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I am trying to use QSA financial derivatives data retrieved from the ECB's database (this is actually compiled by ECB and Eurostat).

To be more specific, the data is: Financial derivatives held as assets in the total economy. This is the link to it on ECB's website: https://sdw.ecb.europa.eu/browseSelection.do?type=series&q=QSA.Q.N.*.W0.S1.S1.N.A.LE.F7.T._Z.XDC._T.S.V.N._T&node=SEARCHRESULTS&ec=&oc=&rc=&cv=&pb=&dc=&df=

My question is: what's the quality of this data? Would you use it for empirical work? I know that it's particularly hard to measure financial derivatives, but there are some really strange things in this data.

For example, if I look at the derivatives-to-GDP ratio for the UK, this suddenly jumps from about 1% until 2003q4 to 350% in 2004q1 (and stays at similar levels thereafter). The same thing happens for some other countries, at different times. I really find it difficult to explain such huge changes.

Anyone has a good knowledge about this data and could please tell me more?

Thank you very much in advance.

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  • $\begingroup$ The ECB sometimes changes their indicators' methodology (they did that with M3 in the past decade). Finding out when and how can be a pain though. $\endgroup$ – Fizz Apr 16 '20 at 18:22
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    $\begingroup$ My question is not really about changes in methodology. I doubt a change in methodology could cause such a drastic change in a variable. There must be something else going on. $\endgroup$ – gicanzo Apr 17 '20 at 13:48
  • $\begingroup$ The reason they changed their M3 calculation method was that it was showing unreasonably high variability, because of how repo transactions with Eurex Clearing were counted. I would not be surprised if there are other artifacts like that in other data they capture, but it's just a guess. $\endgroup$ – Fizz Apr 17 '20 at 13:51

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