2018年-ECB欧洲央行_Geographical_allocation_of_euro_area_portfolio_investment_income_debits_5页_159kb

Summary of "Geographical allocation of euro area portfolio investment income debits"

Core Content

This document outlines the methodology used to estimate the geographical allocation of euro area portfolio investment income debits, which are categorized by main geographical counterpart. The key geographical counterparts include non-euro area EU Member States, Brazil, Canada, Switzerland, China, India, Japan, Russia, the United States, and "Offshore centres". Additionally, data for the United Kingdom and Hong Kong are separately included. The objective is to enable the euro area current account to be fully compiled by geographical counterpart for the first time.

Main Geographical Counterparts

• Non-euro area EU Member States (as an aggregate)
• Brazil
• Canada
• Switzerland
• China
• India
• Japan
• Russia
• United States
• Offshore centres (as an aggregate)

Key Information

• The estimation of portfolio investment income debits is based on the assumption that euro area liabilities correspond to foreign investors' assets.
• Data for euro area liabilities are derived from foreign asset data, particularly from the IMF's Coordinated Portfolio Investment Survey (CPIS) and Treasury International Capital (TIC) data.
• Reserve assets are estimated using the IMF's Currency Composition of Foreign Exchange Reserves (COFER) survey and are assumed to be euro-denominated.
• Third-party holdings (euro area securities held by non-residents via custodians) are integrated with CPIS and SEFER/SSIO data, with caution to avoid double-counting.
• The Chow-Lin temporal disaggregation method is used to estimate quarterly data from annual or half-yearly data, ensuring consistency from 2008 onwards.

Methodology Overview

1. Estimation of Portfolio Investment Liabilities' Positions

• Non-EU counterparts: Data are derived from the CPIS and COFER surveys, with some estimates needed due to limited detail.
• EU counterparts: Data are collected directly by the ECB, and estimates are made to align with the CPIS format.
• Offshore centres: These are treated as an aggregate, with data estimated using a combination of sources.

2. Derivation of Income Flows (Debits)

• Income debits are estimated using the geographical breakdown of positions as weights.
• The average positions of the last two quarters (t-1 and t-2) are used to align with the accrual basis principle for debt securities.
• This approach is extended to equity dividends to reduce outliers and ensure consistency across financial instruments.

Assumptions and Limitations

• Non-euro area investors are assumed to hold a common portfolio of euro area securities.
• All non-euro area investors are assumed to receive the same return by instrument type and reference period.
• Euro area securities are assumed to generate the same return regardless of their country or sector of issuance.

Data Quality and Availability

• The estimates are considered robust for the main counterparts, especially non-euro area EU Member States, as they align closely with the original data.
• For non-EU counterparts without mirror data, the estimates are also deemed robust due to the consistency of the methodology.
• The Statistical Data Warehouse of the ECB provides the results of the geographical estimates starting from Q1 2013 for the main counterparts outside the EU and the United Kingdom. For other non-euro area EU Member States, only the total investment income debits series is available to protect data confidentiality.

Challenges and Considerations

• Incomplete CPIS coverage leads to the need for estimation.
• Limited participation in surveys (only 82 countries by 2017) affects data availability.
• Custodial bias may occur when securities are held through intermediaries, leading to potential misallocation.
• Data revisions from the ECB and IMF create asymmetry, which may affect the stability of estimates for residual categories.