EBA: report on cost and performance of structured deposits

News

Gen 15 2019

The European Banking Authority (EBA) published today a report on the costs and performance of structured deposits in the European Union (EU). The report is a response to a request the EBA had received from the EU Commission as part of the implementation of it Capital Market Union Action Plan and concludes that the market for structured deposits in the EU appears to be limited in size and that data on costs and performance is not widely available. The report, therefore, also sets out the steps the EBA will take to enhance the data quality in the future.

As part of the implementation of the Capital Markets Union Action Plan, in October 2017, the European Commission sent a formal request to the three European Supervisory Authorities (EBA, ESMA and EIOPA) to issue, by the end of 2018, reports on the cost and past performance of the main categories of retail investment, insurance and pension products.

The request specified that the reports should be based on data reporting that is already required by Union or national law and should include a description of data gaps and other difficulties faced during the development of the report, including any potential recommendations for the future reporting cycles.

The only product category in the EBA’s consumer protection remit that is included in the request are structured deposits, which are deposits that are linked to an underlying asset but are repayable at par at maturity. The report includes a mapping of the specific regulatory requirements on pre-contractual disclosure and/or reporting applicable to structured deposits at European and national level and also identifies the data sources that would be required to fulfil the request. The report arrives at the view that the market for structured deposits in the EU is limited in size and that data on costs and performance is not widely available. It concludes by setting out steps that the EBA will take to obtain more accurate and standardised data in the future and, in so doing, enhance the reliability and overall quality of its response.

 

Report on cost and past performance of structured deposits (PDF)

Il termometro dei mercati finanziari (11 gennaio 2019)
a cura di Emilio Barucci e Daniele Marazzina

Termometro

Gen 12 2019
Il termometro dei mercati finanziari (11 gennaio 2019) a cura di Emilio Barucci e Daniele Marazzina

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità.

Disclaimer: Le informazioni contenute in questa pagina sono esclusivamente a scopo informativo e per uso personale. Le informazioni possono essere modificate da finriskalert.it in qualsiasi momento e senza preavviso. Finriskalert.it non può fornire alcuna garanzia in merito all’affidabilità, completezza, esattezza ed attualità dei dati riportati e, pertanto, non assume alcuna responsabilità per qualsiasi danno legato all’uso, proprio o improprio delle informazioni contenute in questa pagina. I contenuti presenti in questa pagina non devono in alcun modo essere intesi come consigli finanziari, economici, giuridici, fiscali o di altra natura e nessuna decisione d’investimento o qualsiasi altra decisione deve essere presa unicamente sulla base di questi dati.

Pillole dal Rapporto di Stabilità Finanziaria di Banca d’Italia
di Emilio Barucci

Articolo

Gen 11 2019
Pillole dal Rapporto di Stabilità Finanziaria di Banca d’Italia di Emilio Barucci

Il Rapporto di Stabilità Finanziaria pubblicato da Banca d’Italia (BDI) a fine 2018 contiene alcuni dati interessanti:

Credito bancario. Secondo le previsioni, il credito bancario rimarrà debole nel biennio 2019-2020, il rapporto credito/PIL continuerà ad essere al di sotto del suo valore di lungo periodo.

Aumento dello spread sui titoli di Stato italiani. L’aumento dei tassi ha causato un aumento della spesa di interessi per lo Stato italiano pari a 1,5 miliardi da aprile a novembre, costerebbe 5 miliardi nel 2019 e 9 miliardi nel 2020. Secondo simulazioni basate su quanto accaduto nel 2010-2011, un aumento di 100 punti basi dello spread dei titoli di Stato decennali porterebbe a:

  • un aumento di 40 punti base sui REPO delle banche e di 100 sulle loro obbligazioni. L’effetto sul CET1 per le banche significative sarebbe pari a 40 punti base e a 90 per le banche meno significative. Le banche italiane hanno il 5.7% dell’attivo valutato al fair value investito in titoli di Stato italiani (quelle meno significative sono più esposte).
  • una riduzione dei fondi propri del 28% delle compagnie assicurative che detengono il 34% dell’attivo investito in titoli di Stato italiani.
  • Un aumento di 70 punti base per i tassi di interesse dei prestiti alle imprese e di 30 punti base per i mutui alle famiglie. Si verificherebbe anche una riduzione significativa del tasso di crescita dei prestiti alle imprese.

Mercato immobiliare. Il numero delle compravendite è in recupero ma i prezzi hanno continuato a diminuire nel 2018, nel 2019 potrebbe esserci una debole inversione di tendenza. Nel 2018 l’indicatore di vulnerabilità bancaria per i mutui per l’acquisto di immobili e i crediti alle imprese di costruzioni (flusso di nuovi crediti deteriorati) ha raggiunto il valore più basso dal 2002. Il LTV dei mutui è in aumento ma su valori prossimi a quelli riscontrati nel 2007-2008 ed è in linea con quello delle maggiori economie europee.

Ricchezza delle famiglie. Nei primi tre trimestri del 2018 è calata del 3.5%. Il grado di indebitamento è tra i più bassi dell’area euro e concentrato sulle famiglie in grado di sostenere l’onere. Dal 2008 ad oggi la composizione della ricchezza è variata significativamente: depositi +3% (da 29% a 32%), obbligazioni -14% (da 21% a 7%), le obbligazioni bancarie in particolare sono passate da 9.4% a 1.8%, quote fondi comuni +6% (da 6% a 12%), fondi pensione +1.3% (da 1.1% a 2.4%), assicurazioni +6.3% (da 11% a 17.3%, quasi del tutto ramo vita). Aumento del credito al consumo, le famiglie italiane sono in ritardo nei pagamenti più che in altri paesi europei, il 65% dei prestiti è in carico a famiglie con un reddito superiore al valore mediano. La quota dei prestiti alle famiglie deteriorati è pari al 7.7% (tre punti in meno del 2015). I nuclei familiari vulnerabili a fine 2019 dovrebbero essere pari all’1.9% con un debito pari all’11.3% del totale, se l’euribor salisse di 100 punti base il debito vulnerabile salirebbe al 12.3%.

Imprese. La redditività è pari al 7% (un valore prossimo a quello pre-crisi), solo le imprese di costruzioni sono sotto il dato del 2007. Le imprese hanno un buon livello di autofinanziamento (le attività liquide sono il 20% del PIL, il livello più alto da venti anni). La leva finanziaria è pari a 40%, è di due punti percentuale superiore alla media area euro ma è scesa di dieci punti dal picco del 2011. Il tasso di deterioramento dei prestiti bancari, pari al 2.8%, è prossimo ai livelli pre-crisi. La quota di imprese vulnerabili dovrebbe ridursi nel 2019 al 30%, valore inferiore di 15% rispetto al picco del 2012.

Banche. Il flusso di nuovi crediti deteriorati si colloca all’1.7% al minimo dal 2006. Nel primo semestre del 2018 la consistenza dei crediti deteriorati lordi è diminuita del 13% (ed è pari a 225 miliardi). A fine giugno, il rapporto tra crediti deteriorati e totale dei finanziamenti (al netto delle rettifiche di valore) era pari al 5%. Tra maggio e settembre le banche hanno acquistato titoli di Stato per 39 miliardi. I titoli pubblici italiani pesano per il 9.5% sul totale attivo delle banche. Il funding gap delle banche (rispetto alla raccolta al dettaglio) è pari al 2%, sui livelli minimi da venti anni. La raccolta obbligazionaria è diminuita soprattutto per il calo di quella presso le famiglie ed è inferiore a quella dei principali paesi europei. Tra aprile e ottobre, il rendimento delle obbligazioni bancarie senior è raddoppiato, quello delle obbligazioni non garantite è triplicato. A giugno 2018 il CET1 ratio delle banche era pari a 13.2%, 60 punti più basso di fine 2017, nel secondo semestre l’impatto della diminuzione dei corsi dei titoli di Stato è stato pari 30 punti base, per quelle significative, e 75 per quelle meno significative. Le principali banche italiane sono meno patrimonializzate di quelle europee nella misura di 180 punti base secondo la misura del CET1 ratio mentre hanno un livello di leva finanziaria più favorevole (5.7% contro 5.3%). Rispetto al primo semestre del 2017 il margine di intermediazione è aumentato dell’1.5% (+3.1% le commissioni, +2.9% margine di interesse).

EBA releases its annual assessment of the consistency of internal model outcomes

News

Gen 11 2019

The European Banking Authority (EBA) published two reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. The reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.

Credit Risk exercise
The credit risk report examines the different drivers leading to the observed dispersion across banks’ models. Most of the results are broadly in line with previous exercises, with 50% of the difference in variability explained by the proportion of defaulted exposures in the portfolio and the portfolio mix. The remaining could be attributed to differences in collateralisation and other institution-specific factors, such as risk strategy and management practices, idiosyncratic portfolio features, modelling assumptions, client structure, as well as supervisory practices. This confirms previous findings that RWA variability can be explained, to a large extent, by looking at some measurable features of institutions’ exposures.

For LDPs, the risk weight assessments of institutions on a set of common counterparties have been compared. When substituting the risk weight with that of the median institution, the resulting deviations would generally be below 10%. Furthermore, the variability in estimates has been stable in comparison with the 2017 benchmarking exercise.

For HDPs, the estimated values of probabilities of default (PD) and loss given defaults (LGD) have been compared with observed values, i.e. default rates and loss rates. The report presents evidence that the majority of institutions have conservative estimates, in particular when compared with the observed values for the latest year. In comparison with the 2016 exercise, both default and loss rates have decreased more than PD and LGD estimates in recent years, which is likely to reflect a general improvement in economic conditions.

The competent authorities performed an assessment of the internal models, which have been identified as outliers in this benchmarking exercise. In comparison with previous exercises, their monitoring activities are increasingly noticing issues identified by the EBA benchmarking exercise. The same conclusion holds for institutions’ internal validations. This is reassuring and indicates that the increased regulatory and supervisory attention paid to internal models is contributing to the consistency of the RWA of internal models.

Market Risk exercise
Compared to the previous exercise, the 2018 analysis shows a reduction in the dispersion in the initial market valuation (IMV) and risk measures. This improvement was expected and is mainly due to the simplification in the market risk benchmark portfolios. Some variability in the results persists, which mainly stems from different interpretations and heterogeneous market practices adopted by the firms. Some of these issues have been addressed, and the quality of the data has improved.

From a risk factor perspective, interest rate portfolios exhibit a lower level of dispersion than the other asset classes, which is most likely due to the use of more consistent practices and assumptions that are more homogeneous across the banks when modelling interest rate risk. This finding confirms the conclusions drawn in last year’s analysis.

In line with the previous exercises, a significant dispersion for all the risk measures is observed. More complex measures such as incremental risk charge (IRC) and all price risk (APR) show a higher level of dispersion.

This report has provided input for competent authorities on areas that may require their further investigation, such as IMV variability for some credit spread products. Supervisors should pay attention to the materiality of risk factors not in VaR and, in particular, not encompassed in the IRC models.

EBA Report results from the 2018 Market Risk Benchmarking Report (PDF)

EBA Report results from the 2018 Credit Risk Benchmarking Report (PDF)

ESMA: Performance and costs of retail investment products in the EU

News

Gen 11 2019

The European Securities and Markets Authority (ESMA) today publishes its first Annual Statistical Report (Report) on the cost and performance of retail investment products. The Report covers Undertakings for Collective Investment in Transferable Securities (UCITS), Alternative Investment Funds sold to retail investors (retail AIFs) and Structured Retail Products (SRPs).

The analysis complements ESMA’s risk assessment, supervisory convergence and investor protection work, and contributes to the European Commission’s project on cost and performance of investment products under the Capital Markets Union Action Plan.
The report documents the significant impact of costs on the final returns that retail investors make on their investments:

  • the charges for UCITS funds, taken all together, reduce their gross returns by one quarter on average;
  • the cost impact varies widely, especially depending on the choice of product, asset class, fund type; and
  • management fees and other on-going costs constitute over 80% of investors costs, whilst entry and exit fees have a less significant impact.

Market transparency is particularly limited for retail AIFs and SRPs for which practically no up-to-date data on costs and performance are available.

The data shows that for UCITS the total costs of a fund presents a significant drain on fund performance, impacting retail investors to a much higher extent than institutional investors. On average, retail clients pay twice as much as institutional clients. The impact varies across asset classes, with costs on average accounting for 25% of gross returns in the period from 2015 to 2017. On-going costs such as management fees constitute over 80% of the total cost paid by customers, whilst entry and exit fees have a less significant impact.

In terms of overall returns, passive equity funds consistently outperform active equity funds. This is further demonstrated by the fact that costs for actively managed equity funds are found to be significantly higher than for passively managed funds and ETFs.

Moreover, the report finds significant variation in costs and gross performance across Member States. Finally, the report highlights the lack of available and usable cost and performance data, especially for retail AIFs and SRPs, which is a significant issue from an investor protection perspective.

The report provides National Competent Authorities with useful information to support the implementation of the Capital Markets Union, and aims to facilitate increased participation by retail investors in capital markets by providing consistent EU-wide information on cost and performance of investment products. It also demonstrates the relevance of disclosure of costs to investors, as required by the MiFID II, UCITS and PRIIPs rules and the need for asset managers and investment firms to act in the best interest of investors, as laid down in requirements of MiFID II, the UCITS and AIFM Directives.

ESMA: Performance and costs of retail investment products in the EU (PDF)

ECB: the forward guidance puzzle and its implications for optimal monetary policy

News

Gen 11 2019

The European Central Bank (ECB) issued a working paper that discusses the implications for optimal monetary policy when rates are at (or close) to their effective lower bounds.

In these cases, central banks often turn to communication about the future path of policy rates—known as forward guidance—as an alternative means to stimulate economic activity. According to the standard sticky-price model often used in academia and central banks to analyze monetary policy, for- ward guidance is a powerful substitute for a change in the current policy rate and should be used by central banks to improve welfare when the current policy rate is constrained by the lower bound. In particular, in the standard model, the central bank finds it optimal to announce that it will keep the policy rate at the lower bound for longer than would be warranted by future output and inflation stabilization considerations alone.

An intriguing feature of this standard model is that the economic effects of forward guidance can be implausibly large. This feature—often referred to as the forward guidance puzzle—has generated concern among researchers that the standard model is of limited use for the analysis of forward guidance policies and, as a result, has also generated an interest in modifying the standard model to mitigate the implausibly large effects of forward guidance. A number of recent papers have shown that various economically sensible departures from the standard framework go a long way in attenuating the forward guidance puzzle, but they have done so under the assumption that the interest rate policy is characterized by a simple feedback rule.

The paper examines the implications of attenuating the forward guidance puzzle for the optimal design of forward guidance policy. We do so by introducing private-sector discounting—discounting of the expected future income in the Euler equation and discounting of the expected future marginal costs of production in the Phillips curve—into an otherwise standard sticky-price model and characterizing how the degree of discounting affects optimal commitment policy.

When private-sector agents discount future economic conditions more in making their decisions today, an announced cut in future interest rates becomes less effective in stimulating current economic activity. While the implication of such discounting for optimal policy depends on its degree, we find that, under a wide range of plausible degrees of discounting, it is optimal for the central bank to compensate for the reduced effect of a future rate cut by keeping the policy rate at the effective lower bound for longer than in the standard model without private-sector discounting.

Attenuating the forward guidance puzzle: implications for optimal monetary policy (PDF)

BIS: a survey on central banks digital currencies

News

Gen 11 2019

The Bank for International Settlement (BIS) issued a research paper addressing the hypothetical benefits and risks of central bank digital currencies (CBDC), which are being widely discussed in recent times. The paper adds to these discussions by taking stock of how progress and plans in this area are developing, based on a global survey of central banks.

Responses show that central banks are proceeding with caution and most are only at a conceptual stage with their work. However, a handful have moved to considering practical issues and a couple of central banks with idiosyncratic circumstances might issue a digital currency in the short or medium term.

The 2018 report by the Committee on Payments and Market Infrastructures (CPMI) and the Markets Committee (MC) defines CBDCs as new variants of central bank money different from physical cash or central bank reserve/settlement accounts. Based on four key properties, the CPMI-MC report provides a taxonomy of money (“The money flower”) which delineates between two broad types of CBDC: general purpose and wholesale – with the former type coming in two varieties (Graph 1).

Source: BIS

The four key properties of money are: issuer (central bank or not); form (digital or physical); accessibility (widely or restricted); and technology. In terms of technology, the report distinguishes between money that is token- or account-based. In payment economics, a key difference between tokens and accounts is in their verification: a person receiving a token will verify that the token is genuine, whereas an intermediary verifies the identity of an account holder.

However, the definition of tokens varies considerable across scientific fields, and other reports distinguish between value- or account-based forms of CBDC. In sum, this paper discusses the three variants of CBDC highlighted by the grey- shaded areas within the “money flower” above.

The first is a “general purpose”, “account-based” variant, ie an account at the central bank for the general public. This would be widely available and primarily targeted at retail transactions (but also available for broader use).

The second form is a “general purpose”, “token-based” variant, ie a type of “digital cash” issued by the central bank for the general public. This second variant would have similar availability and functions to the first, but would be distributed and transferred differently.

The last form is a “wholesale”, “token- or value-based” variant, ie a restricted-access digital token for wholesale settlements (eg interbank payments, or securities settlement).

Proceeding with caution – a survey on central bank digital currency (PDF)

Il termometro dei mercati finanziari (4 gennaio 2019)
a cura di Emilio Barucci e Daniele Marazzina

Termometro

Gen 05 2019
Il termometro dei mercati finanziari (4 gennaio 2019) a cura di Emilio Barucci e Daniele Marazzina

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità.

Disclaimer: Le informazioni contenute in questa pagina sono esclusivamente a scopo informativo e per uso personale. Le informazioni possono essere modificate da finriskalert.it in qualsiasi momento e senza preavviso. Finriskalert.it non può fornire alcuna garanzia in merito all’affidabilità, completezza, esattezza ed attualità dei dati riportati e, pertanto, non assume alcuna responsabilità per qualsiasi danno legato all’uso, proprio o improprio delle informazioni contenute in questa pagina. I contenuti presenti in questa pagina non devono in alcun modo essere intesi come consigli finanziari, economici, giuridici, fiscali o di altra natura e nessuna decisione d’investimento o qualsiasi altra decisione deve essere presa unicamente sulla base di questi dati.

Banca d’Italia: fissato il CCyB per il primo trimestre 2019

News

Gen 04 2019

Sulla base dell’analisi degli indicatori di riferimento la Banca d’Italia ha deciso di mantenere il coefficiente della riserva di capitale anticiclica allo zero per cento per il primo trimestre del 2019.

In particolare:

  • nel terzo trimestre del 2018 lo scostamento dal trend di lungo periodo del rapporto tra credito bancario e PIL (credit-to-GDP gap), calcolato sulla base della metodologia standard del Comitato di Basilea, era negativo per circa sedici punti percentuali (tavola 1). Secondo la metodologia sviluppata dalla Banca d’Italia, che tiene conto delle caratteristiche specifiche del ciclo creditizio nel nostro paese, il divario sarebbe negativo per circa undici punti percentuali. Indicazioni analoghe provengono dall’analisi del rapporto tra credito totale e PIL, riferito al secondo trimestre del 2018 (l’ultimo per il quale si dispone di informazioni complete, tavola 1).
  • la condizione macrofinanziaria dell’economia italiana è complessivamente debole. Il tasso di disoccupazione si riduce, ma rimane su livelli elevati. La dinamica del credito bancario al settore privato è positiva; il tasso di crescita del credito alle imprese resta tuttavia contenuto. L’incidenza dei prestiti deteriorati è in forte riduzione, pur rimanendo ancora su valori elevati per i crediti verso le imprese. I prezzi delle abitazioni in termini reali sono stabili ma restano ben inferiori al loro livello di lungo periodo.

Rapporto credito-PIL (credit-to-GDP ratio) e stime del credit-to-GDP gap 

 

BdI: CCyB 2019 – Comunicato Stampa (PDF)

ECB: Understanding the slowdown in growth in 2018

News

Gen 04 2019

Growth in economic activity has moderated significantly in the euro area since the end of 2017. Indeed, quarter-on-quarter GDP growth in the euro area fell to 0.2% in the third quarter of 2018, down from 0.7% in the fourth quarter of 2017. This box assesses the factors which are contributing to that slowdown and looks at whether it should be considered a surprise. In particular, it looks at whether the underlying factors are temporary or of a more permanent nature, whether they have originated within the euro area or externally, and whether the slowdown has been driven by a weakness in demand or a tightening of supply conditions.

 

Chart A

Professional forecasters’ GDP growth expectations (annual percentage changes)

Sources: Eurostat and ECB. The dark blue lines represent final estimates of annual GDP growth. All other lines represent growth forecasts for a particular year at various points in time.

Recent output growth has been disappointing when compared with growth forecasts in late 2017, but not when compared with earlier expectations. The strong acceleration in growth in 2017 was a favourable development that came as a surprise to most professional forecasters (see Chart A). That strengthening of growth, which coincided with world trade growth peaking at 5.2%, was driven mainly by net exports. Conversely, growth in domestic demand remained comparable to the levels seen in the first part of the economic expansion from 2014 to 2016 (see Chart B). Since early 2018, growth forecasts for 2018 and 2019 have gradually been revised downwards, but annual GDP growth in 2018 is still expected to be stronger than was forecast at the beginning of 2017.

 

Chart B

GDP growth: expenditure and production breakdown (quarterly percentage changes; percentage point contributions)

Sources: Eurostat and ECB calculations. Figures for the period from the first quarter of 2014 to the third quarter of 2016 and the period from the fourth quarter of 2016 to the fourth quarter of 2017 represent averages of the relevant quarterly data.

The slowdown in 2018 has been driven largely by external factors, in particular the weakness in external demand. Indeed, much like the strengthening of growth in 2017, the slowdown in 2018 has been driven by net exports (see Chart B). Trade dynamics have been normalising as global growth has fallen back towards potential levels. As the main producer of tradable goods, the industrial sector has been most affected by the decline in net exports. Meanwhile, growth in domestic demand has generally remained in line with the average contribution made since the start of the economic expansion. While in the third quarter of 2018 the temporary disruption to car production weighed on private consumption, the robustness of domestic demand reflects the virtuous circle between employment, labour income and consumption. Available evidence suggests that this virtuous circle has not, thus far, been disrupted by the recent loss of growth momentum.

 

Chart C

Industrial production (annual percentage changes)

Sources: Eurostat and ECB calculations. Data for the fourth quarter of 2018 are based on monthly figures for October 2018 only.

Several temporary factors have also weighed on the growth profile. In the first half of 2018, weather conditions, sickness and industrial action affected output in a number of countries.[1] In the third quarter, there was also significant disruption to car production as a result of the introduction of new vehicle emissions standards on 1 September (see Chart C). Production slowed as carmakers tried to avoid accumulating stocks of untested models, which weighed heavily on economies with large automobile sectors (such as Germany). In fact, the German economy actually contracted in the third quarter, reducing quarterly euro area growth by at least 0.1 percentage point. This effect, however, is expected to be temporary. As the testing backlog clears, car production in the fourth quarter should gradually return to normal and the effect on output should dissipate. Indeed, the latest data suggest that car production has already started to normalise.

 

Chart D

Decomposition of manufacturing PMI output (diffusion index; contributions)

Sources: Markit and ECB calculations. Historical decomposition of euro area manufacturing PMI using a sign-restricted SVAR with output and capacity utilisation from the manufacturing PMI. This model uses sign restrictions to identify demand and supply shocks, whereby the former are defined as shocks that push manufacturing PMI output and capacity utilisation in the same direction while the latter are defined as shocks that push manufacturing PMI output and capacity utilisation in opposite directions.

Despite that weakening of demand, the current high levels of capacity utilisation suggest that supply conditions in the manufacturing industry remain tight. A model-based decomposition of manufacturing PMI output suggests that the recent slowdown in activity is mainly related to a weakness in demand (see Chart D).[3] At the same time, supply constraints have gradually become more binding since mid‑2017. Capacity utilisation has fallen only slightly as output growth has slowed. This pattern can clearly be observed in the manufacturing sector – especially in Germany and, to a lesser extent, France.

All in all, the recent slowdown in growth has not, thus far, called into question the fundamentals of the current economic expansion. The moderation follows unexpectedly strong external demand in 2017 and has been compounded by a number of temporary factors. In fact, a gradual slowdown in growth can even be considered normal as an expansion matures. At the same time, uncertainty about external developments has clearly increased the risks to the euro area’s economic outlook. Consequently, the possible implications for domestic demand and the fundamentals of the expansion need to be monitored closely.

(Extracted from the ECB economic bulletin)

ECB Economic Bulletin, Issue 8 / 2018 (HTML)