Build #: 12548

Coefficient of cross-country variation

"Coefficients of cross-country variation" measure the dispersion of bank interest rates in individual euro area countries around the euro area aggregated interest rate. They are calculated for each indicator. The coefficient of variation is calculated as the standard deviation divided by the euro area interest rate, thus adjusting for the influence of the level of the euro area interest rate on the standard deviation. By definition, the coefficient of variation is unit-free.

To measure the dispersion of the MFI interest rates of the individual euro area countries around the euro area interest rate, coefficients of variation are calculated for each euro area MFI interest rate. The coefficient of variation is computed as the standard deviation divided by the euro area interest rate, thus adjusting for the fact that the standard deviation is influenced by the level of the euro area rate. By definition, the coefficient of variation is unit-free.

The standard deviation is computed as the square root of the weighted variance of the national MFI interest rates (MIR) with respect to the euro area interest rate. The national business volumes serve as country weights.

 

The weighted variance is the squared deviations between the national and euro area MFI interest rates, calculated according to the national share in the total euro area business volume for a given instrument category.

 

  By measuring, on a monthly basis, the variation of national interest rates around the euro area MFI interest rate (“euro area MIR”) adjusted for the level of the euro area rate, the coefficient of variation     allows further a comparison of different MIR indicators.

 

Regulation ECB/2013/34 concerning statistics on interest rates applied by monetary and financial institutions (recast)

Regulation ECB/2014/30 amending Regulation ECB/2013/34 concerning statistics on interest rates applied by monetary financial institutions

Guideline ECB/2014/15 on monetary and financial statistics

Guideline ECB/2016/45 amending Guideline ECB/2014/15 on monetary and financial statistics

Manual on MFI interest rate statistics

Short general description of MFI interest rate statistics

New MFI interest rates statistics introduced in Regulation ECB/2013/34 and Guideline ECB/2014/15