Trial Estimation of FISIMin Japan

Y. OnukiESRI

FISIM in Japanese SNA

• 2000 ’93SNA (FISIM not allocated)• 2005 Base year Changed 1995 to 2000• Not decided yet, but …

Index

• Based on Eurostat Method No.448/98 and No.1889/2000• Some different method• Trial calculation• Impact on GDP• Problems to be solved

FISIM=A+B

Deposit Rate

A

B

Loans

Deposits

Reference Rate

Loan Rate

When deposits > loans

S122 & S123

• S122 Other Depository Corporations• S123 Other Financial Intermediaries,

except Insurance Corporations and Pension Funds

• (Note) Securities companies are included in S123 in Japan.

• Stock dealing on credit produces FISIM.

Bank Debenture &

Privately-Placed Bond

• Bank Debentures are issued by some banks.

• As a matter of fact, Bank Debentures are same as deposits.

• Privately-Placed Bonds are issued.• They are not included in this calculation.

Reference Rate

• Method 1: Interest receivable on resident interbank loans, divided by stock of resident interbank loans.

• Interbank: data not available• Interests paid by S122 & S123 to S122, S123, S124 & S125(including insurance corporations and

pension funds)

Breakdown between institutional Sectors(1)

• Loans• Interests paid to S122 & S123(data not available)• Interests paid to S122 ,S123, S124 & S125(data available): Sectorial FISIM (a)• Total FISIM broken down to each institutio

nal sectors by the proportion of (a)

Breakdown between institutional Sectors(2)

• Deposits• Import of FISIM :intermediate consumption

by S122 & S123• Total Deposit FISIM – Import of Deposit

FISIM• Distributed by the stock of deposits by

each institutional sector

Breakdown between Household and unincorporated enterprises(1)

• Loans FISIM• Stock of loans and the interests paid: data

available by 3 types• A) Consumer Loans• B) Dwelling Loans• C) Loans to unincorporated enterprises• Breakdown by the amount of each FISIM

Breakdown between Household and unincorporated enterprises(2)

• Deposit FISIM• Flow of Funds (data not available)• Household expenditure survey• Worker’s Household : Household• Self-Employed and Agricultural Household

: Unincorporated enterprises• Breakdown by the stocks of deposits

Import and Export of FISIM(1)

• Flow of Funds (stock of deposits & loans)• Balance of Payment(Interests paid to/from non-resident

institutions)• Deposit Interest rate > Loan Interest rate• Official Development Aid & Loan from/to

overseas branch ???

Import & Export of FISIM(2)

• Hypothesis• The rates below are the same for Import,

Export and inland dealing.• (Loan Rate-Reference Rate)/Reference Rate• (Reference Rate-Deposit Rate)/Deposit Rate

• Because the difference of interest rates are large between inland deal (Yen) and trade (USD etc.).

Import & Export of FISIM(3)

• Export Loan FISIM• Interests paid by non-residents x M1• Import Loan FISIM• Interests paid to non-resident banks x M1• M1 = (Loan Rate-Reference Rate)/Reference Rate

Import & Export of FISIM(4)

• Export Deposit FISIM• Interests paid to non-residents x M2• Import Deposit FISIM• Interests paid by non-resident banks x M2• M2 = (Reference Rate-Deposit Rate)/Deposit Rate

FISIM at constant prices

• GDP deflator is used

Difference from Eurostat Method

• Deposits(96.3%) + Bank Debentures(3.7%)• Loan + Privately-Placed Bonds(>1.9%)• Interests paid to S122, S123, S124 & S125

from S122 & S123• Loan FISIM is distributed to each sector by

using Interests paid to S122, S123, S124 & S125

• Deposit FISIM distributed by Stock• Import & Export of FISIM (hypothesis)

0.0000

0.50001.0000

1.5000

2.00002.5000

3.0000

3.5000

4.00004.5000

5.0000

1995 1996 1997 1998 1999 2000 2001

Loan

Deposit

Average

Reference（method1）

（ Fiscal Year）

（％）

Output

0

5,000

10,000

15,000

20,000

25,000

30,000

1995 1996 1997 1998 1999 2000 2001

FISIMImputed Interest

（ Fiscal Year）

（ Billion Yen）

FISIM & Commissions and Fees

（ Fiscal Year ,billion Yen, ％）1995 1996 1997 1998 1999 2000 2001 95-01Avg.

ＦＩＳＩＭ 20,56921,11421,29621,66720,48921,59924,144 21,55480.0% 80.4% 81.4% 82.4% 75.3% 78.0% 80.7% 79.8%

C & F 5,128 5,139 4,858 4,633 6,734 6,085 5,764 5,47720.0% 19.6% 18.6% 17.6% 24.7% 22.0% 19.3% 20.2%

Allocation of FISIM

（ FY、 billion Yen）1995 1996 1997 1998 1999 2000 2001

Domestic output 20,569 21,114 21,296 21,667 20,489 21,599 24,144Import 512 580 605 575 389 464 460Export 409 406 459 509 346 398 506

Domestic Demand 20,466 20,940 21,150 21,602 20,446 21,534 24,190Financial Institutions (A) 1,114 1,100 1,066 914 596 558 705Non-Financial (B) 3,491 3,103 2,960 3,400 3,232 3,632 3,647

General Government (C) 3,194 3,428 3,445 3,384 3,342 3,541 3,989Houshold 12,076 12,830 13,310 13,547 13,001 13,554 15,562

　　 Households as consumers (D) 9,847 10,480 10,926 10,853 10,379 10,823 11,969　　 unincorporated enterprises (E) 2,228 2,351 2,384 2,693 2,622 2,730 3,594

Private Non-Profit (F) 591 479 368 358 274 249 285Intermediate Demand (A+B+E)6,834 6,554 6,411 7,007 6,451 6,920 7,946

Final Demands(C+D+F) 13,632 14,386 14,739 14,594 13,996 14,614 16,243

Impact on Nominal GDP＜ Nominal＞ （ FY、 billion Yen、％）

1995 1996 1997 1998 1999 2000 2001 95-01Avg.Impact on GDP 13,736 14,560 14,885 14,660 14,039 14,680 16,197 14,679　 Final Consumption H 9,847 10,480 10,926 10,853 10,379 10,823 11,969 10,754　 Gov & Non-profit 3,785 3,907 3,813 3,741 3,617 3,791 4,275 3,847　 Export - Import 103 173 146 66 43 65 -46 79（％）Impact on GDP 2.7 2.8 2.9 2.8 2.7 2.8 3.2 2.9　 Final Consumption H 2.0 2.0 2.1 2.1 2.0 2.1 2.4 2.1　 Gov & Non-profit 0.8 0.8 0.7 0.7 0.7 0.7 0.9 0.8　 Export - Import 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0Volatility(%)GDP 11.2 3.4 1.4 0.2 3.5 3.6 13.2 5.2　 Final Consumption H 8.6 2.7 2.4 0.5 2.7 2.4 9.9 4.2　 Gov & Non-profit 2.5 0.2 0.9 0.2 0.7 1.0 4.0 1.3　 Export - Import 0.1 0.5 0.2 0.5 0.2 0.2 0.8 0.3

Impact on Real GDP＜ Base year = Fiscal year of 1995＞ （ FY、 billion Yen、％）

1995 1996 1997 1998 1999 2000 2001 95-01avg.Impact on GDP 13,612 14,318 14,602 13,559 13,414 13,848 13,839 13,885　 Household 9,748 10,279 10,556 9,926 9,826 10,058 10,103 10,071　 Gov. & non-profit 3,761 3,867 3,900 3,568 3,543 3,722 3,778 3,734　 Export - Import 103 172 146 65 46 67 -42 80（％）Impact on GDP 2.7 2.8 2.8 2.6 2.6 2.7 2.7 2.7　 Household 2.0 2.0 2.0 1.9 1.9 2.0 2.0 2.0　 Gov. & Non-profit 0.8 0.8 0.7 0.7 0.7 0.7 0.7 0.7　 Export - Import 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0Volatility(%)GDP 8.3 2.5 0.2 6.0 0.4 2.4 1.1 3.0　 Household 6.1 2.0 0.4 3.5 0.3 1.1 1.2 2.1　 Gov & non-profit 2.1 0.1 0.4 2.0 0.2 1.1 0.7 0.9　 Export - Import 0.1 0.5 0.2 0.6 0.1 0.2 0.8 0.3

Impact on Growth Rate

（ FY、％、 billion Yen）1995 1996 1997 1998 1999 2000 2001

GDP 504,038516,729521,153514,418510,687515,478502,602　 Growth Rate (A) 2.5 2.5 0.9 -1.3 -0.7 0.9 -2.5GDP with FISIM 517,773531,288536,038529,078524,726530,157518,800　 Growth Rate (B) 2.8 2.6 0.9 -1.3 -0.8 1.0 -2.1Impact (B-A) 0.3 0.1 0.0 -0.0 -0.1 0.1 0.4

（ FY、％、 billion Yen）1995 1996 1997 1998 1999 2000 2001

GDP 498,872511,947523,051516,579509,116513,377507,455　 Growth Rate (a) 1.4 2.6 2.2 -1.2 -1.4 0.8 -1.2GDP with FISIM 512,484526,265537,653530,138522,530527,225521,295　 Growth Rate (b) 1.6 2.7 2.2 -1.4 -1.4 0.9 -1.1Impact (b-a) 0.2 0.1 -0.0 -0.2 0.0 0.1 0.0

<Nominal>

<Base Year = FY1995>

Problems to be solved

• Volatility … Is there a good reason?• FISIM by industry• Long time series• Quarterly Estimation of FISIM