Estimation of euro currency in circulation outside the euro area 1

Transcription

1 EXTERNAL STATISTICS DIVISION ECB-PUBLIC 6 April 2017 ETS/2017/091 Esimain f er crrency in circlain side he er area 1 1. Inrdcin Recen empirical evidence n crrency in circlain has shwn a significan incnsisency beween al crrency in circlain and he esimaes f hldings in varis saisical dmains. 2 Sme f he evidence pins he Erpean Cenral Bank (ECB) esimae f er crrency circlaing side he er area as a prminen case f his incnsisency. 3 In his cnex, in 2015 and 2016 he Erpean Sysem f Cenral Banks (ESCB) discssed alernaive mehds fr he esimain f circlain side he er area. A new mehdlgy was apprved in December 2016 and inrdced n 6 April 2017 wih he release f qarerly balance f paymens (b..p.) and inernainal invesmen psiin (i.i.p.) saisics fr he las qarer f The fllwing secins presen and explain he new mehdlgy sed esimae er crrency hldings by nn-er area residens. 2. New esimain mehd: lwer and pper bnds Given he large variabiliy in he resls f he varis esimain mehds esed and discssed by he ESCB Saisics Cmmiee (STC) in 2016, i was decided cnine sing a linear cmbinain f w mehds raher han selecing a single mehd. Tw esimaes have been chsen se bndaries circlain side he er area by esablishing a lwer limi (an esimae f minimm circlain nder cerain reasnable assmpins n n bservable daa) and an pper limi (an esimae f a maximm circlain, als n nder cerain assmpins) In his ne, he erms er crrency, er banknes r simply banknes are all synnyms and refer er banknes and cins, nless herwise specified. The evidence was gahered dring an annal exercise recncile he al amn f er crrency in circlain and he sm f esimaes f he individal er area cnries hldings in he cnex f nainal financial accns and he esimaed hldings by nn-er area residens cmpiled fr b..p./i.i.p. and er area accns (see fne 3). Since 2004, circlain side he er area has been esimaed as a weighed average f w cmpnens. The firs cmpnen (wih a weighing f 75%) esimaes nn-er area hldings as a fixed percenage (9.39%) f al er banknes in circlain. The secnd esimae (wih a weighing f 25%) is based n a fixed prprin (4.16%) f cins banknes in circlain.

2 The specific chice f mehds fr he esimain f lwer and pper bnds akes in cnsiderain heir siabiliy fr he prpse as well as wheher hey make se f infrmain and mehds readily and reglarly available saisicians a high freqency. This apprach rled mehds fr which i is n pssible garanee he prvisin f resls n a reglar basis, e.g. hse mdelling he demand fr crrency r expliing he infrmain n seasnaliy. The prpsed lwer and pper bnds and he reasning behind heir selecin are presened belw. The mean pin f he inerval is prpsed as he pin esimae f circlain side he er area. a) Lwer bnd: accmlaed shipmens f high denminain banknes The ECB has clleced mnhly infrmain n shipmens f er banknes /frm cnries side he er-area since he inrdcin f he er in 2002, inclding a breakdwn by bankne denminain since Apar frm sme recen ad hc srveys, his infrmain is he nly direc daa srce n crss-brder crrency flws available in he er area. This daa se, hwever, nly capres flws via fficial channels, n crrency enering and leaving he er area by her means, e.g. ravel/rism r her crss-brder cash paymens. Eqain (1) gives a represenain f circlain abrad (F) as he accmlain f fficial exprs and imprs (x, i ), which are cvered by he afremenined saisics n shipmens, and he accmlain f her crss-brder flws (x, i ), n cvered by said saisics. F = x i + x i (1) Ne shipmens ( x i ) serve as a lwer bnd F if we assme ha he nbserved x i > 0, i.e. ha he nfficial channel presens ne psiive flws. There are reasns believe ha his is indeed he case. Anecdal evidence, fr example, indicaes ha er area ravellers r migran wrkers ake a significan qaniy f er banknes wih hem when ravelling nn-er area cnries. Therefre, a simple accmlain f recrded ne bankne shipmens wld clearly nderesimae al er bankne hldings by nn-residens and esablish a lwer bnd. Mrever, he bservain ha he repred ne shipmens f 50 banknes is negaive (i.e. mre 50 banknes ener he er area han leave i hrgh fficial channels) raises he qesin f wheher a beer (higher in his case) lwer bnd fr nn-residens hldings f er banknes cld be esablished by lking in he bankne denminain srcre. The refined bankne shipmens mehd akes his apprach and relies n hree assmpins: i. demand fr lw and high denminains is srcrally differen; lw denminains are mainly sed fr ransacin prpses (and herefre mre likely remain wihin he er area), whereas high denminains are msly sed fr harding prpses; 2

3 ii. iii. high denminains (i.e. 100, 200 and 500 banknes 4 ) are mre likely fllw he fficial migrain channel as regards inflws (re-imprs), meanings ha her channels are mre likely presen ne psiive flws fr hese denminains; 5 he srcre f he exernal demand by denminain ver he pas hree years is represenaive f he demand srcre fr he verall perid, i.e. frm The prpsed mehd recgnises he fac ha here is mre cerainy ab he sign f nn-fficial flws fr high denminain banknes han fr lw denminains. Fr he frmer, a psiive sign is expeced [ x i in (1)] and fficial ne flws cnsie a lwer bnd. Fr he laer, n pariclar sign is expeced, and he nly reasnable and cnservaive lwer limi fr circlain abrad is zer. As infrmain n shipmens by denminain is available nly frm (reference perid) Janary 2013 nwards, deriving a sck series f high denminain banknes saring in 2002 reqired sme addiinal seps. As a firs sep, he mnhly share f each denminain was calclaed sing he bserved series f bankne issances fr he available daa since The share was hen caegrised beween lw ( 20 and smaller) and high ( 100 and higher) denminains (he 50 banknes were exclded frm he analysis wing heir negaive sign). Secnd, hese mnhly shares were applied he knwn als f er banknes expred and impred in rder esimae he shipmen f banknes by denminain fr he perid (assmpin iii. abve). As a final sep, he difference beween high denminain banknes expred and impred was calclaed and cmlaed ver ime. High and lw denminains were issed in apprximaely he same prprin. Hwever, he percenage f high denminains expred was significanly larger han ha f lw denminains. This crrbraes he assmpin ha demand fr lw denminains riginaes primarily frm wihin he er area (assmpin i. abve) and ha freign demand is primarily fr high denminain banknes. The prpsed esimain mehd fr a lwer bnd fr al crrency held by nn-residens cnsiss f adding he cmlaing he ne shipmens f high denminains since 2003 (esimaed as described abve) an esimae f hldings abrad as a end f 2002, aken frm he al ne shipmens f all denminains in ha year, n he grnds ha in he firs year al ne bankne shipmens wld prvide a beer esimae f freign hldings. This leads an esimae f apprximaely 274 billin fr end This resl is cnsisen wih he empirical esimain menined in he ECB s repr The Inernainal rle f he er. Accrding his repr, 25% f all er banknes issed by he Ersysem are esimaed be in circlain side he er area (amning 240 billin a he end f ) Fr an exended discssin f he classificain f lw and high denminains, please see Fischer (2004) and Barzsch, Rsl and Seiz (2011). Andersn, R.G. and Rasche, R.H. (2000), The Dmesic Adjsed Mneary Base, Federal Reserve Bank f S. Lis Wrking Paper A. This assmpin cld be qesined fr he iniial perid p 2004 and fr he perid : in he firs case becase f he changever prcess; in he secnd case de he peak f he financial crisis; and, in he hird case, de he Rssian rbble crisis. Hwever, anecdal evidence shws ha his increase wld primarily affec high denminain banknes, which wld increase he sck f hese banknes held abrad. This esimain prcess can be imprved ver ime as new bservains becme available. The inernainal rle f he er (2014), ECB, Frankfr am Main, Jly. 3

4 b) Upper bnd: rai f cins banknes While he lwer bnd esimae is based n he bserved crss-brder flws f banknes (saisics n fficial bankne shipmens) and addiinal assmpins n nbserved crss-brder flws, he pper bnd ses an indirec mehd, cmbining bserved infrmain n dmesic circlain, cin circlain 9 and assmpins n wha is n bserved, in rn based n an assmpin f he maximm pssible rai f cins banknes in dmesic circlain. Wih his in mind, an pper bnd fr circlain abrad (F ) can be cnsrced as: F = B C r (2) where B is al banknes in circlain, C cins and r he maximm vale f he cins--banknes rai. The bserved cins al banknes rai prevailing in 2002 (4.16%) was chsen as he maximm rai (r), i.e. he acal nbserved rai is assmed lie belw ha level, and he circlain derived frm (2) is as a cnseqence an pper bnd fr he acal circlain. Ne ha sing he fixed cins-bankne rai esimaed fr 2002 in (2) implies ha he grwh f bankne issances since ha year ha exceeded he grwh f cin issances is enirely aribed nn-residen hldings, an assmpin ha may indeed nly be jsifiable fr an pper bnd esimae. 10 T assess he validiy f he assmpin ha he acal rai is belw he ne bserved in 2002, several aspecs f crrency demand ms be cnsidered, ms impranly: - develpmens in he se f plasic mney as sbsies fr bh banknes and cins; - he relaive grwh f harding in relain crrency demand fr ransacin prpses; - he er bankne and cin denminain srcre in relain legacy crrencies; - he percenage f cins fficially in circlain ha are in fac ls. All hese aspecs shld have an impac (parly ffseing each her) n he rai f cins residen hldings f banknes. The increasing se f plasic mney shld, sme exen, be mre relevan as an alernaive banknes, which wld imply an increase in he rai resling in a decrease in he se f banknes fr ransacin prpses. Harding in he er area shld have increased since he financial crisis, pariclarly becase f a decrease in he pprniy css f hlding banknes. This shld have had a dwnward impac n he rai. The issance f 500 banknes shld als have had a negaive impac n he rai. Finally, he rai migh increase ver ime wing he amn f cins ls and n sed in ransacins. All in all, hese effecs are assmed be dminaed by he harding effec, nderpinning he assmpin ha he acal rai is belw he pre-er rai f 4.16%. This mehd prvides an pper bnd esimae f nn-residens hldings f er crrency f ver 400 billin as a end This is based n he raher ncnrversial assmpin ha cin circlain abrad is negligible. Beween he end f 2002 and he end f 2015, he issance f er banknes increased by 217% and he issance f er cins increased by 110%. This esimae is derived sing cmlaed seasnally adjsed cin and bankne daa frm 2003 nwards. Fr 2002, he esimae ses bankne shipmen daa and is herefre eqal he lwer bnd esimae. 4

5 3. The resls By aking he average f he lwer and pper bnds, he new mehd esimaes ha a he end f 2016 residens side he er area held apprximaely 341 billin in er banknes, cmpared wih he 178 billin esimaed accrding he ld mehd. As can be seen in Char 1, frm an idenical esimae a he end f 2002, he difference beween he w esimaes grws ver ime and reaches a maximm f 163 billin in December The new esimae implies a revisin (increase) f he er area liabiliies vis-à-vis nn-residens and cnseqenly a redcin in he ne i.i.p. The sbseqen changes in scks have als been refleced in he balance f paymens as ransacins in crrency (presened geher wih depsis in her invesmen ) liabiliies. This change did n impac he crren accn, hereby having a direc impac in he er area errrs and missins. Char 1: Hldings f er banknes by nn-er area residens (EUR billin a end f perid) Srce: ECB. 5