Eurostat/C1/FISIM 10 EN
Orig: EN
FISIM Workshop
30 June 2004
Luxembourg, BECH Building
Room Quetelet
FISIM at constant prices
Point 5 - VI on the agenda
1.Introduction
The evolution of FISIM at current prices depends of the change in the two components of the calculation: the volume component represented by the stocks of loans and deposits and the price componentrepresented by the difference between the reference rate and the effective rate of interest (the margin earned by the financial intermediary).
Council regulation n°448/98 describe the way FISIM at constant prices must be calculated:
"FISIM at constant prices are derived as the quotient of thevalue of FISIM on loans and deposits produced by s122 and s123, divided by this price. The stocks of loans and deposits are revalued to base period prices using a general price index (e.g. the implicit price deflator for domestic final demand)."
FISIM on loans at constant prices =
FISIM on loans/Price indexxBase period margin/Effective margin
FISIM on deposits at constant prices =
FISIM on deposits/Price indexxBase period margin/Effective margin
where:
Base period margin on loans = Effective interest rate on loans - Reference rate
Base period margin on deposits = Reference rate - Effective rate on deposits
This formula illustrates the double deflation needed to calculate FISIM at constant price. The left-hand term accounts for change in the current value of loans and deposits due to a price component, this is show by the first step of the simplification (see under). Because changes in the volume of FISIM is determined only by the volume (rather than the current value) of loans and deposits, the effect on their value of price changes must be removed by adjusting them to base year prices by reference to a suitable deflation index. The right-hand term accounts for change in FISIM due to the evolution of the effective margin compared to the base year margin.
Since FISIM on loans/deposits=Effective margin x Stocks,these formulas can be simplified, both for FISIM on loans and deposits, as followed:
(Effective margin x Stocks)/Price indexxBase period margin/Effective margin
=
Stock at constant pricexBase period margin[1]
It is clear from this formula that FISIM at constant prices only includes the evolution of stocks of loans and deposits, deflated by a general price index, i.e. the volume component, since the base year margin is a constant.
2.Calculation for Belgium
First, a base year margin is calculated on loans and deposits by institutional sector (domestic sectors), for exports and for imports. This margin is equal to the difference between the effective rate on loans and deposits and the reference rate for base year 2000. The effective rate is the ratio of accrued interest to stocks of loans and deposits.
The second step, consist in deflating the stocks of loans and deposits. The price index used is the price deflator for domestic final demand (P3+P5).
The calculations for FISIM at constant prices are illustrated for the year 1999 (base year 2000)[2].
Base year margins: domestic institutional sectors
(stocks and accrued interests: millions of EUR)
Base year margin for LOANS granted to residentsUser sectors / Stocks
2000 / Interest receivable
2000 / Effective interest rate on loans / Internal reference rate
2000 / Base year margin
2000
(1) / (2) / (3)=(2)/(1) / (4) / (5)=(3)-(4)
s11 / 95 086 / 5 558 / 5.8% / 4.2% / 1.7%
s123c / 3 753 / 196 / 5.2% / 4.2% / 1.1%
s124 / 781 / 45 / 5.7% / 4.2% / 1.6%
s125 / 1 409 / 81 / 5.7% / 4.2% / 1.6%
s13 / 29 121 / 1 533 / 5.3% / 4.2% / 1.1%
s14 intermediate / 75 676 / 4 567 / 6.0% / 4.2% / 1.9%
s14 final cons. / 15 898 / 1 018 / 6.4% / 4.2% / 2.2%
s15 / 1 501 / 94 / 6.3% / 4.2% / 2.1%
s123c stands for s123 as consumer of FISIM.
Base year margin for DEPOSITS of residentsUser sectors / Stocks
2000 / Interest payable
2000 / Effective interest rate on deposits / Internal reference rate
2000 / Base year margin
2000
(5) / (6) / (7)=(6)/(5) / (8) / (9)=(8)-(7)
s11 / 37 810 / 1 168 / 3.1% / 4.2% / 1.1%
s123c / 21 162 / 807 / 3.8% / 4.2% / 0.4%
s124 / 1 799 / 54 / 3.0% / 4.2% / 1.2%
s125 / 2 135 / 69 / 3.2% / 4.2% / 1.0%
s13 / 5 860 / 197 / 3.4% / 4.2% / 0.8%
s14 intermediate / 16 595 / 449 / 2.7% / 4.2% / 1.5%
s14 final cons. / 117 333 / 3 176 / 2.7% / 4.2% / 1.5%
s15 / 3 738 / 123 / 3.3% / 4.2% / 0.9%
s123c stands for s123 as consumer of FISIM.
Base year margins: exports
(stocks and accrued interests: millions of EUR)
Base year margin for LOANS granted to non residents (percentages)User sectors / Stocks
2000 / Interest receivable
2000 / Effective interest rate on deposits / External reference rate
2000 / Base year margin
2000
(1) / (2) / (3)=(2)/(1) / (4) / (5)=(3)-(4)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 180 562 / 8 610 / 4.8% / 4.7% / 0.1%
FIs / 154 410 / 7 158 / 4.6% / 4.7% / 0.0%
Non-FIs / 26 152 / 1 452 / 5.6% / 4.7% / 0.9%
Base year margin for DEPOSITS of non residents (percentages)
User sectors / Stocks
2000 / Interest payable
2000 / Effective interest rate on deposits / External reference rate
2000 / Base year margin
2000
(5) / (6) / (7)=(6)/(5) / (8) / (9)=(8)-(7)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 264 909 / 11 634 / 4.4% / 4.7% / 0.3%
FIs / 201 644 / 9 499 / 4.7% / 4.7% / 0.0%
Non-FIs / 63 264 / 2 135 / 3.4% / 4.7% / 1.3%
Base year margins: Imports
(stocks and accrued interests: millions of EUR)
Base year margin for LOANS granted by non-residents FI (percentages)User sectors / Stocks
2000 / Interest receivable
2000 / Effective interest rate on deposits / External reference rate
2000 / Base year margin
2000
(1) / (2) / (3)=(2)/(1) / (4) / (5)=(3)-(4)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 24 786 / 1 406 / 5.7% / 4.7% / 1.0%
s11 / 24 125 / 1 380 / 5.7% / 4.7% / 1.0%
s123c / 0 / 0 / - / - / -
s124 / 0 / 0 / - / - / -
s125 / 0 / 0 / - / - / -
s13 / 661 / 26 / 4.0% / 4.7% / -0.7%
s14 intermediate / 0 / 0 / - / - / -
s14 final cons. / 0 / 0 / - / - / -
s15 / 0 / 0 / - / - / -
Base year margin for DEPOSITS with non-residents FI (percentages)
User sectors / Stocks
2000 / Interest receivable
2000 / Effective interest rate on deposits / External reference rate
2000 / Base year margin
2000
(5) / (6) / (7)=(6)/(5) / (8) / (9)=(8)-(7)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 53 194 / 1 512 / 2.8% / 4.7% / 1.8%
s11 / 15 514 / 465 / 3.0% / 4.7% / 1.7%
s123c / 0 / 0 / - / - / -
s124 / 0 / 0 / - / - / -
s125 / 0 / 0 / - / - / -
s13 / 1 703 / 29 / 1.7% / 4.7% / 3.0%
s14 intermediate / 0 / 0 / - / - / -
s14 final cons. / 35 977 / 1 018 / 2.8% / 4.7% / 1.8%
s15 / 0 / 0 / - / - / -
Detailed breakdown of FISIM at constant prices by domestic institutional sectors
Year 1999 LOANS granted (millions of EUR)User sectors / Stocks
1999 / Deflator for domestic final demand
1999 / Stocks at constant prices
1999 / Base year margin
2000 / FISIM on Loans at constant prices
1999
(1) / (2) / (3)=(1)/(2) / (4) / (5)=(3)x(4)
s11 / 87 311 / 0.974 / 89 635 / 1.7% / 1 503
s123c / 2 495 / 0.974 / 2 561 / 1.1% / 27
s124 / 540 / 0.974 / 554 / 1.6% / 9
s125 / 1 296 / 0.974 / 1 331 / 1.6% / 21
s13 / 29 549 / 0.974 / 30 335 / 1.1% / 333
s14 intermediate / 72 112 / 0.974 / 74 031 / 1.9% / 1 382
s14 final cons. / 16 867 / 0.974 / 17 316 / 2.2% / 386
s15 / 1 064 / 0.974 / 1 092 / 2.1% / 23
s123c stands for s123 as consumer of FISIM.
Year 1999 DEPOSITS received (millions of EUR)User sectors / Stocks / Deflator for domestic final demand / Stocks at constant prices / Base year margin / FISIM on Deposits
(5) / (6) / (7)=(5)/(6) / (8) / (9)=(7)x(8)
s11 / 37 564 / 0.974 / 38 564 / 1.1% / 416
s123c / 16 143 / 0.974 / 16 573 / 0.4% / 59
s124 / 1 350 / 0.974 / 1 386 / 1.2% / 16
s125 / 1 820 / 0.974 / 1 869 / 1.0% / 18
s13 / 5 155 / 0.974 / 5 292 / 0.8% / 43
s14 intermediate / 16 389 / 0.974 / 16 825 / 1.5% / 246
s14 final cons. / 117 131 / 0.974 / 120 248 / 1.5% / 1 757
s15 / 3 677 / 0.974 / 3 775 / 0.9% / 33
s123c stands for s123 as consumer of FISIM.
Exports of FISIM at constant prices
Year 1999 LOANS granted to non residents(millions of EUR)User sectors / Stocks
1999 / Deflator for domestic final demand
1999 / Stocks at constant prices
1999 / Base year margin
2000 / FISIM on Loans at constant prices
1999
(1) / (2) / (3)=(1)/(2) / (4) / (5)=(3)x(4)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 173 439 / 0.974 / 178 054 / 141
FIs / 150 399 / 0.974 / 154 401 / 0.0% / -66
Non-FIs / 23 040 / 0.974 / 23 653 / 0.9% / 207
Year 1999 DEPOSITS of non residents (millions of EUR)
User sectors / Stocks
1999 / Deflator for domestic final demand
1999 / Stocks at constant prices
1999 / Base year margin
2000 / FISIM on Deposits at constant prices
1999
(5) / (6) / (7)=(5)/(6) / (8) / (9)=(7)x(8)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 258 095 / 0.974 / 264 963 / 733
FIs / 198 428 / 0.974 / 203 708 / 0.0% / -66
Non-FIs / 59 668 / 0.974 / 61 256 / 1.3% / 799
Imports of FISIM at constant prices
Year 1999 LOANS granted by non resident FIs (millions of EUR)User sectors / Stocks
1999 / Interest receivable
1999 / Stocks at constant prices
1999 / Base year margin
2000 / FISIM on Loans at constant prices
1999
(1) / (2) / (3)=(1)/(2) / (4) / (5)=(3)x(4)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 21 684 / 0.974 / 22 261 / 215
s11 / 20 746 / 0.974 / 21 298 / 1.0% / 222
s123c / 0 / 0.974 / 0 / - / -
s124 / 0 / 0.974 / 0 / - / -
s125 / 0 / 0.974 / 0 / - / -
s13 / 938 / 0.974 / 963 / -0.7% / -7
s14 intermediate / 0 / 0.974 / 0 / - / -
s14 final cons. / 0 / 0.974 / 0 / - / -
s15 / 0 / 0.974 / 0 / - / -
nb: Only FISIM imported for intermediate consumption has an impact on GDP, while FISIM imported for final use are neutral for GDP.
Year 1999 DEPOSITS with non resident FIs (millions of EUR)User sectors / Stocks
1999 / Interest payable
1999 / Stocks at constant prices
1999 / Base year margin
2000 / FISIM on Deposits at constant prices
1999
(5) / (6) / (7)=(5)/(6) / (8) / (9)=(7)x(8)
s2111 + s2121 / na / na / na / na / na
s2112 + s2122 / na / na / na / na / na
s22 / 46 179 / 0.974 / 47 408 / 862
s11 / 12 861 / 0.974 / 13 203 / 1.7% / 222
s123c / 0 / 0.974 / 0 / - / -
s124 / 0 / 0.974 / 0 / - / -
s125 / 0 / 0.974 / 0 / - / -
s13 / 728 / 0.974 / 748 / 3.0% / 22
s14 intermediate / 0 / 0.974 / 0 / - / -
s14 final cons. / 32 590 / 0.974 / 33 457 / 1.8% / 618
s15 / 0 / 0.974 / 0 / - / -
nb: Only FISIM imported for intermediate consumption has an impact on GDP, while FISIM imported for final use are neutral for GDP.
3.Results for Belgium
-General results
The effect of allocating FISIM on GDP at constant prices represents 1.3 p.c. in average, identical to the effect on GDP at current prices. However, the volatility due to the volume component is much lower in average than the volatility calculated for the effect of FISIM allocation on GDP at current prices, meaning quite stable FISIM at constant price.
1995 / 1996 / 1997 / 1998 / 1999 / 2000 / 2001 / 2002 / AverageFISIM at constant prices (% of GDP at constant prices)
GDPcp effect / 1.4% / 1.4% / 1.4% / 1.4% / 1.3% / 1.2% / 1.2% / 1.2% / 1.3%
Volatility index / 1.3% / 0.1% / 2.2% / 10.4% / 6.7% / 0.7% / 2.3% / 3.4%
Effect on GDPcp growth / 0.0% / 0.0% / 0.0% / -0.1% / -0.1% / 0.0% / 0.0% / 0.0%
pm FISIM at current prices (% of GDP at current prices)
GDP effect (% of GDP) / 1.8% / 1.4% / 1.3% / 1.4% / 1.0% / 1.2% / 1.2% / 1.0% / 1.3%
Volatility index / 21.1% / 11.9% / 13.1% / 32.8% / 19.9% / 6.1% / 21.4% / 18.1%
Effect on GDP growth / -0.4% / -0.2% / 0.2% / -0.5% / 0.2% / 0.1% / -0.3% / -0.1%
The effect of FISIM allocation on the growth of GDP at constant prices is therefore quasi null.It illustrates the fact that volatility at the level of GDP at current prices (18,1%) is more due to changes in prices (margins) than to changes in volumes (stocks).
-Results by user sector
The average volatility of FISIM at constant prices corresponding to the households and non profit institutions serving households final consumption is low (2.8 %). It is also the case for constant prices FISIM corresponding to final consumption of general government (6.2 %). The volatility is greater for exports and imports of FISIM.
Decomposition of GDP effect of FISIM allocation and volatility index
Average 1995-2002 / Average level / Average volatilityFinal consumption
s13 / 0.2% / 6.2%
s14+s15 / 0.9% / 2.8%
Exports / 0.4% / 9.6%
Imports for IC / 0.2% / 18.2%
GDPcp effect (% of GDPcp) / 1.3% / 3.4%
-Volatility and the volume effect
The same conclusion about the volume effect being quite small compared to the price effect can also be drawn from the analysis of the indexes of volatility for stocks of loans and deposits (volume) and the effective margins (price). The results of the index of volatility of stocks means that, if interest rates remains unchanged, the volatility of FISIM would have an impact of 3,2 % on average on GDP instead of 18,1 %.
Average 1995-2002 / Average level / Average volatilityEffect on FISIM allocation on GDP at current prices / 1.3% / 18.1%
Stocks of loans and deposits (1) / 247% / 3.2%
Effective margin on resident loans / 1.9% / 28.6%
Effective margins on resident deposits / 1.3% / 35.8%
Effective margins on exports (loans) / 0.2% / 76.2%
Effective margins on exports (deposits) / 0.3% / 40.0%
Effective margins on imports (loans) / 1.9% / 42.6%
Effective margins on imports (deposits) / 1.5% / 42.3%
pm Internal reference rate / 4.2% / 17.8%
External reference rate / 4.6% / 13.5%
(1) Stocks of loans and deposits, plus total exported stocks of loans and deposits,
minus the total imported stocks of loans and deposits for intermediate consumption (in % of GDP).
-Recording of FISIM at constant prices in the sequence of accounts
Allocation of FISIM at constant prices implies the following correction to base series of the full sequence of accounts:
Producer of FISIM
(millions EUR)
1995 / 1996 / 1997 / 1998 / 1999 / 2000 / 2001 / 2002Production account
P1 resources
s122 / +5 650 / +5 887 / +6 211 / +6 581 / +6 595 / +6 706 / +6 880 / +7 087
s123 / +510 / +540 / +545 / +556 / +556 / +565 / +507 / +465
P7 resources
s2 / +747 / +833 / +939 / +989 / +1 077 / +1 222 / +1 311 / +1 314
Allocation of primary income account
D41 resources
s122 / -2 902 / -2 952 / -3 044 / -3 221 / -3 276 / -3 385 / -3 549 / -3 613
s123 / -510 / -540 / -545 / -556 / -556 / -565 / -507 / -465
s2 / -22 / -44 / -103 / -140 / -215 / -246 / -270 / -267
D41 uses
s122 / +2 747 / +2 935 / +3 167 / +3 360 / +3 320 / +3 320 / +3 330 / +3 474
s123 / - / - / - / - / - / - / - / -
s2 / +724 / +789 / +836 / +849 / +862 / +976 / +1 041 / +1 047
Balance / 0 / 0 / 0 / 0 / 0 / 0 / 0 / 0
Consumer of FISIM
(millions EUR)
1995 / 1996 / 1997 / 1998 / 1999 / 2000 / 2001 / 2002Production account
P2 uses
s11 / +1 873 / +1 972 / +2 095 / +2 188 / +2 362 / +2 514 / +2 568 / +2 609
s123c / +19 / +32 / +58 / +118 / +86 / +115 / +146 / +166
s124 / +25 / +29 / +29 / +30 / +25 / +33 / +51 / +63
s125 / +37 / +43 / +38 / +46 / +39 / +43 / +41 / +51
s13 / +410 / +407 / +372 / +353 / +391 / +413 / +391 / +333
s14 / +1 271 / +1 344 / +1 421 / +1 506 / +1 635 / +1 655 / +1 631 / +1 621
s15 / +5 / +5 / +5 / +5 / +56 / +64 / +68 / +70
P1 resources
s13 / +410 / +407 / +372 / +353 / +391 / +413 / +391 / +333
s15 / +5 / +5 / +5 / +5 / +56 / +64 / +68 / +70
Allocation of primary income account
D41 resources
s11 / +441 / +514 / +542 / +553 / +638 / +668 / +671 / +742
s123c / +13 / +25 / +48 / +85 / +59 / +75 / +77 / +86
s124 / +17 / +21 / +23 / +24 / +16 / +21 / +21 / +26
s125 / +15 / +19 / +19 / +21 / +18 / +20 / +24 / +29
s13 / +76 / +70 / +57 / +48 / +65 / +99 / +86 / +55
s14 / +2 322 / +2 423 / +2 551 / +2 664 / +2 621 / +2 622 / +2 707 / +2 744
s15 / +2 / +2 / +2 / +2 / +33 / +32 / +35 / +39
s2 / +585 / +648 / +760 / +811 / +732 / +759 / +751 / +800
D41 uses
s11 / -1 432 / -1 458 / -1 552 / -1 634 / -1 725 / -1 846 / -1 897 / -1 868
s123c / -6 / -7 / -10 / -33 / -27 / -40 / -70 / -80
s124 / -9 / -8 / -5 / -6 / -9 / -12 / -30 / -38
s125 / -21 / -23 / -20 / -25 / -21 / -22 / -17 / -22
s13 / -333 / -337 / -314 / -305 / -326 / -315 / -305 / -278
s14 / -1 476 / -1 520 / -1 602 / -1 700 / -1 775 / -1 768 / -1 720 / -1 683
s15 / -2 / -2 / -3 / -3 / -23 / -31 / -33 / -31
s2 / -155 / -181 / -186 / -209 / -141 / -163 / -255 / -345
Use of income account
P3 uses
s13 / +410 / +407 / +372 / +353 / +391 / +413 / +391 / +333
s14 / +2 527 / +2 599 / +2 732 / +2 857 / +2 762 / +2 734 / +2 796 / +2 806
s15 / +5 / +5 / +5 / +5 / +56 / +64 / +68 / +70
P6 uses
s2 / +740 / +830 / +946 / +1 021 / +873 / +922 / +1 007 / +1 145
Balance / 0 / 0 / 0 / 0 / 0 / 0 / 0 / 0
s123c stands for s123 as consumer of FISIM.
4.Results for other countries
Summary table: Calculation of FISIM at constant prices performed
EU-25 / Yes/No / CommentsBelgium / Yes
CzechRepublic / NO
*Denmark
Germany / YES
Estonia / NO
Greece / NO / Calculated only for total FISIM
Spain / Yes
France / Yes
*Ireland
Italy / ΝΟ / Information not available
Cyprus / NO / In progress
Lithuania / NO
Latvia / NO / Asked for more practical info needed
Luxembourg / NO / Adjustment needed for large deposits held in different currencies - mainly USD
Hungary / Yes
Malta / NO
Netherlands / Yes
Austria / Yes / In progress (July 2004)
Poland / NO
Portugal / Yes
Slovenia / NO
*Slovakia
Finland / Yes / Two price indices were used
Sweden / Yes / Calculated according to regulation
United Kingdom / Yes / Implied GDP deflator is used
*Questionnaire not received
Belgium provided Eurostat with their FISIM results at constant prices, using the price deflator for domestic final demand and base year of 2000.
CzechRepublic did not perform the calculation of FISIM at constant prices. However, for the global FISIM currently calculated it used a price index based on money instruments (money reserves, currency, liabilities in foreign currency).
Spain provided Eurostat with an example of FISIM calculation for 1999 at constant prices, using base year data of 1995.
Hungary stated that it is using the simplified formula presented on the last seminar of FISIM. Data provided by HU were for 2000, and therefore no FISIM data at constant prices were provided because 2000 wais the base year.
The Netherlands stated that their method complied with Eurostat’s “Handbook on price and volume measures in National Accounts”.
Portugal provided Eurostat with their FISIM results at constant prices, using the price deflator for domestic final demand.
Finland made trial calculations using two price indices for FISIM at constant prices. The first price index A was the same as used in the current Finnish National Accounts FISIM calculations. The index consisted of consumer price index, wholesale price index and construction cost index - each component having its own weights. The second price index B was the one that proposed in the FISIM regulation, the implicit price deflator for domestic final demand and based year 1995 was used.
Swedenstated that their method complied with the regulation.
In Austria calculation of FISIM at constant prises was based on the method of the German Central Bank. The formula is as follows:
FISIM at constant Prices = Stocks in the reporting yearFISIM base year
CPI services xstocks base year
The implementation of the FISIM regulation was associated with the adoption of previous years’ prices, thus the base year was always the previous year.
In the UK the base year price is applied to stocks of loans and deposits in each reference period in order to produce the volume of FISIM. Because the change in the current value of loans and deposits includes elements both of volume and price, and because changes in the volume of FISIM is determined only by the volume (rather than the current value) of loans and deposits, the effect on their value of price changes must be removed by adjusting them to base year prices by reference to a suitable deflation index. For the UK the index used was the implied GDP deflator.
Constant price FISIM in any reference period on a given stock of loans/deposits is therefore calculated as:
Stocksat current prices FISIM rate %
Deflation index (base=100)/100x100
Annexe 1: Development of the formula for calculation of FISIM on loans at constant prices
(1)
where:
:Stocks of loans
:Effective margin
Base year FISIM
:General price index
:Price index for margin
:Volume index
First, we divide both sides by,
Then, we divide both sides by.
We obtain by rearranging the different components of right hand:
(2)
where:is the stock at constant prices (volume effect)
is the base year margin
At the left-hand of the equation, we have:
for stocks at constant prices, and
We obtained at the end:
=
Stocks at constant prices x Base period margin
[1]Some countries use a variation of this formula where de second term is written as:
FISIM base year / Stocks base year.
[2]From 2005, the used of chained link index will be compulsory for deflation. The base period margin will corresponds to margin from previous period and the stocks will be deflated using the previous year' prices.