When the fiscal rule was introduced, the expected return was estimated at 4 percent. The estimates presented today entail a considerably lower expected rate of return for any realistic equity allocation. As mentioned, with an equity allocation of 75 percent, the expected annual real return will be about 2.5 percent per year over the next ten years. Chart: Petroleum revenue spending over the budget Another important objective of the GPFG and the fiscal rule is to insulate the budget from sharp fluctuations in oil revenues. The GPFG is now so large and finances such a sizeable share of government spending that it may become just as important to manage swings in the fund’s value as swings in petroleum revenues. The fiscal authorities face an important trade-off: on the one hand, closely linking fiscal policy to changes in the value of the GPFG will have a substantial impact on other government spending and revenues from one year to another. This is far from desirable. On the other hand, a substantial degree of decoupling between changes in the GPFG’s value and government spending of its funds over the budget could lead to greater uncertainty about the value of the GPFG in the longer term. Oil revenue spending should be based on a realistic estimate of expected return. At the same time, due consideration must be given to return uncertainty. It may therefore be wise to consider spending somewhat less than the expected return over time.
Moreover, our statistics have been integrated into the euro area accounts, which provide an overall picture of the euro area economy. The next milestone is the release of the new investment funds statistics, today. For some years, the ECB has already published un-harmonised and partly estimated euro area investment fund statistics, at a quarterly frequency. Today we will present, for the first time, harmonised investment fund statistics that cover all investment funds resident in the euro area. This includes data for the main fund types such as bond, equity or mixed funds, but also other types of funds, including hedge funds. Our new dataset contains much more detailed breakdowns both on the assets held and liabilities issued by investment funds. The data provide, for example, detailed information on the residency and sector of the issuers of securities and shares held by the funds. New information is available, as well, on the residency of the holders of the shares issued by euro area investment funds. In addition to the detailed quarterly information, the ECB now also publishes key monthly information on the outstanding amounts and net sales of shares issued by the funds. A further important improvement concerns the timeliness of the publication of these statistics: as from 2010, the statistics will become available after one-and-a-half months (compared to 3-and-a-half months in the past). There are many reasons why high quality statistics on euro area investment funds are important for the ECB’s monetary and financial analysis.