Macroeconomic Statistics and the Current Crisis: Challenges Ahead and Statistical Initiatives at the IMF

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Macroeconomic Statistics and the Current Crisis
Challenges Ahead and Statistical Initiatives at
the IMF

• Alfredo M. Leone
• Deputy Director, Statistics Department
• Meeting of the OECD Short-term Economic
  Statistics Expert Group (STESEG)
• Paris, September 10-11, 2009

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Two Key Issues Highlighted by the Current Crisis

• The integration of economies and markets, as
  evidenced by the financial crisis spreading
  worldwide.
• The growth of systemically important global
  financial institutions (SIGFIs), which spread
  across many markets worldwide.

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Key Statistical Implications of the Current
Crisis

• The critical importance of relevant statistics
  that are timely, consistent, and comparable
  across countries.
• Additional statistical needs for financial
  stability analysis.
• The difficulty, and the importance, of sound
  indicators of the degree and location of leverage
  or excessive risk-taking.
• The need to improve the communication of official
  statistics.

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Macroeconomic Statistics Challenges Ahead

• Five key areas
• Sectoral balance sheet data
• Improving availability, timeliness, frequency,
  and coverage of sectoral 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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A Balance Sheet Approachs View of the Gaps
Creditor Debtor Central Bank General Government Other Dep. Corporations Other Finan. Corporations Non-financial Corporations Other Residents Nonresidents
I. Central Bank Total Liabilities Short-term Domestic Curr Foreign Curr M- Long-term Domestic Curr Foreign Curr Equity SRF Central Bank Liabilities SRF Central Bank Liabilities SRF Central Bank Liabilities SRF Central Bank Liabilities SRF Central Bank Liabilities SRF Central Bank Liabilities IIP CPIS
II. General Gov. SRF Central Bank Assets SRF ODCs Assets SRF OFCs Assets IIP QEDS
III. Other Dep. Corporations (ODCs) SRF Central Bank Assets SRF ODCs Liabilities SRF ODCs Liabilities SRF ODCs Liabilities SRF ODCs Liabilities SRF ODCs Liabilities IIP/QEDS
IV. Other Finan. Corporations (OFCs) SRF Central Bank Assets SRF OFCs Liab. SRF OFCs Liabilities SRF OFCs Liab SRF OFCs Liab SRF OFCs Liabilities IIP/QEDS
V. Nonfinancial Corporations (NFs) SRF Central Bank Asset SRF ODCs Assets SRF OFCs Assets IIP QEDS JEDH
VI. Other Residents SRF Central Bank Assets SRF ODCs Assets SRF OFCs Assets IIP CPIS
Nonresidents SRF Central Bank Assets IIP/CPIS IIP CPIS SRF ODCs Assets IIP CPIS SRF OFCs Assets IIP/CPIS IIP CPIS IIP CPIS
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
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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)

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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

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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

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Statistical Initiatives at the IMF (1)

• Further implementation of standardized report
  forms (SRFs) to enhance the Balance Sheet
  Approach (BSA)
• Assistance to countries, including G-20
  economies, in the adoption of SRFs, leading to
  inclusion of SRF-based monetary data for more
  countries in the International Financial
  Statistics.
• More comprehensive coverage of depository
  institutions than is currently the case.
• Improving reporting data for other financial
  corporations (OFCs), a sector widely held
  responsible for a leading role in many countries
  in the current financial crisis.
• At the moment, the number of countries reporting
  data on OFCs is relatively small, about 30 out of
  115 SRF-reporting countries.

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Statistical Initiatives at the IMF (2)

• Regular compilation and dissemination of
  Financial Soundness Indicators (FSIs), a
  complement to the BSA in enhancing vulnerability
  and financial stability analysis
• http//fsi.imf.org/
• FSIs include indicators of the health of entire
  sectors of financial institutions, but also of
  the counterpart corporate and household sectors,
  and of relevant markets.
• FSIs, conceived as a new area of
  statisticsmacroprudential statisticsaims to
  fill the gap between macroeconomic statistics and
  micro-prudential data.

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Statistical Initiatives at the IMF (3)

• 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)
• http//www.imf.org/external/np/sta/wgsd/index.htm
• Preparation of a Handbook on Securities
  Statistics
• In part one of the Handbook, the conceptual
  framework covers position and flow statistics on
  debt securities issues.
• Part two, in preparation, will focus on debt
  securities holdings.

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Statistical Initiatives at the IMF (4)

• Promotion of high-frequency (quarterly) general
  government sector data on a harmonized basis
• Increasing levels of deficits and debts as a
  result of the crisis are generating increasing
  interest in fiscal data over the next years.
• STA will also continue working to raise awareness
  for data quality in GFS to ensure proper
  definitions and facilitate country comparability.
  

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Statistical Initiatives at the IMF (5)

• Development of Public Sector Debt Guide for the
  collection and dissemination of public sector
  debt statistics.
• Coordinated Direct Investment Survey (CDIS)
  project
• Proceed with a survey to improve the quality of
  Foreign Direct Investment data at global and
  bilateral levels.
• Establish a comprehensive database of direct
  investment positions (as of the end of 2009),
  disaggregated by instrument (equity and debt) and
  by counterpart economy of the immediate investor.
• More than 130 economies have already expressed an
  interest in participating in the survey.

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Concluding Remarks

• History has demonstrated that crises create new
  demands for financial and economic data
• this crisis is no different
• Work is needed along two main two tracks
• making data more accessible and timely and
• addressing new data needs arising from the
  crisis.
• International co-operation and coordination is
  key to achieve success.