21 September 2009

The present data collection consists of the following indicators:

• Interest rates: central bank interest rates, day-to-day money market interest rates, 3-month interest rates, euro yields, long-term government bond yields.
• Exchange rates: euro/ECU exchange rates, nominal effective exchange rates, real effective exchange rates.
• Monetary aggregates: money supply, loans by MFIs.
• Financial aggregates: foreign official reserves including gold, stock market capitalisation, share price indices.

Not applicable for most series - see section 3.4 below for concepts and definitions specific to each series.

Harmonised series on monetary aggregates and foreign official reserves comply with ECB classifications on monetary statistics and IIP (international investment position) statistics respectively.

Data are supplied by the financial corporations sector (mostly by ECB and national central banks).

The bonds referred to in the series on euro yields and the series on long-term interest rates are bonds issued by the central government sub-sector.

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.

3-month interest rates: euro area (EURIBOR) and national series.

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.

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 25 of the Member States: the series of Estonia and Luxembourg are not fully harmonised.

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 and real effective exchange rates: monthly average trade-weighted effective rates. For the real rate, consumer prices are used as deflator.

Monetary aggregates

The series are derived from the balance sheets of monetary financial institutions, who report the data monthly to the ECB in accordance with ECB regulations.

Money supply: M1, M2, and M3 data are end-month amounts in euro (NSA and SA), monthly percent changes (SA), and annual percent changes (NSA).

Loans to residents by monetary financial institutions: end-month amounts in euro and annual percent changes. The total is broken down into general government and other residents.

Financial aggregates

Stock market capitalisation: end-month amounts in euro, calculated by multiplying the volume of shares quoted on the stock market by their market value. The series covers common and preferred shares, and shares without voting rights. Excluded are investment funds; rights, warrants, convertible instruments; options, futures; listed foreign shares and companies whose only business goal is to hold shares of other listed companies.

Share price indices: monthly average indices for European and national share price indices, rebased to a common base period. Specific compilation rules apply to each index.

Foreign official reserves, including gold: end-month amounts in euro. Foreign official reserves of countries not belonging to the euro area include holdings denominated in euro or its former national denominations.

Financial institutions.

Financial institutions.

Euro area, EU aggregates and Member States. For some series data are available for Iceland, Norway, Switzerland, Croatia, FYROM, Turkey, USA, and Japan. In the stock market capitalisation series, since 2001 EURONEXT replaces the national series of Belgium, France and the Netherlands, and from 2002 onwards also Portugal.

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. Monetary aggregate series tend to start in the late 1990s. Some stock market capitalisation series start in the late 1990s or later. Foreign official reserves series start mostly in 1980 (euro area aggregate in December 1991).

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).

Effective exchange rates: first quarter of 1999 = 100.

Share price indices: 1995 =100.

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.

All series are monthly averages, except the following which are end-of-month: central bank interest rates, stock market capitalisation, money supply, loans by MFIs, foreign official reserves. Also end-of-month exchange rates vs. euro are available.

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.

Monetary aggregates, foreign official reserves: Regulations of the ECB.

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

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.

Some series are not disseminated to the general public.

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

Eurostat's release calendar is available at:

http://epp.eurostat.ec.europa.eu/portal/pls/portal/ddis.release_calendar.xml

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 - 'Dissemination format') 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.

Monthly

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.

SIF No 9/2008: Latest developments on interest rates, in 2007.

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

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

Not applicable

See: http://ec.europa.eu/eurostat

Further information on all series may be obtained from the ESMS metadata in Eurostat's statistics database at: http://epp.eurostat.ec.europa.eu/portal/page/portal/statistics/search_database.

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/db_indicators8642_en.htm.

Stock market capitalisation: see http://www.world-exchanges.org/statistics and http://www.fese.be/en/.

Foreign official reserves: for euro area aggregate and participating country series, see Statistical treatment of the Eurosystem's international reserves.

Monetary aggregates: extensive documentation available from the European Central Bank.

Quality reports on monetary and financial statistics are produced by the ECB.

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

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

not available

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.

Exchange rates: Other statistical domains use bilateral exchange rates for compiling EU aggregates. 

Not available information.

Depending on the indicator there is generally good coverage since the early 1990s. Market capitalisation, share price indices, and monetary aggregates series are less complete. EU aggregate series, when compilation depends on all the component series being available, are often of a short time span.

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.

Not available information.

Not available information.

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: t+3 months.

Stock market capitalisation, share price indices, monetary aggregates: around t+20 days. Foreign official reserves: around t+24 days.

Monetary aggregates: around t+28 days.

Updates are usually implemented as scheduled.

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

Euro yields are not strictly comparable with other yield estimations.

Stock market capitalisation: cross-country comparisons should be treated with caution because of differing national definitions, reporting rules and calculation methods.

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

Full coherence with Eurostat's public statistics database. Generally the data should be fully coherent with ECB and national sources.

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.

Not available information.

Generally, revisions arise when there are revisions to the source data, or when there is a change in source or a change in methodology. For most series revisions are quite rare.

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

Latest data on monetary aggregates are often revised in the subsequent month.

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

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.

Stock market capitalisation: World Federation of Exchanges, Federation of European Securities Exchanges (FESE).

Share price indices, monetary aggregates, foreign official reserves: source is ECB.

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.

Series are generally transmitted to Eurostat via electronic means.

Data may be checked with the source.

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 document: http://www.ecb.de/stats/money/yc/html/technical_notes.pdf

Effective exchange rates: see DG ECFIN methodology. 

Monetary aggregates: for series which comply with the harmonised definitions of the ECB, compilation rules are contained in ECB legal instruments, in particular ECB Regulation 2001/13 of 22 November 2001. For series based on national definitions, compilation rules are contained in national regulations, which are generally compatible with international standards.

Stock market capitalisation: Euro area and EU-27 aggregates are the sum of the individual countries' data.

Foreign official reserves: for series which comply with the harmonised definitions of the ECB, compilation rules are contained in ECB legal instruments, in particular ECB Guideline of 2nd May 2003. For series based on national definitions, compilation rules are contained in national regulations, which are generally compatible with international standards.

None of the series are seasonally adjusted, except for money supply series M1, M2, and M3. ECB provides the SA series for the euro area, whereas Eurostat calculates SA series for national data.

Long-term interest rates: see also Statistics in focus 9/2008 : Latest developments on interest rates, in 2007