Monetary and financial indicators (ei_mf)

Reference Metadata in Euro SDMX Metadata Structure (ESMS)

Compiling agency: Eurostat, the statistical office of the European Union.


Eurostat metadata
Reference metadata
1. Contact
2. Metadata update
3. Statistical presentation
4. Unit of measure
5. Reference Period
6. Institutional Mandate
7. Confidentiality
8. Release policy
9. Frequency of dissemination
10. Accessibility and clarity
11. Quality management
12. Relevance
13. Accuracy
14. Timeliness and punctuality
15. Coherence and comparability
16. Cost and Burden
17. Data revision
18. Statistical processing
19. Comment
Related Metadata
Annexes (including footnotes)



For any question on data and metadata, please contact: EUROPEAN STATISTICAL DATA SUPPORT

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1. Contact Top
1.1. Contact organisation

Eurostat, the statistical office of the European Union.

1.2. Contact organisation unit

Unit C1: National accounts methodology. Indicators.

1.5. Contact mail address

2920 Luxembourg LUXEMBOURG


2. Metadata update Top
2.1. Metadata last certified 27/03/2017
2.2. Metadata last posted 27/03/2017
2.3. Metadata last update 27/03/2017


3. Statistical presentation Top
3.1. Data description

The present data collection consists of the following indicators:

  • Interest rates : Day-to-day money market interest rates, 3-month interest rates, Euro yields and Long term government bond yields - Maastricht definition.
  • Euro/Ecu exchange rates: Exchange rates against the ECU/euro.
  • Effective exchange rates indices : Nominal Effective Exchange Rate, Real Effective Exchange Rate.
3.2. Classification system

Effective exchange rates: Data follow a DG ECFIN methodology. See file in Annex.

Bilateral exchange rates: The ECB applies the following rules for the euro reference rates: The reference rates are based on the regular daily concentration procedure between central banks within and outside the European System of Central Banks, which normally takes place at 2.15 p.m. CET time. The reference exchange rates are published both by electronic market information providers and on the ECB's website shortly after the concentration procedure has been completed. Only one reference exchange rate (i.e. the mid-rate) is published for each currency, using the "certain" method (i.e. 1 euro = x foreign currency units). The number of significant digits used may vary between the currencies, reflecting market conventions. However, in most cases five significant digits are used.
The euro area national central banks may publish more comprehensive lists of euro reference exchange rates than that published by the ECB.
The ECU rates as calculated by the European Commission always have six significant digits.

Euro yield curves: One series is based on "AAA-rated" euro area central government bonds, i.e. debt securities with the most favourable credit risk assessment.
The other series are based on all (AAA-rated and other) euro area central government bonds.

Short-term interest rates Series are based on national methodologies. EONIA and Euribor (see : http://www.euribor.org/) follow a European methodology. Both use the same panel of banks.

3.3. Coverage - sector

Effective exchange rates: Not applicable.
Bilateral exchange rates : Not applicable.
Euro yield curves: Only bonds issued by the central government are selected.
Short-term interest rates:  Financial insitutions.
Government bond yields: Government sector.

3.4. Statistical concepts and definitions

Interest rates

Definitions and concepts relating to short-term interest rates follow recognised international norms.

Central bank interest rates: key reference rates set by the European Central Bank and national central banks. The rates are grouped into 3 series: marginal lending facility, main refinancing operations, and deposit facility.

Day-to-day money market interest rates: euro area (EONIA - Euro OverNight Index Average) and national series. Eonia is computed as a weighted average of all overnight unsecured lending transactions in the interbank market, undertaken in the European Union and European Free Trade Association (EFTA) countries by the Panel Banks. 'Overnight' means from one TARGET day (i.e. day on which the Trans-European Automated Real-Time Gross-Settlement Express Transfer system is open) to the next TARGET day.

3-month interest rates: euro area (EURIBOR) and national series. EURIBOR is the rate at which Euro interbank term deposits are offered by one prime bank to another prime bank within the EMU zone, and is calculated at 11:00 a.m. (CET) for spot value (T+2).

Euro yields: series are based on "AAA-rated" zero-coupon euro area central government bonds. The series comprise 3 maturities – 1 year, 5 years, and 10 years. A yield curve is a representation of the relationship between market remuneration rates and the remaining time to maturity of debt securities. A yield curve can also be described as the term structure of interest rates.

Long-term interest rates: definition used is the convergence criterion for EMU (monthly average of central government bond yields on the secondary market, gross of tax, with around 10 years' residual maturity). The series are harmonised for all the Member States apart from Estonia. The Estonian series is not harmonised and is not available in this collection, but is published by the ECB. The series of Luxembourg is fully harmonised only from June 2010.

Exchange rates

Exchange rates against the euro (ECU before January 1999): monthly average and end-month rates of the euro/ECU against a range of currencies. Euro rates are reference rates, ie. mid-rate, as published by the ECB (excluding MKD/euro rate which is sent to Eurostat by the national central bank). The number of significant digits used may vary between the currencies, reflecting market conventions. However, in most cases five significant digits are used.

Nominal effective exchange rate (NEER)

The NEER (or, equivalently, the "Trade-weighted currency index") of a country (or currency area) aims to track changes in the value of that country's currency relative to the currencies of its principal trading partners. It is calculated as a weighted geometric average of the bilateral exchange rates against the currencies of competing countries.

Real effective exchange rate (REER)

Changes in cost and price competitiveness depend not only on exchange rate movements but also on cost and price trends. The REER (or, equivalently, the "Relative price and cost indicators") aims to assess a country's (or currency area's) price or cost competitiveness relative to its principal competitors in international markets. It corresponds to the NEER deflated by nominal unit labour costs (total economy) and consumer prices (CPI/HICP).

The data are presented in the form of indices. Quarterly and yearly data are means of the monthly figures.

Industrial countries' effective exchange rates including New Member States series:

There are four different trade-weighted baskets of competitor countries:

  • EA19= Belgium, Germany, Greece, Spain, France, Ireland, Italy, Luxembourg, Netherlands, Austria, Portugal, Finland, Estonia, Cyprus, Latvia, Malta, Slovenia, Slovakia and Lithuania.
  • EU28 = EA19+ Denmark, Sweden, United Kingdom + Czech Republic, Latvia, Hungary, Poland, Bulgaria and Romania.
  • IC37 = EU28 + 9 other industrial countries (Australia, Canada, United States, Japan, Norway, New Zealand, Mexico, Switzerland and Turkey).
  • Broad group (42) = IC37 + 5 other industrial countries (Russia, China, Brazil, South Korea and Hong Kong).
3.5. Statistical unit

Financial institutions - Not available for effective exchange rates.

3.6. Statistical population

Financial institutions. Not available for effective exchange rates.

3.7. Reference area

Euro area, EU aggregates and Member States. For some series data are available for Norway, Switzerland, FYROM, Turkey, USA, and Japan. For the effective exchange rates, the trade-weighted baskets of competitor countries are stipulated in 3.4

3.8. Coverage - Time

The majority of the series start in the early 1990s but some series are much longer. The euro yields are available from January 2007 onwards. Exchange rates vs. euro/ECU are available from the 1970s onwards, effective exchange rates from 1994 onwards.

For euro area countries, euro area series replace national monetary aggregates, exchange rates, and short-term interest rate series from January 1999 (January 2001 for Greece, January 2007 for Slovenia, January 2008 for Malta and Cyprus and January 2009 for Slovakia).

3.9. Base period

Effective exchange rates: 2005 = 100.


4. Unit of measure Top

Various, depending on the series. Interest rates are expressed in percentages per annum. Euro yields and long-term interest rates refer to the yield to maturity. Effective exchange rates are expressed in indices.


5. Reference Period Top

All series are monthly.


6. Institutional Mandate Top
6.1. Institutional Mandate - legal acts and other agreements

Long-term interest rates: the legal basis is Article 121 of the Treaty establishing the European Community (1992) and Protocol on the convergence criteria.

Exchange rates: Council Regulation (EC) No 1478/2000  of 19 June 2000 amending Regulation (EC) No 2866/98 on the conversion rates between the euro and the currencies of the Member States adopting the euro.

6.2. Institutional Mandate - data sharing

ECB has primary responsibility at the European level for monetary and financial indicators. Long-term interest rates: European Commission and ECB share responsibilities.


7. Confidentiality Top
7.1. Confidentiality - policy

Regulation (EC) No 223/2009 on European statistics (recital 24 and Article 20(4)) of 11 March 2009 (OJ L 87, p. 164), stipulates the need to establish common principles and guidelines ensuring the confidentiality of data used for the production of European statistics and the access to those confidential data with due account for technical developments and the requirements of users in a democratic society.

7.2. Confidentiality - data treatment

Some series are not disseminated to the general public.


8. Release policy Top
8.1. Release calendar

3-month interest rate, long-term interest rate: the precise date of release each month of these series is disseminated in the calendar on the Eurostat website.

A release calendar is not available for effective exchange rates.

8.2. Release calendar access

The release dates are disseminated on Euro-Indicators Release Calendar.

8.3. Release policy - user access

In line with the Community legal framework and the European Statistics Code of Practice Eurostat disseminates European statistics on Eurostat's website (see item 10 - 'Accessibility and clarity') respecting professional independence and in an objective, professional and transparent manner in which all users are treated equitably. The detailed arrangements are governed by the Eurostat protocol on impartial access to Eurostat data for users.


9. Frequency of dissemination Top

Monthly.


10. Accessibility and clarity Top
10.1. Dissemination format - News release

Eurostat does not normally produce news releases on monetary and financial indicators. ECB produces a monthly news release on monetary developments in the euro area.

10.2. Dissemination format - Publications

Data may appear in various Eurostat publications, including the monthly Eurostatistics.

Quarterly Report by DG ECFIN on their website.

10.3. Dissemination format - online database

Please consult free data on-line or refer to contact details.

10.4. Dissemination format - microdata access

Not applicable.

10.5. Dissemination format - other

Not applicable.

10.6. Documentation on methodology

Further information on all series may be obtained from the source ESMS metadata (see 'Related Metadata').

For methodology on EURIBOR and EONIA, see  http://www.euribor.org/.

Methodology on the euro yield curve may be found at the following address:
http://www.ecb.de/stats/money/yc/html/index.en.html.

Long-term interest rates: details of the selection criteria for the EMU convergence series, including the yield formula used may be obtained from ECB.

Effective exchange rates: Data follow a DG ECFIN methodology:

http://ec.europa.eu/economy_finance/db_indicators/competitiveness/index_en.htm

10.7. Quality management - documentation

Quality report 2015 (published in April 2016) on monetary and financial statistics is produced by the ECB.

Effective exchange rates: Not available.


11. Quality management Top
11.1. Quality assurance

Euro yields: an outlier removal mechanism is applied to bonds that have passed the selection criteria for calculating the curve.

Effective exchange rates: The entire dataset is recalculated every quarter.

11.2. Quality management - assessment

Not available.


12. Relevance Top
12.1. Relevance - User Needs

The euro yield curve is the only official source on government bond yield estimations of all maturities for the euro area.

Long-term interest rates: used for the EMU convergence reports of ECB and the European Commission.

Effective exchange rates are used as competitiveness indicators.

12.2. Relevance - User Satisfaction

Please consult the last release of Eurostat user satisfaction survey.

12.3. Completeness

Depending on the indicator there is generally good coverage since the early 1990s.  EU aggregate series, when compilation depends on all the component series being available, are often of a short time span.


13. Accuracy Top
13.1. Accuracy - overall

Generally accuracy is very high. However, within some series there are comparability problems due to differences in definitions.

Euro yields: accuracy is very high up to 10 years' maturity.  For longer maturities the number of bonds available for calculation is smaller.

13.2. Sampling error

Not applicable.

13.3. Non-sampling error

Not available information.


14. Timeliness and punctuality Top
14.1. Timeliness

Interest rates and euro/ECU exchange rates: tests are undertaken on key series to ensure that the latest data are available on time at Eurostat.

Interest rates: monthly data in general around 10 days after the end of the month. However, euro area central bank interest rates are updated at t+2 working days.

Exchange rates vs. euro: t+2 working days. Effective exchange rates: Between t+3 months and t+6 months depending on the availability of the basic data.

14.2. Punctuality

Updates are usually implemented as scheduled for data with a calendar release.


15. Coherence and comparability Top
15.1. Comparability - geographical

Comparability across countries is not always fully uniform, depending on the series.

Euro yields are not strictly comparable with other yield estimations.

15.2. Comparability - over time

Generally the data are fully comparable over time. Significant series breaks are flagged.

15.3. Coherence - cross domain

Effective exchange rates: There is no agreed methodology available in the economic literature. As a result data varies slightly between different compilers: DG ECFIN, ECB, IMF and others.

Other indicators: Generally the data should be fully coherent with ECB and national sources.

15.4. Coherence - internal

Euro yields of 10-year maturity do not correspond to the long-term interest rate series (which is based on bonds of around 10 years' maturity), due to different statistical methodology.


16. Cost and Burden Top

Effective exchange rates: No collection of data involved, only the compilation and dissemination.


17. Data revision Top
17.1. Data revision - policy

Generally, revisions arise when the source data are revised, or when there is a change in source or a change in methodology.

Effective exchange rate series are revised every production cycle i.e. quarterly.

17.2. Data revision - practice

Effective exchange rates: Data are not marked as provisional but are subject to revision. Revisions are frequent i.e. every quarter.

 For other series, revisions are quite rare. Major changes in methodology are announced beforehand and are reflected in the metadata.


18. Statistical processing Top
18.1. Source data

Interest rates: the main source of data is the ECB. For non-EU countries, some rates are provided by national central banks. ECB provides all euro area aggregates. Eurostat is responsible for calculating EU aggregates.

Exchange rates vs. euro: source is the ECB, except for the MKD rate provided by the national central bank. Until 31 December 1998 these series refer to the ECU and the source was the European Commission.

Effective exchange rates: source is DG ECFIN.

18.2. Frequency of data collection

Series are all monthly, but the following series are based on daily data collection by the ECB: euro yields, long-term interest rate, exchange rates vs. euro.

18.3. Data collection

Series are generally transmitted to Eurostat via electronic means.

18.4. Data validation

Exchange rates: Data may be checked with DG ECFIN.

Interest rates: Data may be checked with National authorities, the ECB and the FBE (European banking association).

18.5. Data compilation

Interest rates (exc. euro yields): For EU aggregates and before 1999 for euro area, the weightings are national GDP at current prices and purchasing power standards. From January 1999, the weightings for the euro area  long-term interest rate aggregate are based on each country's nominal stock of government bonds of around 10 years' maturity.

Euro yields: see ECB technical note.

Effective exchange rates: The EU28 and euro-area aggregates are calculated by taking as weights each country's share of extra-EU or extra-EMU trade. Note that the series for individual euro-area countries continue beyond the establishment of the monetary union: their effective exchange rates will continue to vary because of differing trade patterns and cost or price trends.

18.6. Adjustment

None of the series are seasonally adjusted. ECB provides the SA series for the euro area, whereas Eurostat calculates SA series for national data.

Double export weights are used to calculate NEERs and REERs, reflecting not only competition in the home markets of the various competitors, but also competition in export markets elsewhere.


19. Comment Top

Real effective exchange rates indices with the following deflators are available on demand:

  • The GDP deflator (market prices)
  • The price deflator of exports of goods and services


Related metadata Top
irt_euryld_esms - Euro yield curves
irt_st_esms - Short-term interest rates


Annexes Top
Metohodological notes - effective exchange rates
Statistical treatment of Eurosystem's international reserves