Annual analysis of revisions to money and credit aggregates and effective interest rates data (2011-13) - Bankstats article

This article is the annual update of the analysis of revisions to monthly money and credit data and effective interest rates data produced by the Bank of England's Statistics and Regulatory Data Division (SRDD). Based on measures of revision size and bias, the results show that revisions can be considered immaterial for most series tested. This is the same broad conclusion as was reached in the 2015 analysis of 2010-12 data.
Published on 29 June 2016

Bankstats article

By Barney Greenish, Dennis Jeevarajasingham and Jas Sarai 



The Bank of England’s Statistics and Regulatory Data Division has presented analysis of revisions to monthly money and credit data and effective interest rates data on an annual basis since 2009. Revisions are examined on a rolling three-year window of published data after two years have elapsed. This article updates the analysis for 2011-13 data, covering broadly the same series as considered last year. All M4 lending series investigated in this analysis refer to those series which were relabelled from M4Lx to M4L from May 2015. All M4 lending series investigated in this analysis refer to those series which were relabelled from M4Lx to M4L from May 2015. 

Key points

For money and credit data, the results are similar to last year’s analysis for 2010-12 data, where revisions to series were found to be largely immaterial.  The one-off methodological change highlighted in last year’s review continues to have a minor impact on some series over the period. This related to M4 lending and its other financial corporations (OFC) components. For effective rates data the results are similar to last year’s analysis, where revisions were found to be immaterial.

Revision size, bias and materiality

As in previous analyses, this article evaluates revisions according to measures of their size, tests for bias in revisions and measures of materiality. Methodology and results for this analysis are presented in full in Annex A and Annex B. Definitions for the series investigated can be found in Annex C. For money and credit series, both seasonally adjusted and non seasonally adjusted data are considered. Mean revisions and mean absolute revisions are largely unchanged overall (Annex B, Table 1). However, mean absolute revisions have fallen slightly for more than half of the seasonally adjusted series considered, compared to last year. For effective interest rates data, revisions are slightly larger than those observed in the 2015 analysis for most series, although as in 2015 these can be considered immaterial (Annex B, Table 2). Bias was found in four of the money and credit series (Annex B, Table 3) and one effective rates series (Annex B, Table 4). For these series, however, mean revisions were small. Even in the absence of bias, revisions could still be considered to be material. However, this was not found to be the case (Annex B, Tables 5 and 6). 

Illustrative examples

This section considers in more detail selected examples of series that demonstrate the largest revisions for the series considered in this analysis.

Chart A depicts revisions to the one-month growth rate in M4 lending to OFCs, non seasonally adjusted. Among the non seasonally adjusted data, this series had the highest mean absolute revision (0.42 percentage points), although no evidence of bias was detected for this series.

Revisions are generally larger before February 2012. This reflects the fact that methodological changes to the estimation of this series were implemented for February 2012 data and this affected the estimation of data before this point. These changes consisted of improvements in the estimation of the effects of price movements in OFC securities held by monetary financial institutions (MFIs), specifically to exclude MFIs’ holdings of bonds issued by their own securitisation special purpose vehicles. Therefore, the size and materiality of revisions to this series should be seen as reflecting a one-off change in the measure’s construction; as a result the mean absolute revision for this series has decreased since last year’s analysis for 2010-12 data by 0.24pp to 0.42pp. This change is also the key driver of the revisions to the one-month growth rate of all M4 lending series (which show similar results in terms of materiality).

Chart B shows initial and revised estimates for seasonally adjusted M4 excluding intermediate other financial corporations (IOFCs). In this case, the materiality of revisions can be attributed to a change in the seasonal adjustment methodology implemented in November 2013. This involved a change from temporary adjustment methods to standard methods for the OFC component of M4, which drove the materiality of revisions. Moreover, combined with the change in estimation of MFIs’ holdings of OFC securities, this helps explain the magnitude of the revisions to seasonally adjusted M4 Lending and its OFC component.

For effective interest rates, the series with the largest ratio of mean square revision to variance of  the underlying data (one measure of materiality used by the Bank) was time deposits from OFCs (4.68pp, Annex B, Table 6). As discussed in last year’s analysis, revisions to these series were due to a methodological change to exclude the reporting of effective rates for intra-group business.6 This is greater than the 2015 figure (1.96pp) due to smaller variance of the underlying (revised) data; the variance of the revisions is unchanged from last year. Revisions to other rates series were immaterial. 

To view all related charts, tables and Annexes, please download the full article:

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