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Revision of "L" - Broadly-defined Liquidity

August 9, 2018
Research and Statistics Department
Bank of Japan

The Bank of Japan has conducted a revision of "L" - broadly-defined liquidity in the Money Stock Statistics (MSS).

The Bank revises the data for each component of "L" in consideration of financial and economic structural changes according to the following standards:

  1. The Bank reviews each component periodically in principle (every three years) and revises if necessary.
  2. When the Bank finds much room for improvement in the accuracy of the data.

The revision conducted corresponds to "2." above.

As a result of the revision, figures from April 2003 through June 2018 have been retroactively revised. Specifically, y/y % changes of "L" have been revised in the range of minus 0.9 to +0.9 % pt. For details, refer to the following materials.

Highlights of the revision are as follows.

1. Investment trusts

The amount of investment trusts held by money holders is compiled by deducting "the portion held by non-money holders (financial institutions, etc.)" from "the total of investment trusts issued." The total of investment trusts issued is compiled by using data from "Assets and Liabilities of Domestically Licensed Banks (Trust Accounts)" and "Real Estate Investment Trusts." The portion held by non-money holders is identified using data source such as "Assets and Liabilities of Domestically Licensed Banks (Banking Accounts)" and the balance sheets of individual financial institutions.

In the revision, in accordance with the revision of the Flow of Funds Accounts, the portion held by some financial institutions has been re-examined. In addition, the data source used in estimating the portion held by fund of funds that is a part of non-money holders has been changed to the data released by the Investment Trust Association, which will result in improvement in the accuracy of the estimates.

The figures of "Investment trusts" have been revised from April 2003, the starting data period of the MSS.

2. Pecuniary trusts

"Pecuniary trusts" include trust principals of five components held by money holders -- "jointly operated designated money trusts," "loan trusts," "designated non-collectively invested money trusts," "specified money trusts excluding securities investment trusts" (so-called Tokkin), and "pecuniary trusts other than money trusts." Some trusts in "composite trusts" (trusts that hold more than two different kinds of trust property) that are considered virtually equivalent to the five components mentioned above also are included.

In the revision, the method for estimating the trusts included in "composite trusts" that are virtually equivalent to the five components above has been refined.

The figures of "Pecuniary trusts" have been revised from April 2003, the starting data period of the MSS.

3. CP issued by financial institutions

CP issued by financial institutions and held by money holders is compiled by deducting the portion held by financial institutions from the total amount of CP issued by financial institutions such as domestically licensed banks, insurance companies, and holding companies of these institutions.

The main revision is a change of the data source for the preliminary figures, which will result in smaller deviations between the preliminary and the final figures. The data source for the preliminary figures has been changed from data reported to the Bank such as by individual banks to those of Japan Securities Depository Center (JASDEC).

The figures of "CP issued by financial institutions" have been revised from April 2003, the starting data period of the MSS.

Inquiries

Economic Statistics Division, Research and Statistics Department

E-mail: post.rsd5@boj.or.jp