ECB欧洲央行-ECB-Survey-of-Monetary-Analysts-_SMA_,-December-2019_26页_499kb

ECB Survey of Monetary Analysts (SMA) Summary

Overview

The ECB conducted a survey of monetary analysts in December 2019 to gather expectations on monetary policy instruments, financial and macroeconomic variables, and the potential evolution of the euro area economy and financial markets. The survey aimed to assess the likely timing, direction, and magnitude of interest rate changes, the duration of the Asset Purchase Programme (APP) reinvestment, and macroeconomic outlooks, including GDP growth, unemployment, and inflation.

Core Content

1. Key ECB Interest Rates, Market Rates and Conditions

• Objective: Collect analysts' expectations regarding the direction, probability, timing, and magnitude of changes in key ECB interest rates (DFR, MRO, MLF) and market rates (€STR, 3-month EURIBOR).
• Key Details:
  • Analysts were asked to provide the percent chance of an increase or decrease in rates.
  • The most likely timing of the next rate change and the size of change (in basis points) were also requested.
  • The survey emphasized mutual consistency of forecasts across variables.
  • The ECB transitioned from using EONIA to €STR as the benchmark rate for short-term market conditions.
  • Swap spreads (I-Spread) for 2-year and 10-year bonds in selected euro area countries (DE, FR, IT, ES, NL) were requested for the end of 2020 Q4.
  • Analysts were also asked to estimate the lower bound for each key interest rate and the level of excess liquidity in the euro area banking system for future periods.
  • The forward guidance on policy rates was questioned, asking whether it would change and, if so, the timing of the announcement and implementation.

2. Asset Purchase Programme and Reinvestment

• Objective: Assess expectations regarding the length of the extended period of reinvestment under the APP and the end of net purchases.
• Key Details:
  • The ECB's Governing Council stated it would reinvest principal payments from maturing APP securities as long as necessary to maintain liquidity and monetary accommodation.
  • Analysts were asked to estimate the most likely length of this period (in quarters) and the percent chance of shorter or longer durations.
  • The most likely amount of reinvestments (in EUR billion) per quarter and the date of the first rate increase were requested.
  • A hypothetical scenario was introduced to evaluate the impact of postponing or bringing forward the rate increase date.
  • The composition of net purchases by purchase programme (ABSPP, CBPP3, CSPP, PSPP) was also requested for each quarter until the end of the period.
  • The forward guidance on the APP and reinvestment was questioned, including the timing of any changes.

3. Targeted Longer-Term Refinancing Operations (TLTRO II and III)

• Objective: Gather expectations on the repayment amounts of TLTRO II and the take-up under TLTRO III.
• Key Details:
  • Analysts were asked to estimate the total repayments (in EUR billion) for each quarter of TLTRO II.
  • The take-up for each TLTRO III operation and the total take-up (in EUR billion) was requested.
  • The factors behind any changes in these expectations compared to previous surveys were also invited.

4. Macroeconomic Outlook

• Objective: Assess the most likely outcomes for real GDP growth, unemployment, and HICP inflation for the euro area, including the long-run projections.
• Key Details:
  • Real GDP growth was to be provided in quarter-on-quarter terms, while unemployment was to be given as seasonally adjusted quarterly averages.
  • HICP inflation and HICP excluding energy and food were to be given in year-on-year terms.
  • The long-run HICP inflation was to be estimated with a step size of +/- 0.2%.
  • Analysts were also asked to assess the balance of risks for growth and inflation outlooks, including downside, balanced, and upside scenarios for 2019–2022.
  • The factors behind any changes in the macroeconomic outlook were requested.

Main Points

• The survey is voluntary and confidential, with personal data processed in accordance with EU Data Protection Law.
• Key interest rates (DFR, MRO, MLF) and market rates (€STR, 3-month EURIBOR) were the focus of the first section.
• The Asset Purchase Programme (APP) and its reinvestment duration were central to the second section.
• The Targeted Longer-Term Refinancing Operations (TLTRO II and III) were evaluated for repayment and take-up amounts.
• The macroeconomic outlook included forecasts for GDP growth, unemployment, and inflation, with a special focus on long-run expectations and risk assessments.

Key Information

• Survey Deadline: 18:00 CET on Friday, 29 November 2019.
• Response Format:
  • For probabilities, percent chance was required, with the sum of all probabilities equaling 100%.
  • For monetary rates and liquidity, numbers without % or bps were to be provided.
  • Dates were to be formatted as MMM YYYY.
• Data Sources: Reference data and cut-off dates were provided in an Annex.
• Contact Information: Analysts could update their contact details by emailing ecb-sma@ecb.europa.eu.
• Data Protection: The ECB's Data Protection Officer and European Data Protection Supervisor were available for any privacy-related inquiries.

Conclusion

The ECB Survey of Monetary Analysts (SMA) aimed to collect detailed forecasts and expectations from financial analysts on the evolution of monetary policy instruments, market conditions, and macroeconomic variables. The survey emphasized confidentiality, mutual consistency of forecasts, and voluntary participation, with a focus on key interest rates, APP reinvestment, TLTRO operations, and macroeconomic outlooks. It also provided a platform for analysts to explain the factors influencing their responses and to provide additional feedback.