （％） Impact on GDP 2.7 2.8 2.9 2.8 2.7 2.8 3.2 2.9 Final Consumption H 2.0 2.0 2.1 2.1 2.0 2.1 2.4 2.1 Gov & Non-profit 0.8 0.8 0.7 0.7 0.7 0.7 0.9 0.8 Export - Import 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 Volatility(%) GDP 11.2 3.4 1.4 0.2 3.5 3.6 13.2 5.2 Final Consumption H 8.6 2.7 2.4 0.5 2.7 2.4 9.9 4.2 Gov & Non-profit 2.5 0.2 0.9 0.2 0.7 1.0 4.0 1.3 Export - Import 0.1 0.5 0.2 0.5 0.2 0.2 0.8 0.3 Impact on Nominal GDP

  23. ＜Base year = Fiscal year of 1995＞ （FY、billion Yen、％） 1995 1996 1997 1998 1999 2000 2001 95-01avg. Impact on GDP 13,612 14,318 14,602 13,559 13,414 13,848 13,839 13,885 Household 9,748 10,279 10,556 9,926 9,826 10,058 10,103 10,071 Gov. & non-profit 3,761 3,867 3,900 3,568 3,543 3,722 3,778 3,734 Export - Import 103 172 146 65 46 67 -42 80 （％） Impact on GDP 2.7 2.8 2.8 2.6 2.6 2.7 2.7 2.7 Household 2.0 2.0 2.0 1.9 1.9 2.0 2.0 2.0 Gov. & Non-profit 0.8 0.8 0.7 0.7 0.7 0.7 0.7 0.7 Export - Import 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 Volatility(%) GDP 8.3 2.5 0.2 6.0 0.4 2.4 1.1 3.0 Household 6.1 2.0 0.4 3.5 0.3 1.1 1.2 2.1 Gov & non-profit 2.1 0.1 0.4 2.0 0.2 1.1 0.7 0.9 Export - Import 0.1 0.5 0.2 0.6 0.1 0.2 0.8 0.3 Impact on Real GDP

  24. （FY、％、billion Yen） 1995 1996 1997 1998 1999 2000 2001 GDP 504,038 516,729 521,153 514,418 510,687 515,478 502,602 Growth Rate (A) 2.5 2.5 0.9 -1.3 -0.7 0.9 -2.5 GDP with FISIM 517,773 531,288 536,038 529,078 524,726 530,157 518,800 Growth Rate (B) 2.8 2.6 0.9 -1.3 -0.8 1.0 -2.1 Impact (B-A) 0.3 0.1 0.0 -0.0 -0.1 0.1 0.4 （FY、％、billion Yen） 1995 1996 1997 1998 1999 2000 2001 GDP 498,872 511,947 523,051 516,579 509,116 513,377 507,455 Growth Rate (a) 1.4 2.6 2.2 -1.2 -1.4 0.8 -1.2 GDP with FISIM 512,484 526,265 537,653 530,138 522,530 527,225 521,295 Growth Rate (b) 1.6 2.7 2.2 -1.4 -1.4 0.9 -1.1 Impact (b-a) 0.2 0.1 -0.0 -0.2 0.0 0.1 0.0 Impact on Growth Rate <Nominal> <Base Year = FY1995>

  25. Problems to be solved • Volatility … Is there a good reason? • FISIM by industry • Long time series • Quarterly Estimation of FISIM

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