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Asier Cornejo Pérez

19 June 2023
This paper contributes to the ongoing efforts by the European authorities to reduce the reporting burden for banks by assessing the statistical methods currently used to compile data on financial transactions related to securities holdings. Based on statistical information collected from the Banca d’Italia, we compare data on purchases of securities net of sales and redemptions reported by banks with transaction estimates based on indirect (balance sheet) methods that are permitted within the methodological framework of datasets compiled by the European System of Central Banks (ESCB). Although the direct method of collecting data on transactions is more costly for reporting agents, it produces results which are fully aligned with current statistical methodological standards (European System of Accounts 2010, ESA 2010). By contrast, the indirect method is a simplified and less costly approach. The recent development of high-quality data sources such as the ESCB integrated system for the market prices of securities – the Centralised Securities Database – has boosted the attractiveness of indirect methods since they have the potential to deliver accurate and reliable estimates. The significance of the differences between direct collection and indirect compilation of these data is analysed in detail for listed ISIN securities that are actively traded on exchanges, by also considering the impact of price volatility and trading activity. From an aggregated perspective, all indirect methods produce results which are comparable and consistent with the ESA 2010 methodology for all instrument types. There are some minor differences for equity instruments, due to the higher price volatility and trading activity associated with these instruments, but the overall aggregated dynamics are also well captured by indirect methods in these cases. [...]
JEL Code
C18 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Methodological Issues: General
C81 : Mathematical and Quantitative Methods→Data Collection and Data Estimation Methodology, Computer Programs→Methodology for Collecting, Estimating, and Organizing Microeconomic Data, Data Access
G15 : Financial Economics→General Financial Markets→International Financial Markets
30 June 2015
New monthly statistical indicators on government debt securities for euro area countries have now been developed on the basis of the information contained in the Centralised Securities Database (CSDB), an internal database available to the European System of Central Banks (ESCB). The CSDB is jointly operated by the ESCB and contains timely and high-quality security-by-security reference data on debt securities, equities and investment funds. The new indicators on government debt securities provide an indication of the expected disbursements made for the servicing of issued debt securities together with the associated interest rate (nominal yield), broken down by country, original and remaining maturity, currency and type of coupon rate. This paper describes in detail the newly compiled statistical information and thus contributes to further describing the euro area government bond markets. The new indicators on euro area government debt securities are also highly relevant for policy-making and monetary and fiscal analyses. They indicate that, as at December 2014, the debt service scheduled for such securities in 2015 stood at approximately 15.9% of GDP (
JEL Code
E62 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Fiscal Policy
H63 : Public Economics→National Budget, Deficit, and Debt→Debt, Debt Management, Sovereign Debt
H68 : Public Economics→National Budget, Deficit, and Debt→Forecasts of Budgets, Deficits, and Debt