Sven Giegold

Grünes Feedback zu ersten Systemrisiko-Indikatoren-Überblick

Der Europäische Systemrisikorat hat erstmals ein Risiko-„Dashboard“ mit interessanten Grafiken erstellt. Er kann hier heruntergeladen werden:

Das Grüne ECON Team hat dem ESRB das folgende Feedback geschickt und hofft auf weitere Verbesserung dieses sinnvollen Instruments:

Dear Francesco,

Dear madams and sirs at the ESRB,

With great pleasure, I studied your systemic risk dashboard. It is very useful and I would like to give you some feedback.

Generally I would find it very useful if it could be updated regularly. Which frequency of updates do you envisage? Is there any plan to translate the graphs into – at least – the three main languages of the EU institutions?

Furthermore, we feel a need to add indicators on gross capital flows on a crossborder basis. Too much emphasis is put on net flows, but gross capital flows have played a key role for feeding financial bubbles in the decade before the crisis.

Since the classification and monitoring of SIFIs is an important issue, would the ESRB consider producing statistics for banks based on the indicators proposed by the FSB for such purposes assessing the degree of leverage, substitutability, interconnectedness etc.?

On the details:

Graph 2: the CoVaR appears to be the marginal contribution of individual bank stock VaR to an EU-portfolio of such stocks. We question whether financial institution historical share price volatility is a good measure of latent „systemic risk“ in the financial sector. Wouldn’t a graph of average correlations or betas in such a portfolio give a simpler and very similar information to that shown? Perhaps using an implied volatility index such as the Vix mentioned in the paper you refer to would be better (although this would not address the limitations of historical correlations)?

Graph 7: should be more longitudinal, eg. since beginning of the Euro

Graph 11: Coul this be additionally included in a version that goes back to 1995?

18b: I do not find very useful. It would be more interesting if the three indicators would be shown as % of GDP

Useful indicators to add

  • In particular I would find graphs showing the development of debt in the different sectors of the economy to GDP over time useful. This would allow to monitor the leveraging-deleveraging process in the different countries.
  • Development of banking securities underwritten by the government over time, disaggregated by country
  • Total interest burden by sector per country (internal/external) over time would be useful
  • development of gas/oil/raw material import costs by country as percentage of gdp over time
  • development of non-performing loans country-by-country
  • developments of the loan to value – ratio, in absolute terms, and correlated with the default rate
  • There is little or no mention of derivatives. Risk transfer (between types of institution, markets etc) through derivatives is surely a useful indicator of where the risks are? When and how will the ESRB use the data produced under EMIR/MiFID to create informative risk maps?
  • Debt to GDP is of course a key indicator. Would the ESRB consider publishing graphs that might give some idea of where the debt is being invested? This could take the form of volume and split of investment across different investment instruments, sectors etc. with a „zoom“ on rapidly growing asset classes.

Further questions:

  • Why is data for graph 29 on the UK and Lithuania not available?

Generally the whole set could win by some more graphic styling. ;-)


In co-operaion

Sven Giegold

Rubrik: Meine Themen, Wirtschaft & Währung

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