Survey on the Use, Compilation, and Dissemination of Macroprudential Indicators

Pages:173-179
SUMMARY

Background. Results. The Most Useful FSIs. Additional Indicators. Importance of Nondepository Financial Institutions. Disaggregation of "Depository Corporations" into Subsectors. Systemically Important Institutions. Benchmarks. Business Surveys. Compilation and Dissemination Practice. Concepts Employed. Consolidation. Valuation. Presentation.

 
INDEX
FREE EXCERPT

1. The Survey on the Use, Compilation, and Dissemination of Macroprudential Indicators was conducted by the IMF in 2000. It was an important step in the IMF's program to develop a common set of FSIs. 1

Background

2. The objective of the survey was to obtain information on national needs and practices related to FSIs to (1) gauge the usefulness of specific indicators, (2) assess compilation and dissemination practices to help identify international best practices where possible, (3) evaluate whether the SDDS or other vehicles would be appropriate to encourage the public dissemination of FSIs, and (4) explore the analytical frameworks used by member countries in macroprudential analysis.

3. The survey had two parts. The first part, the User Questionnaire, gathered information from financial supervisors, financial policymakers, and the private sector on the usefulness of the FSIs and methods of macroprudential analysis. The second part, the Compilation and Dissemination Questionnaire, inquired about national practices in compiling and disseminating FSIs.

4. The FSIs included in the survey largely focused on information about depository corporations (banks) but included some key information on their corporate and household counterparties. This focus was determined in light of the importance of banking institutions and the greater availability of information for banks compared with other types of institutions.

5. Central banks in each economy received the survey, with a request that they coordinate its distribution, completion, and return to the IMF. They were asked to distribute the survey within their economy to whichever parties they judged could best provide representative information on needs and practices relating to FSIs, such as the supervisory agency, the central government, and private sector participants.

6. A total of 122 responses (74 percent of those receiving the survey), covering 142 countries and other jurisdictions, was received. The first part of the survey ( User Questionnaire ) was completed by all 122 respondents, while 93 respondents completed the second part (the Compilation and Dissemination Questionnaire ). The high response rate to the survey is an indication of the importance being attached worldwide to issues relating to macroprudential analysis and the possible role of FSIs in such analysis. This view is bolstered by the evident effort made by respondents to thoroughly answer the survey and provide detailed comments.

Results
The Most Useful FSIs

7. Respondents judged all major categories of FSIs to be broadly useful. Indicators of capital adequacy, asset quality (lending institutions), and profitability were deemed the most useful, followed by indicators of liquidity and sensitivity to market risk. Users in industrial countries in particular deemed the liquidity and sensitivity to market risk indicators less useful than the others. Several respondents from industrial countries commented that the liquidity and sensitivity to market risk indicators were sophisticated and possibly difficult to construct with precision.

8. With the highest score possible being 4, Table A1.1 presents the 13 FSIs with an average usefulness score of 3.5 or over. These FSIs include central elements of bank soundness. Two of them-the Basel capital adequacy ratio and one of its components- relate to the capital base, which serves as a buffer to withstand shocks; four of them measure profitability, which serves to sustain the capital base. The remaining FSIs assessed to be most useful relate to the quality of banks' assets-as covered by data on non- performing loans, the distribution of assets, and asset liquidity. This list is the basis of the core indicators provided in Chapter 1.

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Table A1.1. FSIs by Type of Economy

FSI # FSI All Countries Industrial Countries Emerging Countries Developing Countries
1.1 Basel Capital Adequacy Ratio 3.8 3.7 3.9 3.6
1.1a Ratio of Basel Tier 1 capital to risk-weighted assets 3.6 3.6 3.6 3.5
2.4 Distribution of loans, by sector 3.6 3.5 3.6 3.5
2.5 Distribution of credit extended, by sector 3.5 3.3 3.6 3.6
2.8 Ratio of total large loans to own funds 3.5 3.2 3.6 3.6
2.9 Ratio of gross nonperforming loans to total assets 3.9 3.9 3.9 3.8
2.10 Ratio of gross nonperforming loans net of provisions to total assets 3.8 3.8 3.8 3.8
3.2 Ratio of profits to period-average assets (ROA) 3.6 3.5 3.8 3.6
3.3 Ratio of profits to period-average equity (ROE) 3.6 3.5 3.8 3.6
3.4 Ratio of net interest income to total income 3.5 3.3 3.6 3.6
3.8 Spread between reference lending and deposit rates 3.5 3.4 3.6 3.5
4.3 Ratio of liquid assets to total assets 3.5 3.2 3.6 3.5
4.4 Ratio of liquid assets to liquid liabilities 3.6 3.2 3.7 3.7

9. Table A1.2 presents the FSIs with an average usefulness score of 3.0 to 3.4. These FSIs form the basis of the list of encouraged indicators set out in Chapter 1. They cover some of the elements of capital adequacy, the distribution of bank credit by risk weight category and by country, the financial condition of the corporate and household sectors, some of the elements of operating income and expenses of banks, the maturity and duration of assets and liabilities, and other market risks.

Additional Indicators

10. The User Questionnaire also asked respondents to identify FSIs they considered useful but that were not covered in the survey. The most frequently identified useful additional FSIs were asset prices. Among the asset prices suggested were the prices of real estate, both commercial and residential, and equity prices, including the stock prices of the depository corporations subsector relative to the overall stock price index and stock prices disaggre- gated by industry. Moreover, to prevent the masking of relevant information through the aggregation process and to help in the identification of outliers, clustering of problem cases, or tiering in markets, there were calls for more information on the distribution or dispersion of observations. Several respondents identified the ratio of gross nonperforming loans to total loans as useful, in lieu of the FSI in the survey that used total assets as the denominator.

Importance of Nondepository Financial Institutions

11. About 80 percent of the respondents reported that information on nondepository financial institutions, markets, and activities was important to the overall analysis of financial sector soundness. On nondepository financial institutions, 2 the majority of the respondents were most interested in information on insurance corporations and pension funds, followed by information on other financial intermediaries. Many of these institutions were viewed by respondents as playing an important role in financial intermediation...

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