The Banca d'Italia's Quarterly Econometric Model

1
Italian financial accounts since 1950
Riccardo De Bonis () Bank of Italy Research
Department () I wish to thank Riccardo Bonci
and Massimo Coletta for their work and their
useful suggestions. The views expressed in this
meeting are those of the author and do not
necessarily reflect those of the Bank of
Italy. Paris, OECD, 9 October 2006


2
Outline

• Motivation
• Results and statistical issues
• Some empirical evidence
• Conclusions

3
1. Motivation
The Bank of Italy started publishing financial
accounts in 1963. Publications went on during
the years but following different criteria.
Econometric exercises, economic analysis and
economic historians need long time series without
great statistical breaks. A recent paper by
Riccardo Bonci and Massimo Coletta presented the
stocks of financial assets and liabilities since
1950.
4
1. Motivation (continued)

• Yesterday
• we did not have financial accounts before 1963
• after 1963 statistics were produced using
  different methods.

5
1. Motivation (continued)

• Today
• financial accounts since 1950
• time series are smoother.

? more precise analysis
Estimates of fin. acc.
New time series
Current production
1995
6
Results and statistical issues
7
2. Results and statistical issues (continued)
Caron and Cotula, I conti finanziari dellItalia,
(1971), published the stocks of Italian assets
and liabilities since 1950 but only for the sum
of firms and households.

• Bonci and Coletta aggregated the data following
  the ESA95 definitions of instruments and sectors.
  Of course it was not possible to apply the market
  value and the accrual basis criteria.

2. Firms have been separated from the households.
3. Financial accounts were built for the other
sectors.
8
2. Results and statistical issues (continued)
1963
1970
1971
1988
1989
1994
1995
2004
9
2. Results and statistical issues (continued)

• After 1963 financial accounts have changed
  because of the introduction of new international
  standards such as ESA79 and ESA95.
• These changes affected
• the classification of sectors
• the details of financial instruments reported
• valuation criteria (market value accrual
  basis).
• Bonci and Coletta used the ESA95 definition of
  instruments and sectors. The market value and the
  accrual basis principles cannot be applied to the
  old statistics, otherwise their internal
  consistency becomes difficult to reach or
  arbitrary.

10
2. Results and statistical issues (continued)
The definition of the household sector has
undergone some changes
1963-1988 consumer households, non profit
institutions serving
households (NPISH)
1989-1994 consumer households, NPISH, sole
proprietorships 20 employees
1995-2004 consumer households, NPISH, sole
proprietorships 5 employees
11
2. Results and statistical issues (continued)
The main changes in the financial corporations
sector
Since 1984 mutual funds
Since 1985 leasing companies, factoring firms,
consumer credit companies Since
1995 financial auxiliaries.

12
3. Some empirical evidence

13
3. Some empirical evidence (continued)

14
3. Some empirical evidence (continued)

15
4. Conclusions

• In a nutshell, Bonci and Coletta presented 133
  historical time series covering 11 financial
  instruments and 7 sectors.

• The quality of the estimates is high for
  monetary gold and SDRs, currency, deposits,
  loans, mutual fund shares, insurance technical
  reserves.

• Before 1995, bonds are valuated at nominal value
  we prefer to maintain the internal consistency of
  the accounts. Not a great issue because
• a) many General Government bonds have
  been issued
• before 1995 at variable rates
• b) securities issued by firms were
  often negligible.
• Unquoted shares have been always valuated at
  market price, but different criteria have been
  used during the years.

16
4. Conclusions (continued)

• Future agenda (conditional to resource
  constraints !)
• We would like to estimate
• a) the original maturity of securities,
  loans and deposits
• following the ESA95 rules
• b) financial flows since 1950.
• We would like to improve the estimates of trade
  credit
• (hopefully this work will be presented in
  2007).

17
4. Conclusions (continued)

• In December 2005 the Bank of Italy organized a
  conference on financial accounts, where the
  historical time series were made available to the
  participants.
• At the conference 11 papers were presented in
  four sections the history of f.a. the
  statistical methods the evolution of the Italian
  financial system the international comparisons
  of financial structures. The conference
  proceedings were published in July 2006. The
  volume will be translated in English (3 papers
  are already available).
• Thank you for your attention !