Information and internet technology has fostered new web-based services that affect every facet of today’s economic and financial activity. This creates enormous quantities of “big data” – defined as “the massive volume of data that is generated by the increasing use of digital tools and information systems” (FSB (2017)). Such data are produced in real time, in differing formats, and by a wide range of institutions and individuals. For their part, central banks face a surge in “financial big data sets”, reflecting the combination of new, rapidly developing electronic footprints as well as large and growing financial, administrative and commercial records.
The European Central Bank Statistics Paper Series (SPS) is a channel for statisticians, economists and other professionals to publish innovative work undertaken in the area of statistics and related methodologies that is of interest to central banks.
The SPS nr 28 titled " Disentangling euro area portfolios: new evidence on cross-border securities holdings” presents a detailed set of new, quantity-based indicators of financial integration in the euro area.
The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the portfolio changes observed since the financial crisis. Three key developments since the crisis stand out.
First, we find that financial integration in equity is less than that in the debt market, although the equity market was the main contributor to the partial recovery in financial integration observed since mid-2012.
Second, we observe a gradual shift in cross-border investment activity from the banking sector towards other non-bank financial entities. In particular, our results show that euro area banks significantly decreased their investment in debt securities issued by banks in other euro area countries and that this decrease explains around 55% of the decline in financial integration in the debt market observed since the crisis.
Finally, we find that the sharp decrease in financial integration between 2009 and 2012 was mainly driven by foreign investor flight from government debt securities, a trend that has since reversed.
Invitation to the 2018 Conference of European Statistics Stakeholders at the University of Bamberg in Bamberg, Germany from 18 to 19 October 2018
Are you a data user looking for an integrated picture of complex economic and social developments to prepare better decisions for the development of Europe? Are you a researcher interested in experimenting with new statistical methods to expand and improve our understanding of complex phenomena? Are you involved in the production of European statistics and interested in exploring innovative methods and ways of communication and dissemination? Are you a data analyst interested in further developing the use of micro-data, while still applying the rules of statistical confidentiality?
Then the 2018 Conference of European Statistics Stakeholders (CESS 2018) is the right place for you to present your work and to discuss the challenges that you face when using or producing statistics, and the ways in which you would like statistics to improve. The Conference will be organised according to three thematic blocks - Statistics, Science and Society.
A new release in the ECB Statistics paper series has just been published - "Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves”.
The European Central Bank (ECB), as part of its forward-looking strategy, needs high-quality financial market statistical indicators as a means to facilitate evidence-based and sound decision-making. Such indicators include timely market intelligence and information to gauge investors’ expectations and reaction functions with regard to policy decisions. The main use of yield curve estimations from an ECB monetary policy perspective is to obtain a proper empirical representation of the term structure of interest rates for the euro area which can be interpreted in terms of market expectations of monetary policy, economic activity and inflation expectations over short-, medium- and long-term horizons. Yield curves therefore play a pivotal role in the monitoring of the term structure of interest rates in the euro area.