Bank for International Settlements (BIS): Difference between revisions

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The Bank of International Settlements (BIS) is an international financial institution composed of central banks. BIS is located in Basel, Switzerland and facilitates the interaction of central banks in order to make international monetary policy more predictable and transparent. BIS does this by hosting meetings with central banks, conducting research and policy pertaining to monetary issues and financial stability, and acting as a counterparty for central banks with their transactions. They also serve as an agent with international financial operations and engage in dialogue with other financial actors. Their ultimate goal is to ensure monetary and financial stability among its 60 central bank members. "With regard to its banking activities, the customers of the BIS are central banks and international organisations. As a bank, the BIS does not accept deposits from, or provide financial services to, private individuals or corporate entities" (BIS.org). 
The Bank of International Settlements (BIS) is an international financial institution composed of central banks. BIS is located in Basel, Switzerland and facilitates the interaction of central banks in order to make international monetary policy more predictable and transparent. BIS does this by hosting meetings with central banks, conducting research and policy pertaining to monetary issues and financial stability, and acting as a counterparty for central banks with their transactions. They also serve as an agent with international financial operations and engage in dialogue with other financial actors. Their ultimate goal is to ensure monetary and financial stability among its 60 central bank members. "With regard to its banking activities, the customers of the BIS are central banks and international organizations. As a bank, the BIS does not accept deposits from, or provide financial services to, private individuals or corporate entities.


BIS' goals are portrayed in its 3 pillars:
BIS goals are explained in its 3 pillars:


*'''Pillar 1''' (Regulatory capital): Credit risk, F-IRB, A-IRB, PD, LGD, EAD, opeartional risk, market risk, value at risk
'''Pillar 1 '''(Regulatory capital): Credit risk, F-IRB, A-IRB, PD, LGD, EAD, operational risk, market risk, value at risk
**The first pillar of regulation relates to capital adequacy, which applies to equity and capital assets. Since these two assets do not alway reflect the current market nor can they account for every risk present among every trading position, BIS is able to manage and change these when needed. BIS requires that members banks have capital/asset ratios to be above a prescribed minimum in order to keep banks strong against shocks. 
*'''Pillar 2 '''(Supervisory review): economic capital, liquidity risk, legal risk
**Member banks are required to ensure liquidity and limit liability in order to reduce the risk of bank runs and to make borrowing safer for customers. BIS works to control asset inflation due to members rising fear of "bubbles". Furthermore, exporting countries are finding it difficult to manage a range of domestic monetary requirements while maintaing an export economy. Thus, BIS helps prescribe reserve levels for each countries style of exporting and domestic policy. 
*'''Pillar 3''' (Market disclosure)
**BIS makes its research and findings free to the public in order to help ensure financial and monetary stability. Their analysis covers monetary and financial policy along international banking statistics. 


BIS data covers a wide range of international banking and financial data. Pardee uses the following BIS data in its model:
*The first pillar of regulation relates to capital adequacy, which applies to equity and capital assets. Since these two assets do not alway reflect the current market nor can they account for every risk present among every trading position, BIS is able to manage and change these when needed. BIS requires that members banks have capital/asset ratios to be above a prescribed minimum in order to keep banks strong against shocks. 


=  =
'''Pillar 2 '''(Supervisory review): economic capital, liquidity risk, legal


= Credit to the Non-Financial Sector =
*Member banks are required to ensure liquidity and limit liability in order to reduce the risk of bank runs and to make borrowing safer for customers. BIS works to control asset inflation due to members rising fear of "bubbles". Furthermore, exporting countries are finding it difficult to manage a range of domestic monetary requirements while maintaining an export economy. Thus, BIS helps prescribe reserve levels for each countries style of exporting and domestic policy. 


= Debt Service Ratios for the Private Non-Financial Sector =
'''Pillar 3 '''(Market disclosure)


The BIS publishes debt service ratios (DSR) for the household, the non-financial corporate and the total private non-financial sector (PNFS) for 17 countries. Total PNFS DSRs are also available for 15 additional countries, using different income and interest rates measures, due to data availability at the national level.
*Makes its research and findings free to the public in order to help ensure financial and monetary stability. Their analysis covers monetary and financial policy along international banking statistics.


The DSR reflects the share of income used to service debt and has been found to provide important information about financial-real interactions. For one, the DSR is a reliable early warning indicator for systemic banking crises. Furthermore, a high DSR has a strong negative impact on consumption and investment. The DSRs are constructed based primarily on data from the national accounts.
= Availability =


= External Debt =
The data available ranges from as early as the 1800s to 2016. "The statistics published by the BIS are a unique source of information about the structure of and activity in the global financial system. They are compiled in cooperation with central banks and other national authorities and are designed to inform analysis of financial stability, international monetary spillovers and global liquidity"<ref>https://www.bis.org/statistics/</ref>


The Joint BIS-IMF-OECD-World Bank statistics on external debt - developed jointly by the BIS, the International Monetary Fund (IMF), the Organisation for Economic Co-operation and Development (OECD), and the World Bank (WB), disseminate data on the external debt of developed, developing and transition countries and territories, as well as statistics on selected foreign assets.
= Data source =


The joint statistics - which include quarterly data obtained by creditor and market sources, as well as national sources - provide a breakdown by instrument and, importantly, show measures of short-term debt not easily available from other sources.
The data and metadata is available here: [https://www.bis.org/statistics/index.htm?m=6|37 https://www.bis.org/statistics/index.htm?m=6%7C37]


The BIS banking and securities market statistics are a vital element in this joint effort. Although the joint statistics are unable to provide a fully comprehensive and consistent measure of total external debt in each country, they bring together the most relevant international comparative data currently available in this area.
= Definitions =


= Consumer Prices =
'''Consolidated Banking Statistics:''' These statistics measure banks' country risk exposures. They capture the worldwide consolidated claims of internationally active banks headquartered in&nbsp;[https://www.bis.org/statistics/rep_countries.htm BIS reporting countries]. The consolidated statistics include the claims of banks' foreign affiliates but exclude intragroup positions, similarly to the consolidation approach followed by banking supervisors. They detail the transfer of credit risk from the immediate counterparty to the country of ultimate risk (where the guarantor of a claim resides).


The consumer price data for the most recent periods correspond to the consumer price index published by national statistical offices. Proxy indicators, such as a consumer price index with limited coverage or a retail price index, were used to extend the series backward as far as possible.
'''Credit to the Non-Financial Sector:''' The series of credit to the non-financial sector cover advanced economies, emerging economies, as well as 43 individual state economies. "All series are published in local currency, in US dollars and as percentages of nominal GDP. The regional aggregates as percentages of GDP are calculated based on conversion to the US dollar at market and at purchasing power parity (PPP) exchange rates"<ref>http://www.bis.org/statistics/totcredit.htm</ref>. BIS records the outstanding amount of credit at the end of the each quarter. Credit to non-financial sector&nbsp;is provided by domestic banks. The term "credit" entails core debt, which is defined as loans, debt securities, currency, and deposits.&nbsp;


The average length of the monthly series is close to 55 years. Some annual series go back to the middle of the 19th century - or even earlier for several countries. The BIS constructed long consumer price index series by joining the series available for consecutive periods. In undertaking this work, the BIS worked in close coordination with national authorities with the aim of providing the most accurate data possible..
'''Credit-to-GDP Gaps:'''&nbsp;The published series cover 43 countries with the earliest recorded data starting in 1951. "The credit-to-GDP gap is defined as the difference between the credit-to-GDP ratio and its long-run trend"<ref>http://www.bis.org/statistics/c_gaps.htm?m=6%7C347</ref>. The credit-to-GDP ratio as published in the BIS database of total credit to the private non-financial sector, capturing total borrowing from all domestic and foreign sources, is used as input data. The BIS credit-to-GDP&nbsp;data captures total borrowing from all domestic and foreign sources and thus total credit to the private non-financial sector.&nbsp;


= Effective Exchange Rates =
It is important to note that the BIS publication of credit-to-GDP gaps data that is used may differ from national authorities' consideration of their own credit-to-GDP gaps because of their countercyclical capital buffer decisions. However, BIS advises national authorities to use good judgment when setting capital buffers and use the best information available for BIS' publication.&nbsp;


The BIS effective exchange rate (EER) indices cover 61 economies, including individual euro area countries and, separately, the euro area as an entity. The most recent weights are based on trade in the 2011-13 period, with 2010 as the indices' base year.
'''Debt Service Ratios for the Private Non-Financial Sector:''' BIS' statistical publication of Debt Service Ratios (DSRs) covers 17 countries and entails 3 categories which are collected from national accounts


Nominal EERs are calculated as geometric weighted averages of bilateral exchange rates. Real EERs are the same weighted averages of bilateral exchange rates adjusted by relative consumer prices. The weighting pattern is time-varying (see&nbsp;[https://www.bis.org/statistics/eer/weightsb.xlsx broad]&nbsp;and&nbsp;[https://www.bis.org/statistics/eer/weightsn.xlsx narrow]&nbsp;weights). The EER indices are available as monthly averages. An increase in the index indicates an appreciation.
1.End of quarter debt service ratios (DSR) for Households and NPISHs (percent ratio)


= Consumer Prices =
2. Private Non-Financial Sector (percent ratio)


'''Data documentation''': Pardee uses the year-on-year changes by per cent (ratio) shows more detailed changes in consumer prices compared to the 2010=100 index.&nbsp;
3. Non-Financial Corporations (percent ratio)


The BIS’s data set for consumer prices contains long monthly and annual time series for 60 countries. Pardee uses the annual series for the 60 countries because the International Futures model uses annual data. Each country's data is produced by the respective country and correlates with the&nbsp;most recent index of consumer price.&nbsp;Some of the annual series go back to the 19th century, and some go back into the 17th century. The BIS was able to construct these long consumer price index series by joining available series for consecutive periods by working with national statistical offices.&nbsp;
DSR illustrates the portion of income used to pay for debt and is a good indicator of real-time financial status of banks, which can serve as an early signal of crisis. Furthermore, if&nbsp;DSR is high&nbsp;then there is a negative correlation on low consumption and investment in the respective country.&nbsp;


= Credit to the private nonfinancial sector (needs data) =
'''Consumer Prices:'''&nbsp;The data used from BIS is the year-on-year percentage changes. The year-on-year changes capture&nbsp;the rise and fall of consumer prices more accurately than the 2010-100 index. Some of the BIS data goes back to the 1800s.&nbsp;


'''Data Documentation:&nbsp;'''The BIS publication is presented in quarterly datasets with subsets. The Pardee coder averaged the four quarters within a year and used the result as the data. &nbsp;that include:
The consumer price data for the most recent periods correspond to the consumer price index published by national statistical offices. Proxy indicators, such as a consumer price index with limited coverage or a retail price index, were used to extend the series backward as far as possible.


*Non-financial sector corporations, or sectors or all sectors banks, households, NPISHs,&nbsp;non-financial corporations,&nbsp;corporations, market value, respective country currency, domestic currency in US Dollars, adjusted for breaks, not adjusted for breaks, and GDP
The average length of the monthly series is close to 55 years. Some annual series go back to the middle of the 19th century - or even earlier for several countries. The BIS constructed long consumer price index series by joining the series available for consecutive periods. In undertaking this work, the BIS worked in close coordination with national authorities with the aim of providing the most accurate data possible.
*Percentage of GDP adjusted for breaks or US Dollar adjusted for breaks or Domestic currency&nbsp;not adjusted for breaks


All series on credit to the non-financial sector cover 43 economies, both advanced and emerging. They capture the outstanding amount of credit at the end of the reference quarter. Credit is provided by domestic banks, all other sectors of the economy and non-residents. In terms of financial instruments, credit covers the core debt, defined as&nbsp;''loans, debt securities and currency & deposits''.
'''Securities:&nbsp;'''BIS&nbsp;publication of securities includes a wide variety of instruments and maturities for three sets of statistics which are international debt securities, domestic debt securities, and total debt securities.


All series are published in local currency, in US dollars and as percentages of nominal GDP.<span style="background-color:#FFFF00;">[which did you pull? there is only one series in the excel you sent]&nbsp;</span>The regional aggregates as percentages of GDP are calculated based on conversion to the US dollar at market and at purchasing power parity (PPP) exchange rates.
The BIS compiles and publishes three sets of statistics on borrowing activity in debt capital markets:


'''Long series on total credit and domestic bank credit to the private nonfinancial sector'''
*International Debt Securities (IDS)&nbsp;are debt securities issued in a market other than the local market of the country where the borrower resides. They capture issues conventionally known as eurobonds and foreign bonds. IDS are compiled from a security-by-security database built by the BIS using information from commercial data providers"<ref>http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33</ref>.
*Domestic Debt Securities (DDS): DDS are debt securities issued in the local market of the country where the borrower resides, regardless of the currency in which the security is denominated. They are compiled from data reported to the BIS by central banks, with the exception of a few countries in which the BIS collects data via publicly available sources. The BIS calculates exchange rate-adjusted changes in stocks by assuming that amounts outstanding are denominated in the currency of the local market"<ref>http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33</ref>.
*Total Debt Securities (TDS): TDS are debt securities issued by residents in all markets (the sum of international and domestic debt securities). The BIS does not calculate TDS. This is due to potential overlaps between IDS and DDS statistics. TDS statistics are published only for countries whose central banks report the relevant data to the BIS (some central banks report only DDS or TDS, while others report both)"<ref>http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33</ref>.


&nbsp;The “private non-financial sector” includes non-financial corporations (both private-owned and public-owned), households and non-profit institutions serving households as defined in the System of National Accounts 2008<span style="background-color:#FFFF00;">[what is this? is that a report you are referencing? add a link to it or citation.]</span>. In terms of financial instruments, credit covers loans and debt securities. The series have quarterly frequency and capture the outstanding amount of credit at the end of the reference quarter <span style="background-color:#FFFF00;">[copied from above]</span>. Table 1<span style="background-color:#FFFF00;">[there is no table 1] </span>below shows the list of financial instruments, borrowers and lenders covered by the series.
'''Effective Exchange Rates''':&nbsp;BIS published the data in broad and nominal data. The BIS effective exchange rate (EER) covers 61 states' economies. These include EU member countries and the EU as an exclusive entity. The most recent weights are based on trade in the 2011-13 period, with 2010 as the indices' base year. Pardee does not include the EU entity in its data because the EU as an entity is not part of our country listings. The EERs are recorded with their respective currencies.


To encompass as long a period as possible, the construction of the long series required combining data from several sources, such as the financial accounts by institutional sector, the balance sheets of domestic banks, international banking statistics, and the balance sheets of non-bank financial institutions. In turn, some of these statistics were compiled in past periods according to earlier methodological frameworks (eg the System of National Accounts 1968, which was replaced by the System of National Accounts 1993). Where original data were published at annual frequency, the intra-annual observations were interpolated.
"Nominal EERs are calculated as geometric weighted averages of bilateral exchange rates. Real EERs are the same weighted averages of bilateral exchange rates adjusted by relative consumer prices. The weighting pattern is time-varying (see&nbsp;[https://www.bis.org/statistics/eer/weightsb.xlsx broad]&nbsp;and&nbsp;[https://www.bis.org/statistics/eer/weightsn.xlsx narrow]&nbsp;weights). The EER indices are available as monthly averages. An increase in the index indicates an appreciation"<ref>http://www.bis.org/statistics/eer.htm?m=6%7C187</ref>.&nbsp;


The combination of different sources and data from various methodological frameworks resulted in breaks in the series. The BIS is therefore, in addition, publishing a second set of series adjusted for breaks, which covers the same time span as the unadjusted series. The break-adjusted series are the result of the BIS’s own calculations, and were obtained by adjusting levels through standard statistical techniques described in the special feature on the long credit series of the March 2013 issue of the BIS Quarterly Review.&nbsp;
'''Consumer Prices:'''&nbsp;The BIS’s data set for consumer prices contains long monthly and annual time series for 60 countries. Each country's data is produced by the respective country and correlates with the&nbsp;most recent index of consumer price.&nbsp;Some of the annual series go back to the 19th century, and some go back into the 17th century. The BIS was able to construct these long consumer price index series by joining available series for consecutive periods by working with national statistical offices.&nbsp;


The data for each country include (i) credit to private non-financial sectors by domestic banks and (ii) total credit to private non-financial sectors. Moreover, for most countries, total credit is broken down into (iii) credit to non-financial corporations and (iv) credit to households and non-profit institutions serving households. <span style="background-color:#FFFF00;">[so which did you pull?]</span>&nbsp;Tables 2 and 3 below <span style="background-color:#FFFF00;">[where?]</span>&nbsp;contain more information about the methodology followed in the compilation of each time series, as well as links to websites where the most recent national data can be found. For more information, see the above-mentioned article about the long credit series.
'''Foreign Exchange Markets:'''


Since March 2016, the BIS has added the regional aggregates in the data set. Four aggregates are available: G20, advanced economies, emerging market economies and all reporting economies.2 <span style="background-color:#FFFF00;">[same comments as above]</span> The data in billions of US dollars are calculated using market exchange rates and the percentages of GDP are calculated based on conversion to US dollars at market and at purchasing power parity (PPP) exchange rates.
*''Foreign Exchange Markets Over the Counter (OTC) Interest Rate Derivatives Turnover&nbsp;''


This data set on credit to private non-financial sectors combined with the one on general government debt can provide a useful picture of the aggregated indebtedness of all non-financial sectors.<span style="background-color:#FFFF00;">[sounds good, but we only pulled, it looks like, one series, and it's unclear what that series is]</span>
"There is no unified or centrally cleared market for the majority of trades, and there is very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies&nbsp;[https://en.wikipedia.org/wiki/Financial_instrument instruments]&nbsp;are traded. This implies that there is not a&nbsp;''single''&nbsp;exchange rate but rather a number of different rates (prices), depending on what bank or market maker is trading, and where it is. In practice the rates are quite close due to&nbsp;[https://en.wikipedia.org/wiki/Arbitrage arbitrage].&nbsp;Data may differ slightly from national survey data owing to differences in aggregation procedures and rounding. The data for the Netherlands are not fully comparable over time due to reporting improvements in 2013. &nbsp; 2 Adjusted for local inter-dealer double-counting (ie “net-gross” basis)"<ref>https://en.wikipedia.org/wiki/Foreign_exchange_market</ref>.


= Debt service ratios for the private non-financial sector =
*''Foreign Exchange Turnover''


''Overview''
Trading in foreign exchange (FX) markets averaged $5.1 trillion per day in April 2016, according to the 2016 Triennial Central Bank Survey of FX and over-the-counter (OTC) derivatives markets. This is down from $5.4 trillion in April 2013. FX spot trading declined for the first time since 2001, even as activity in FX derivatives continued to increase. Trading in OTC interest rate derivatives averaged $2.7 trillion per day in April 2016, up from $2.3 trillion in April 2013.&nbsp;Single currency interest rate contracts only. Data may differ from national survey data owing to differences in aggregation procedures and rounding. Data for the Netherlands are not fully comparable over time due to reporting improvements in 2013. Adjusted for local inter-dealer double-counting (ie “net-gross” basis)<ref>http://www.bis.org/press/p160901a.htm</ref>.


"The debt service ratio (DSR) is defined as the ratio of interest payments plus amortisations to income.&nbsp;The DSR reflects the share of income used to service debt and has been found to provide important information about financial-real interactions" (BIS.org). The&nbsp;DSR is useful for detecting banking crisis and can help forecast the crisis early on. Furthermore,&nbsp;a high DSR has a strong negative impact on consumption and investment. The DSRs data is collected from national accounts.&nbsp;
'''Debt service ratios for the private non-financial sector:'''''&nbsp;''BIS' publication captures different subsets for the 32 countries listed in the report. These subsets include Households and NPISHs, Non-Financial Corporations, and Private Non-Financial Sector.


"The BIS publishes debt service ratios (DSR) for the household, the non-financial corporate and the total private non-financial sector (PNFS) for 17 countries.&nbsp;Total PNFS DSRs are also available for 15 additional countries, using different income and interest rates measures, due to data availability at the national level.&nbsp;As such, the DSR provides a flow-to-flow comparison – the flow of debt service payments divided by the flow of income. To derive the DSR on an internationally consistent basis, the BIS applies a unified methodological approach and uses, as much as possible, input data that are compiled on an internationally consistent basis" (BIS.org).&nbsp;
The debt service ratio (DSR) is defined as the ratio of interest payments plus amortisations to income.&nbsp;The DSR reflects the share of income used to service debt and has been found to provide important information about financial-real interactions"<ref>http://www.bis.org/statistics/dsr.htm?m=6%7C341</ref>. The&nbsp;DSR is useful for detecting banking crisis and can help forecast the crisis early on. Furthermore,&nbsp;a high DSR has a strong negative impact on consumption and investment. The DSRs data is collected from national accounts.


'''Data Documentation:&nbsp;'''BIS' publication captures different subsets for the 32 countries listed in the report. These subsets include Households and NPISHs, Non-Financial Corporations, and Private Non-Financial Sector. Pardee uses the 32 private non-financial sector countries datasets because it captures the&nbsp;sum of the two income measures from the household and NFC sectors that comprise&nbsp;the income of the total PNFS. This provides a&nbsp;holistic look at the data.&nbsp;
"The BIS publishes debt service ratios (DSR) for the household, the non-financial corporate and the total private non-financial sector (PNFS) for 17 countries.&nbsp;Total PNFS DSRs are also available for 15 additional countries, using different income and interest rates measures, due to data availability at the national level.&nbsp;As such, the DSR provides a flow-to-flow comparison – the flow of debt service payments divided by the flow of income. To derive the DSR on an internationally consistent basis, the BIS applies a unified methodological approach and uses, as much as possible, input data that are compiled on an internationally consistent basis"<ref>http://www.bis.org/statistics/dsr.htm?m=6%7C341</ref>.&nbsp;


'''Credit to the private nonfinancial sector:'''&nbsp;The BIS publication is presented in quarterly datasets with subsets. All series on credit to the non-financial sector cover 43 economies, both advanced and emerging. They capture the outstanding amount of credit at the end of the reference quarter. Credit is provided by domestic banks, all other sectors of the economy and non-residents. In terms of financial instruments, credit covers the core debt, defined as&nbsp;''loans, debt securities and currency & deposits.''


All series are published in local currency, in US dollars and as percentages of nominal GDP. The regional aggregates as percentages of GDP are calculated based on conversion to the US dollar at market and at purchasing power parity (PPP) exchange rates.


'''Important definitions provided by BIS.org'''
The “private non-financial sector” includes non-financial corporations (both private-owned and public-owned), households and non-profit institutions serving households. In terms of financial instruments, credit covers loans and debt securities. This long series details credit to the private non-financial sector as well as credit to the general government sector. The series captures the outstanding amount of credit at the end of the referenced quarter.


*'''Sectors''' DSRs are derived for the household sector, non-financial corporations (NFCs) and the total private non-financial sector (PNFS).
'''Property Prices:'''''&nbsp;(Data Not Used)&nbsp;''because there is very limited coverage of a few countries for a short duration of time. It does not provide a comprehensive, macro look at property prices.&nbsp;
*'''Frequency''' DSRs are compiled at quarterly frequency.
*'''Data''' The ratio uses input data from the national accounts. If these data are not available, alternative sources are used.
*'''Stock of debt'''&nbsp;Debt is defined as credit (in terms of loans and debt securities) from all sources to the PNFS, as compiled by the BIS. This includes information for the household and NFC sectors.
*'''Average interest rate on the existing stock of debt''': To accurately measure aggregate debt servicing costs, the interest rate has to reflect average interest rate conditions on the stock of debt, which contains a mix of new and old loans with different fixed and floating nominal interest rates attached to them.
**The average interest rate on the stock of debt is computed by dividing gross interest payments plus financial intermediation services indirectly measured (FISIM) by the stock of debt. FISIM is an estimate of the value of financial intermediation services provided by financial institutions. When national account compilers derive the sectoral accounts, parts of interest payments are reclassified as payments for services and allocated as output of the financial intermediation sector. In turn, this output is recorded as consumption by households and NFCs. As the aim is to identify the total burden of interest payments on borrowers regardless of their economic function, FISIM is added back to interest payments reported in the national accounts to derive effective interest payments.
*'''Income''': Income in this context corresponds to the amount of money available to economic agents to pay debt service costs. Gross disposable income (GDI) is a close approximation. GDI measures the income available to households and NFCs after interest payments and, in the case of NFCs, dividends. Hence, to accurately reflect the amount of money available to service debt, GDI has to be augmented by interest payments (and dividends for the NFCs). Excluding SDR allocations, deposits and other accounts receivable, which include trade credits. GDI complemented with these other items is called “augmented GDI”. Below is the definition of augmented GDI for each sector.
*'''Average remaining maturity''': The maturity of the total PNFS is the average of the remaining maturities of the two subsectors, weighted by the stock of debt of each sector.&nbsp;
*'''Smoothing of some components of income''': Four-quarter moving averages are applied to GDI and dividends paid.
*'''Interpolation and extrapolation''': Some data in a number of countries are originally compiled at an annual frequency. In these cases, quarterly series are derived by interpolating the annual data with the Chow-Lin method (Chow and Lin (1971)),6 using nominal GDP for GDI as well as dividends, and average bank lending rates for the average interest rate on the stock of debt. To derive the most recent quarters following the last available annual data point, series are extrapolated using the growth rate of nominal GDP for both GDI and dividends, and the change in average bank lending rates for the average interest rate on the stock of debt.


= Exchange rate =
"The residential and commercial property price statistics collate data from different countries"<ref>http://www.bis.org/statistics/pp.htm?m=6%7C288</ref>


The BIS effective exchange rate (EER) indices cover 61 economies, including individual euro area countries and, separately, the euro area as an entity. The most recent weights are based on trade in the 2011-13 period, with 2010 as the indices' base year.
'''Derivatives:'''&nbsp;The BIS publishes three sets of derivatives statistics:


Nominal EERs are calculated as geometric weighted averages of bilateral exchange rates. Real EERs are the same weighted averages of bilateral exchange rates adjusted by relative consumer prices. The weighting pattern is time-varying (see&nbsp;[https://www.bis.org/statistics/eer/weightsb.xlsx broad]&nbsp;and&nbsp;[https://www.bis.org/statistics/eer/weightsn.xlsx narrow]weights). The EER indices are available as monthly averages. An increase in the index indicates an appreciation.
*OTC derivatives - the&nbsp;[https://www.bis.org/statistics/derstats.htm semiannual survey]&nbsp;provides information about the size and structure of the largest OTC derivatives markets, while the&nbsp;[https://www.bis.org/triennial.htm Triennial Central Bank Survey], a broader survey including data from more than 50 jurisdictions, captures turnover in OTC interest rates and foreign exchange derivatives markets.fckLR*[https://www.bis.org/statistics/extderiv.htm Exchange-traded derivatives]&nbsp;- provide information about the size and structure of organised futures and options markets.


'''Introduction'''
'''External Debt:''' The Joint BIS-IMF-OECD-World Bank statistics on external debt - developed jointly by the BIS, the International Monetary Fund (IMF), the Organisation for Economic Co-operation and Development (OECD), and the World Bank (WB), disseminate data on the external debt of developed, developing and transition countries and territories, as well as statistics on selected foreign assets.


Few economic indicators attract as much controversy as those of international competitiveness. One reason for this is the imprecision of the concept: in common parlance "competitiveness" can be used to cover almost any aspect of market performance. Product quality, the ability to innovate, the capacity to adjust rapidly to customers' needs and the absence of restrictive practices in the labour market are frequently evoked in discussions of competitiveness. This paper, however, will focus on a much narrower meaning, that based on relative prices or costs. It might be stressed at the outset that the link between this narrow concept and economic performance more generally is not unambiguous. The ambiguity arises from the fact that its international relative price or cost position can be both cause and result of a country's economic performance. On the one hand, it is clear that if relative costs are too high, the ability to compete internationally can be compromised. On the other hand, successful economic performance can lead to an exchange rate appreciation, and thus to higher relative costs or prices. For instance, if enterprises in a country become more successful in the non-price dimensions of performance - if they are innovative, flexible, produce high-quality goods and so on - then the real exchange rate would be expected to strengthen. Price and wage competitiveness - the narrow concept - would thus appear to "worsen". But such "deterioration" would of course be a symptom of success, not of failure. A second reason for controversy is that even the narrow concept of competitiveness can be given many distinct statistical forms, using prices, wages and other costs. There is no one ideal measure, and the large number of different measures that are in common use often diverge appreciably. One purpose of the present study is to survey these measures and to examine key trends of the major currencies in the light of the various indicators, attempting where possible to account for the divergences observed.
The joint statistics - which include quarterly data obtained by creditor and market sources, as well as national sources - provide a breakdown by instrument and, importantly, show measures of short-term debt not easily available from other sources. The BIS banking and securities market statistics are a vital element in this joint effort. Although the joint statistics are unable to provide a fully comprehensive and consistent measure of total external debt in each country, they bring together the most relevant international comparative data currently available in this area.


Two general issues are raised in the construction of indices of real effective exchange rates. The first is the choice of currencies to be included in the calculation of relative indices. This is reviewed in the first part of Section I of this paper. One important aspect is the increased number of countries that "count" in international trade. In particular, the rise of the Asian NlEs and other dynamic economies in South-East Asia has increased the number of currencies that may need to be included in effective exchange rate calculations. The inclusion of such currencies implies significant modifications to the movement in real effective exchange rates. This is considered in more detail below.
'''Global Liquidity Indicators:'''&nbsp; The term global liquidity is used by the BIS to mean the ease of financing in global financial markets. Credit is among the key indicators of global liquidity and the focus of the global liquidity indicators estimated by the BIS<ref>http://www.bis.org/statistics/index.htm?m=6%7C37</ref>.


The second general issue concerns the choice of price or cost measure used. As for industrial countries, there are basically three sorts of measures in common use: those based on unit labour costs in manufacturing industry; those based on consumer prices (or some other broadly-based price measure); and those based on export unit values. These classic measures are reviewed in the second part of Section I; recent revisions to the indices calculated by the BIS are also discussed. The final part of Section I uses these measures to review actual developments in some major currencies over the past twenty years, paying particular attention to how and why different indicators can "tell a different story". The broad developments in competitiveness between Europe, the United States. Japan and the dynamic Asian economies provide a central focus. The successive exchange rate crises in Europe from September 1992 have of course given measures of intra-European competitiveness added interest, and what the different measures tell about this is also considered. The issues raised in measuring the competitiveness of commodity exporters (mainly in the developing world) are rather special and these are the subject of Section Ill.
'''Property prices''':&nbsp;&nbsp;Detailed data set (residential; nominal)


However, few observers any longer rely solely on the classic real effective exchange rate indices. An apparently relatively simple extension is to take the ratio of one measure to another to paint a wider picture of a country's competitive position. Most common among these are ratios of price to cost indices as a proxy for profitability; but other ratios have also been used. These are considered in Section II of this paper.
[https://www.bis.org/statistics/pp_detailed.htm This data set]&nbsp;details nominal residential prices for 58 countries, with data differing significantly from country to country in terms of type of property, area covered, priced unit etc. The set also includes a&nbsp;[https://www.bis.org/statistics/pp_selected.htm selected nominal and real residential property price series]&nbsp;at a quarterly interval<ref>http://www.bis.org/statistics/pp.htm?m=6%7C288</ref>.


A more radical departure from the classic real effective exchange rate is the greater emphasis placed on levels of competitiveness. The standard measures of relative costs and prices are limited by dependence on a quite arbitrary choice of base year. They do not allow statements such as "unit labour costs were X% higher in country X than in country Y in 1990" to be made; only statements about relative changes are possible. Yet popular assertions about actual differences in labour costs are legion. Translating this perception into operational measures has, however, always faced formidable difficulties - notably as regards the valuation of output at a consistent set of prices. But the considerable research effort made in recent years to develop carefully constructed measures of relative productivity and to compute detailed estimates of purchasing power parities has begun to tip the scales in favour of developing level-based measures, at least for a number of industrial countries. Section IV reviews some recent work in this area.
= Series Available =


A final element of recent efforts to broaden the scope of competitiveness measures is the greater attention paid to non-manufacturing: as the relative importance of manufacturing industry declines, the need for such a re-emphasis is likely to grow. Not only are non-manufacturing outputs increasingly traded, but service inputs are frequently key components of traded goods even if these inputs are themselves not directly traded. The advent of detailed sectoral national accounts in most industrial countries has greatly widened the range of measures that can be construcred. The penultimate section of this paper uses national account statistics to take an empirical look at the distinction between tradable and non-tradable goods production, examining in particular relative productivity and profitability. This analysis is, of course. highly preliminary; nevertheless, it does serve to warn against placing undue reliance on any one measure, and also uncovers other important aspects or symptoms of competitiveness.
'''Reported Series&nbsp;'''


Looking carefully at all the different measures of competitiveness cannot but instil a good deal of reticence about basing strong conclusions on any one measure. Indeed, this is the single most important point underlined in the concluding section. Nevertheless, there are a number of conclusions that would seem to be borne out by several measures. The first concerns the competitiveness of the main areas. South-East Asia remains highly competitive. The United States has become more competitive in recent years. The Japanese situation was always more ambiguous because of marked differences between sectors, with the country appearing extremely competitive in certain goods - notably in the electronics area - and over-priced in others. At any event, the recent sharp appreciation of the yen brought about a marked loss in the country's earlier competitiveness. Europe was much worse placed than the others in the early 1990s, with many indicators pointing to a serious competitiveness problem. Exchange rate changes in recent months have gone some way towards alleviating this. The second conclusion is that a number of European countries had become relatively uncompetitive even within Europe: here too the exchange rate adjustments since September 1992 have done much to correct divergences in intra-European competitiveness.
#Banking
##Locational banking statistics
##Consolidated banking statistics
#Securities
##International Debt Securities
##Domestic Debt Securities
##Total Debt Securities
#Derivatives
##Exchange-traded derivatives
##Semiannual and Triennial Over the Counter (OTC) derivatives
#Global Liquidity Indicators
#Credit to the Non-Financial Sector
#Credit-to-GDP gaps
#Debt Service ratios
#External Debt
#Property Prices
#Consumer Prices
#Effective Exchange Rates
#Payment Systems
#Foreign Exchange Markets


= Instructions on pulling BIS data =
'''Derived Series'''


= <BIS Data ''Not'' Pulled by Pardee> =
#Banking
#Consolidated banking statistics
#Securities
#Credit to the Non-Financial Sector
#Credit-to-GDP gaps
#Debt Service ratios
#Consumer Prices
#Effective Exchange Rates
#Foreign Exchange Markets


== Banking Statistics ==
= Instructions on pulling BIS data =


*
'''Credit to GDP gaps:''' The data pulled from BIS are the Actual Trend (ratio)&nbsp;and Actual Data. Pardee does not use the HP filter. The HP filter is "the long-term trend of the credit-to-GDP ratio is calculated by means of a one-sided (ie backward-looking) HP filter. The filter is run recursively for each period, and the ex post evaluation of performance of the credit gap is based on this recursive calculation"<ref>http://www.bis.org/statistics/c_gaps.htm?m=6%7C347</ref>.&nbsp;The HP filter data was not used because "the HP filter suffers from a well-known end point problem.16 This means that the estimated trend at the end point (the most recent observation) can change considerably as future data points become available"<ref>http://www.bis.org/statistics/c_gaps.htm?m=6%7C347</ref>.&nbsp;
=== Locational Banking Statistics ===


*
'''Debt Service ratio:'''&nbsp;Some countries were categorized by all 3 sets [End of quarter debt service ratios (DSR) for Households and NPISHs (percent ratio),&nbsp;Private Non-Financial Sector (percent ratio), and Non-Financial Corporations (percent ratio)], some only 2, some with only 1. Pardee has captured each category by averaging the 4 quarters within a year, and produced the average annual DSR for each category.&nbsp;
=== Consolidated Banking Statistics ===
<ul style="margin-left: 40px;">
<li>'''Reason for not pulling data:&nbsp;'''</li>
<li>'''Selected data fields''': Quarterly, Amounts outstanding/stocks, country, domestic banks, immediate counterparty basis, total claims, all instruments, total (all maturities), all currencies, all sectors, all countries excluding residents
*'''Reasoning: '''the selected fields holistically capture the variables associated with the country’s assets and liabilities in relation to all other countries and sectors that capture all instruments (e.g. loans, deposits, bills, bonds, notes, negotiable certificates of deposit, commercial paper, debentures, asset-backed securities, money market instruments and similar instruments normally traded in financial markets.). Furthermore, this data set has the largest range of documentation
*The CBS capture the worldwide consolidated positions of internationally active banking groups headquartered in reporting countries. The data include the claims of reporting banks’ foreign affiliates but exclude intragroup positions, similarly to the consolidation approach followed by banking supervisors. For example, the positions of a German bank’s subsidiary located in London – which in the LBS are included in the positions of banks in the United Kingdom – are consolidated in the CBS with those of its parent and included in positions of German banks. Currently, banking groups from 31 countries report the CBS.
*Like the LBS, the CBS are reported to the BIS at an aggregate (banking system) level rather than individual bank level. A central bank or another national authority collects data from internationally active banks in its jurisdiction, compiles national aggregates and then sends them to the BIS to calculate global aggregates. No currency breakdown is available for the CBS, and thus the BIS does not calculate adjusted changes. Comparisons of amounts outstanding between periods are thus affected by movements in exchange rates.8
*The CBS are compiled in two different ways: by immediate counterparty and by ultimate risk.
**The immediate counterparty is the entity with whom the bank contracts to lend or borrow.&nbsp;
**Ultimate risk takes aasfccount of credit risk mitigants, such as collateral, guarantees and credit protection bought, that transfer the bank’s credit exposure from one counterparty to another.&nbsp;
*'''Banks’ foreign exposures'''
**The CBS are designed to analyse the exposure of internationally active banks of different nationalities to individual countries and sectors. Exposures can take many forms: for example, cross-border claims, local claims of banks’ foreign affiliates, derivatives, guarantees, or credit commitments. The CBS provide information on each of these, and the most appropriate measure of exposure will depend on the issue being analysed. The benchmark measure in the CBS is foreign claims, which capture credit to borrowers outside the bank’s home country, including credit extended by banks’ foreign affiliates (but excluding derivatives, guarantees and 8 This complicates analysis of flows using the CBS: for instance, a depreciation of a given currency against the US dollar will result in a decline in the reported US dollar value of outstanding claims denominated in that currency (and an appreciation an increase in the reported value). 116 BIS Statistical Bulletin, September 2016 credit commitments).9 Foreign claims are the most comparable measure across banks of diverse nationalities because differences in accounting standards complicate the comparability of other measures of exposures, especially derivatives.
*The CBS on an ultimate risk basis are widely used to gauge reporting banks’ exposures to different countries and sectors. For example, they have been used to measure foreign banks’ exposures to US borrowers on the eve of the Great Financial Crisis of 2007–09, and to contrast the evolution of euro area banks’ sovereign portfolios with those of banks from the rest of the world. 10
*
'''CBS Glossary'''


&nbsp;'''amount outstanding'''''':''' Value of an asset or liability at a point in time.
'''Securities:&nbsp;'''Pardee pulled&nbsp;floating rate, exchange rate linked, inflation indexed, and straight fixed rate securities. All the data is measured in millions of US dollars.&nbsp;


&nbsp;'''domestic bank''': Bank whose controlling parent is located in the respective BIS reporting country – for example, a bank with a controlling parent located in the United States is a US domestic bank.
'''Effective Exchange Rates:'''&nbsp;Pardee has pulled Real Broad EER and Nominal Broad EER. The broad data covers the widest range of countries consistently since 1994. The BIS publication displays the EERs quarterly. Pardee has taken the average of the 4 quarters per year to create an annual average EER.


&nbsp;'''immediate counterparty basis''': Methodology whereby positions are allocated to the primary party to a contract. In the CBS, claims on an immediate counterparty basis are allocated to the country and sector of the entity to which the funds were lent.
'''Consumer Prices:'''&nbsp;Pardee uses the year-on-year changes by per cent (ratio) shows more detailed changes in consumer prices compared to the 2010=100 index.&nbsp;Pardee uses the annual series for the 60 published countries because the International Futures model uses annual data.


&nbsp;'''ultimate risk basis''': Methodology whereby positions are allocated to a third party that has contracted to assume the debts or obligations of the primary party if that party fails to perform. In the CBS, claims on an ultimate risk basis are allocated to the country and sector of the entity that guarantees the claims (or, in the case of claims on branches, the country of the parent bank).
'''Foreign Exchange Markets:''' The two datasets Pardee pulled from BIS Foreign Exchange Markets are Foreign Exchange Markets Over-the-Counter (OTC) and Foreign Exchange Turnover. Each dataset is measured on a net-gross basis&nbsp;by billions of US Dollars per country.&nbsp;


&nbsp;'''total assets''' Sum of financial assets and non-financial assets.
'''Debt service ratios for the private non-financial sector:&nbsp;'''Pardee uses the 32 private non-financial sector countries datasets because it captures the&nbsp;sum of the two income measures from the household and NFC sectors that comprise&nbsp;the income of the total PNFS. This provides a&nbsp;holistic look at the data.&nbsp;


&nbsp;'''derivative''' Instrument whose value depends on some underlying financial asset, commodity or predefined variable.
'''Credit to the Private Non-Financial Sector:'''&nbsp;The Pardee coder averaged the four quarters within a year and used the result as the data&nbsp;that include:


&nbsp;'''debt instrument''' Instrument that requires the payment of principal and/or interest at some point(s) in the future. Debt instruments may refer to liabilities or claims, and include the following: currency and deposits, debt securities, loans, provision for calls under standardised guarantees, and other accounts receivable/payable. debt security Negotiable instrument serving as evidence of a debt. Debt securities include the following instruments: bills, bonds, notes, negotiable certificates of deposit, commercial paper, debentures, asset-backed securities, money market instruments and similar instruments normally traded in financial markets.
*Non-financial sector corporations, or sectors or all sectors banks, households, NPISHs,&nbsp;non-financial corporations,&nbsp;corporations, market value, respective country currency, domestic currency in US Dollars, adjusted for breaks, not adjusted for breaks, and GDP
 
*Percentage of GDP adjusted for breaks or US Dollar adjusted for breaks or Domestic currency&nbsp;not adjusted for breaks
&nbsp;'''loans and deposits''' Non-negotiable debt instruments that are created when a creditor lends funds directly to a debtor. In the LBS, no distinction is made between loans and deposits; they are treated as economically equivalent. Loans and deposits include the cash leg of securities repurchase agreements, working capital and inter-office business.
 
&nbsp;'''remaining maturity''' Period from the reference date until the final contractually scheduled payment.
 
&nbsp;'''counterparty''' Entity that takes the opposite side of a financial contract or transaction – for example, the borrower in a loan contract, or the buyer in a sales transaction.
 
&nbsp;'''counterparty country''' Country where the counterparty resides.
 
&nbsp;'''claim''' A financial asset that has a counterpart liability. In the CBS, claims exclude financial derivatives. See also “financial asset”.
 
&nbsp;'''Debt Security instruments''': bills, bonds, notes, negotiable certificates of deposit, commercial paper, debentures, asset-backed securities, money market instruments and similar instruments normally traded in financial markets.
 
&nbsp;
</li>
 
== Credit-to-GDP Gaps ==
 
== Property Prices ==
 
The residential and commercial property price statistics collate data from different countries. With the assistance of its member central banks, the BIS has obtained approval from various national data providers to disseminate these statistics, so long as the original national sources are clearly indicated.
 
==== BIS property price statistics include four data sets: ====
 
*'''Detailed Data Set'''<br/>Contains nominal residential property prices for 58 countries. For each country, several original series are available at different frequencies. The data differ significantly from country to country - eg in terms of type of property, area covered, property vintage, priced unit, compilation method and seasonal adjustment.
*'''Selected Series (nominal and real)'''<br/>Contain data for 58 countries at a quarterly frequency (real series are the nominal price series deflated by the consumer price index), both in levels and in growth rates (ie four series per country). These indicators have been selected from the detailed data set to facilitate access for users and enhance comparability. The BIS has made the selection based on the&nbsp;''Handbook on Residential Property Prices''&nbsp;and the experience and metadata of central banks. An&nbsp;[https://www.bis.org/statistics/pp_residential.pdf analysis]&nbsp;based on these selected indicators is also released on a quarterly basis, with a particular focus on longer-term developments in the&nbsp;[https://www.bis.org/statistics/pp_residential_lt_1605.pdf May release].
*'''(Long Series)'''<br/>Provide nominal residential property prices compiled by the BIS for 18 advanced economies at a quarterly frequency starting in 1970. In February 2015, five emerging market economies were added to the data set. A single series is available for each country.
*'''Commercial Property Prices'''<br/>Contains nominal commercial property prices for 12 countries at various frequencies. The BIS aims to expand substantially the country coverage in the coming years. The data differ significantly from country to country - eg in terms of type of property, area covered and compilation method.&nbsp;
 
== Securities ==
 
*
=== Debt Securities ===
 
 
== Derivatives ==
 
*
=== Exchange-traded derivatives ===
 
*
=== Semiannual OTC derivatives ===
 
*
=== Triennial OTC derivatives ===


= References =


== Global Liquidity Indicators ==
<references />

Latest revision as of 19:50, 12 December 2016

The Bank of International Settlements (BIS) is an international financial institution composed of central banks. BIS is located in Basel, Switzerland and facilitates the interaction of central banks in order to make international monetary policy more predictable and transparent. BIS does this by hosting meetings with central banks, conducting research and policy pertaining to monetary issues and financial stability, and acting as a counterparty for central banks with their transactions. They also serve as an agent with international financial operations and engage in dialogue with other financial actors. Their ultimate goal is to ensure monetary and financial stability among its 60 central bank members. "With regard to its banking activities, the customers of the BIS are central banks and international organizations. As a bank, the BIS does not accept deposits from, or provide financial services to, private individuals or corporate entities.

BIS goals are explained in its 3 pillars:

Pillar 1 (Regulatory capital): Credit risk, F-IRB, A-IRB, PD, LGD, EAD, operational risk, market risk, value at risk

  • The first pillar of regulation relates to capital adequacy, which applies to equity and capital assets. Since these two assets do not alway reflect the current market nor can they account for every risk present among every trading position, BIS is able to manage and change these when needed. BIS requires that members banks have capital/asset ratios to be above a prescribed minimum in order to keep banks strong against shocks. 

Pillar 2 (Supervisory review): economic capital, liquidity risk, legal

  • Member banks are required to ensure liquidity and limit liability in order to reduce the risk of bank runs and to make borrowing safer for customers. BIS works to control asset inflation due to members rising fear of "bubbles". Furthermore, exporting countries are finding it difficult to manage a range of domestic monetary requirements while maintaining an export economy. Thus, BIS helps prescribe reserve levels for each countries style of exporting and domestic policy. 

Pillar 3 (Market disclosure)

  • Makes its research and findings free to the public in order to help ensure financial and monetary stability. Their analysis covers monetary and financial policy along international banking statistics.

Availability

The data available ranges from as early as the 1800s to 2016. "The statistics published by the BIS are a unique source of information about the structure of and activity in the global financial system. They are compiled in cooperation with central banks and other national authorities and are designed to inform analysis of financial stability, international monetary spillovers and global liquidity"[1]

Data source

The data and metadata is available here: https://www.bis.org/statistics/index.htm?m=6%7C37

Definitions

Consolidated Banking Statistics: These statistics measure banks' country risk exposures. They capture the worldwide consolidated claims of internationally active banks headquartered in BIS reporting countries. The consolidated statistics include the claims of banks' foreign affiliates but exclude intragroup positions, similarly to the consolidation approach followed by banking supervisors. They detail the transfer of credit risk from the immediate counterparty to the country of ultimate risk (where the guarantor of a claim resides).

Credit to the Non-Financial Sector: The series of credit to the non-financial sector cover advanced economies, emerging economies, as well as 43 individual state economies. "All series are published in local currency, in US dollars and as percentages of nominal GDP. The regional aggregates as percentages of GDP are calculated based on conversion to the US dollar at market and at purchasing power parity (PPP) exchange rates"[2]. BIS records the outstanding amount of credit at the end of the each quarter. Credit to non-financial sector is provided by domestic banks. The term "credit" entails core debt, which is defined as loans, debt securities, currency, and deposits. 

Credit-to-GDP Gaps: The published series cover 43 countries with the earliest recorded data starting in 1951. "The credit-to-GDP gap is defined as the difference between the credit-to-GDP ratio and its long-run trend"[3]. The credit-to-GDP ratio as published in the BIS database of total credit to the private non-financial sector, capturing total borrowing from all domestic and foreign sources, is used as input data. The BIS credit-to-GDP data captures total borrowing from all domestic and foreign sources and thus total credit to the private non-financial sector. 

It is important to note that the BIS publication of credit-to-GDP gaps data that is used may differ from national authorities' consideration of their own credit-to-GDP gaps because of their countercyclical capital buffer decisions. However, BIS advises national authorities to use good judgment when setting capital buffers and use the best information available for BIS' publication. 

Debt Service Ratios for the Private Non-Financial Sector: BIS' statistical publication of Debt Service Ratios (DSRs) covers 17 countries and entails 3 categories which are collected from national accounts

1.End of quarter debt service ratios (DSR) for Households and NPISHs (percent ratio)

2. Private Non-Financial Sector (percent ratio)

3. Non-Financial Corporations (percent ratio)

DSR illustrates the portion of income used to pay for debt and is a good indicator of real-time financial status of banks, which can serve as an early signal of crisis. Furthermore, if DSR is high then there is a negative correlation on low consumption and investment in the respective country. 

Consumer Prices: The data used from BIS is the year-on-year percentage changes. The year-on-year changes capture the rise and fall of consumer prices more accurately than the 2010-100 index. Some of the BIS data goes back to the 1800s. 

The consumer price data for the most recent periods correspond to the consumer price index published by national statistical offices. Proxy indicators, such as a consumer price index with limited coverage or a retail price index, were used to extend the series backward as far as possible.

The average length of the monthly series is close to 55 years. Some annual series go back to the middle of the 19th century - or even earlier for several countries. The BIS constructed long consumer price index series by joining the series available for consecutive periods. In undertaking this work, the BIS worked in close coordination with national authorities with the aim of providing the most accurate data possible.

Securities: BIS publication of securities includes a wide variety of instruments and maturities for three sets of statistics which are international debt securities, domestic debt securities, and total debt securities.

The BIS compiles and publishes three sets of statistics on borrowing activity in debt capital markets:

  • International Debt Securities (IDS) are debt securities issued in a market other than the local market of the country where the borrower resides. They capture issues conventionally known as eurobonds and foreign bonds. IDS are compiled from a security-by-security database built by the BIS using information from commercial data providers"[4].
  • Domestic Debt Securities (DDS): DDS are debt securities issued in the local market of the country where the borrower resides, regardless of the currency in which the security is denominated. They are compiled from data reported to the BIS by central banks, with the exception of a few countries in which the BIS collects data via publicly available sources. The BIS calculates exchange rate-adjusted changes in stocks by assuming that amounts outstanding are denominated in the currency of the local market"[5].
  • Total Debt Securities (TDS): TDS are debt securities issued by residents in all markets (the sum of international and domestic debt securities). The BIS does not calculate TDS. This is due to potential overlaps between IDS and DDS statistics. TDS statistics are published only for countries whose central banks report the relevant data to the BIS (some central banks report only DDS or TDS, while others report both)"[6].

Effective Exchange Rates: BIS published the data in broad and nominal data. The BIS effective exchange rate (EER) covers 61 states' economies. These include EU member countries and the EU as an exclusive entity. The most recent weights are based on trade in the 2011-13 period, with 2010 as the indices' base year. Pardee does not include the EU entity in its data because the EU as an entity is not part of our country listings. The EERs are recorded with their respective currencies.

"Nominal EERs are calculated as geometric weighted averages of bilateral exchange rates. Real EERs are the same weighted averages of bilateral exchange rates adjusted by relative consumer prices. The weighting pattern is time-varying (see broad and narrow weights). The EER indices are available as monthly averages. An increase in the index indicates an appreciation"[7]. 

Consumer Prices: The BIS’s data set for consumer prices contains long monthly and annual time series for 60 countries. Each country's data is produced by the respective country and correlates with the most recent index of consumer price. Some of the annual series go back to the 19th century, and some go back into the 17th century. The BIS was able to construct these long consumer price index series by joining available series for consecutive periods by working with national statistical offices. 

Foreign Exchange Markets:

  • Foreign Exchange Markets Over the Counter (OTC) Interest Rate Derivatives Turnover 

"There is no unified or centrally cleared market for the majority of trades, and there is very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies instruments are traded. This implies that there is not a single exchange rate but rather a number of different rates (prices), depending on what bank or market maker is trading, and where it is. In practice the rates are quite close due to arbitrage. Data may differ slightly from national survey data owing to differences in aggregation procedures and rounding. The data for the Netherlands are not fully comparable over time due to reporting improvements in 2013.   2 Adjusted for local inter-dealer double-counting (ie “net-gross” basis)"[8].

  • Foreign Exchange Turnover

Trading in foreign exchange (FX) markets averaged $5.1 trillion per day in April 2016, according to the 2016 Triennial Central Bank Survey of FX and over-the-counter (OTC) derivatives markets. This is down from $5.4 trillion in April 2013. FX spot trading declined for the first time since 2001, even as activity in FX derivatives continued to increase. Trading in OTC interest rate derivatives averaged $2.7 trillion per day in April 2016, up from $2.3 trillion in April 2013. Single currency interest rate contracts only. Data may differ from national survey data owing to differences in aggregation procedures and rounding. Data for the Netherlands are not fully comparable over time due to reporting improvements in 2013. Adjusted for local inter-dealer double-counting (ie “net-gross” basis)[9].

Debt service ratios for the private non-financial sector: BIS' publication captures different subsets for the 32 countries listed in the report. These subsets include Households and NPISHs, Non-Financial Corporations, and Private Non-Financial Sector.

The debt service ratio (DSR) is defined as the ratio of interest payments plus amortisations to income. The DSR reflects the share of income used to service debt and has been found to provide important information about financial-real interactions"[10]. The DSR is useful for detecting banking crisis and can help forecast the crisis early on. Furthermore, a high DSR has a strong negative impact on consumption and investment. The DSRs data is collected from national accounts.

"The BIS publishes debt service ratios (DSR) for the household, the non-financial corporate and the total private non-financial sector (PNFS) for 17 countries. Total PNFS DSRs are also available for 15 additional countries, using different income and interest rates measures, due to data availability at the national level. As such, the DSR provides a flow-to-flow comparison – the flow of debt service payments divided by the flow of income. To derive the DSR on an internationally consistent basis, the BIS applies a unified methodological approach and uses, as much as possible, input data that are compiled on an internationally consistent basis"[11]. 

Credit to the private nonfinancial sector: The BIS publication is presented in quarterly datasets with subsets. All series on credit to the non-financial sector cover 43 economies, both advanced and emerging. They capture the outstanding amount of credit at the end of the reference quarter. Credit is provided by domestic banks, all other sectors of the economy and non-residents. In terms of financial instruments, credit covers the core debt, defined as loans, debt securities and currency & deposits.

All series are published in local currency, in US dollars and as percentages of nominal GDP. The regional aggregates as percentages of GDP are calculated based on conversion to the US dollar at market and at purchasing power parity (PPP) exchange rates.

The “private non-financial sector” includes non-financial corporations (both private-owned and public-owned), households and non-profit institutions serving households. In terms of financial instruments, credit covers loans and debt securities. This long series details credit to the private non-financial sector as well as credit to the general government sector. The series captures the outstanding amount of credit at the end of the referenced quarter.

Property Prices: (Data Not Used) because there is very limited coverage of a few countries for a short duration of time. It does not provide a comprehensive, macro look at property prices. 

"The residential and commercial property price statistics collate data from different countries"[12]

Derivatives: The BIS publishes three sets of derivatives statistics:

  • OTC derivatives - the semiannual survey provides information about the size and structure of the largest OTC derivatives markets, while the Triennial Central Bank Survey, a broader survey including data from more than 50 jurisdictions, captures turnover in OTC interest rates and foreign exchange derivatives markets.fckLR*Exchange-traded derivatives - provide information about the size and structure of organised futures and options markets.

External Debt: The Joint BIS-IMF-OECD-World Bank statistics on external debt - developed jointly by the BIS, the International Monetary Fund (IMF), the Organisation for Economic Co-operation and Development (OECD), and the World Bank (WB), disseminate data on the external debt of developed, developing and transition countries and territories, as well as statistics on selected foreign assets.

The joint statistics - which include quarterly data obtained by creditor and market sources, as well as national sources - provide a breakdown by instrument and, importantly, show measures of short-term debt not easily available from other sources. The BIS banking and securities market statistics are a vital element in this joint effort. Although the joint statistics are unable to provide a fully comprehensive and consistent measure of total external debt in each country, they bring together the most relevant international comparative data currently available in this area.

Global Liquidity Indicators:  The term global liquidity is used by the BIS to mean the ease of financing in global financial markets. Credit is among the key indicators of global liquidity and the focus of the global liquidity indicators estimated by the BIS[13].

Property prices:  Detailed data set (residential; nominal)

This data set details nominal residential prices for 58 countries, with data differing significantly from country to country in terms of type of property, area covered, priced unit etc. The set also includes a selected nominal and real residential property price series at a quarterly interval[14].

Series Available

Reported Series 

  1. Banking
    1. Locational banking statistics
    2. Consolidated banking statistics
  2. Securities
    1. International Debt Securities
    2. Domestic Debt Securities
    3. Total Debt Securities
  3. Derivatives
    1. Exchange-traded derivatives
    2. Semiannual and Triennial Over the Counter (OTC) derivatives
  4. Global Liquidity Indicators
  5. Credit to the Non-Financial Sector
  6. Credit-to-GDP gaps
  7. Debt Service ratios
  8. External Debt
  9. Property Prices
  10. Consumer Prices
  11. Effective Exchange Rates
  12. Payment Systems
  13. Foreign Exchange Markets

Derived Series

  1. Banking
  2. Consolidated banking statistics
  3. Securities
  4. Credit to the Non-Financial Sector
  5. Credit-to-GDP gaps
  6. Debt Service ratios
  7. Consumer Prices
  8. Effective Exchange Rates
  9. Foreign Exchange Markets

Instructions on pulling BIS data

Credit to GDP gaps: The data pulled from BIS are the Actual Trend (ratio) and Actual Data. Pardee does not use the HP filter. The HP filter is "the long-term trend of the credit-to-GDP ratio is calculated by means of a one-sided (ie backward-looking) HP filter. The filter is run recursively for each period, and the ex post evaluation of performance of the credit gap is based on this recursive calculation"[15]. The HP filter data was not used because "the HP filter suffers from a well-known end point problem.16 This means that the estimated trend at the end point (the most recent observation) can change considerably as future data points become available"[16]. 

Debt Service ratio: Some countries were categorized by all 3 sets [End of quarter debt service ratios (DSR) for Households and NPISHs (percent ratio), Private Non-Financial Sector (percent ratio), and Non-Financial Corporations (percent ratio)], some only 2, some with only 1. Pardee has captured each category by averaging the 4 quarters within a year, and produced the average annual DSR for each category. 

Securities: Pardee pulled floating rate, exchange rate linked, inflation indexed, and straight fixed rate securities. All the data is measured in millions of US dollars. 

Effective Exchange Rates: Pardee has pulled Real Broad EER and Nominal Broad EER. The broad data covers the widest range of countries consistently since 1994. The BIS publication displays the EERs quarterly. Pardee has taken the average of the 4 quarters per year to create an annual average EER.

Consumer Prices: Pardee uses the year-on-year changes by per cent (ratio) shows more detailed changes in consumer prices compared to the 2010=100 index. Pardee uses the annual series for the 60 published countries because the International Futures model uses annual data.

Foreign Exchange Markets: The two datasets Pardee pulled from BIS Foreign Exchange Markets are Foreign Exchange Markets Over-the-Counter (OTC) and Foreign Exchange Turnover. Each dataset is measured on a net-gross basis by billions of US Dollars per country. 

Debt service ratios for the private non-financial sector: Pardee uses the 32 private non-financial sector countries datasets because it captures the sum of the two income measures from the household and NFC sectors that comprise the income of the total PNFS. This provides a holistic look at the data. 

Credit to the Private Non-Financial Sector: The Pardee coder averaged the four quarters within a year and used the result as the data that include:

  • Non-financial sector corporations, or sectors or all sectors banks, households, NPISHs, non-financial corporations, corporations, market value, respective country currency, domestic currency in US Dollars, adjusted for breaks, not adjusted for breaks, and GDP
  • Percentage of GDP adjusted for breaks or US Dollar adjusted for breaks or Domestic currency not adjusted for breaks

References

  1. ↑ https://www.bis.org/statistics/
  2. ↑ http://www.bis.org/statistics/totcredit.htm
  3. ↑ http://www.bis.org/statistics/c_gaps.htm?m=6%7C347
  4. ↑ http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33
  5. ↑ http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33
  6. ↑ http://www.bis.org/statistics/about_securities_stats.htm?m=6%7C33
  7. ↑ http://www.bis.org/statistics/eer.htm?m=6%7C187
  8. ↑ https://en.wikipedia.org/wiki/Foreign_exchange_market
  9. ↑ http://www.bis.org/press/p160901a.htm
  10. ↑ http://www.bis.org/statistics/dsr.htm?m=6%7C341
  11. ↑ http://www.bis.org/statistics/dsr.htm?m=6%7C341
  12. ↑ http://www.bis.org/statistics/pp.htm?m=6%7C288
  13. ↑ http://www.bis.org/statistics/index.htm?m=6%7C37
  14. ↑ http://www.bis.org/statistics/pp.htm?m=6%7C288
  15. ↑ http://www.bis.org/statistics/c_gaps.htm?m=6%7C347
  16. ↑ http://www.bis.org/statistics/c_gaps.htm?m=6%7C347
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