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Micro Data: Collecting and Integrating for Central Bank Research

Explore the collection and integration of micro data for research and policy at central banks. Discover the benefits, challenges, and applications in areas such as monetary policy, financial stability, and productivity measurement.

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Micro Data: Collecting and Integrating for Central Bank Research

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  1. Micro Data: Collecting and Integrating Them in a Central Bank’s Research and PolicyKasper RoszbachWorld Congress on National Accounts and Economic Performance Measures for Nations Washington D.C. , 13 May 2008

  2. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Agenda • Issues: lacunas micro data can fill • Readily available data • Characteristics, availability, restrictions, quality • Data to collect or merge • Hurdles, time, where, complications • Applications • Monetary policy • Financial stability • Research

  3. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Areas to work on with micro data • Research • Credit risk, bank relationships, stress events, corporate governance, labor markets • Monetary policy • Productivity measures at firm and industry level • Complementary information about prices, output and employment • Financial stability • Default rate, debt structure of large corporations, household indebtness

  4. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Productivity • Disaggregated data • Unlikely to be more useful than aggregate data in revealing current state of aggregate productivity growth • May be very useful for forecasting new waves of productivity growth and for predicting their persistence • Can help policy-makers forecast persistence of productivity trends • Can identify new General-Purpose Technologies

  5. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Readily available micro data • HINK/HEK: household finance andincome distribution survey • Annual 1980 ->, 10-20’ individuals/households • Tax filings, registers of authorities (income and transfers), telephone interviews (background variables) • Can be merged with 3rd sources; ethical examination & de-identification • Disposable income, household type, age, gender, employment, social background, country of birth, housing type and costs, financial/real assets, debt, interest expend. • Publication lag 11-15 months

  6. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Readily available micro data • Upplysningscentralen (credit bureau) • Businesses and households • Tax filings, credit market history (3 years), financial statements • Can be merged with 3rd sources; ethical examination and/or legal test plus de-identification • LINDA (longitudinal individual database) • Panel, 800’ individuals, 300’ households, 1968 => • Registers: education, social security, wages, pensions, sick leave, parental leave, unemployment, labor market search, study grants, civil status

  7. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Data to collect or merge • Permanent • Riksbank company survey • Incidental • Loan officer survey • Central bank governance survey • Other sources • Trade unions, Employers’ Federation, banks • Merging sources • Ethical examination

  8. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Riksbank company survey • Purpose: in-depth information on how businesses plan and act in current economic situation • Method: Interviews, data collected both as survey responses (i.e. about output, employment, prices) and as citations about economic conditions • Whom: ±60 large and middle-sized companies 3 t/year • Result: improve interpretation of standard economic statistics • Publication: in Monetary Policy Report

  9. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Riksbank company survey: survey tendencies

  10. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Riksbank financial stability report • Expected Default Frequency (EDF) for listed non-financial firms; source: Credit Monitor (Moody’s KMV) • Debt structure of firms; source: Bloomberg. • Purpose: indicator of systemic risk through likelihood and size of substantial asset write-downs.

  11. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Debt structure (SEK mln) vs. EDF (%)

  12. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Riksbank financial stability report • HEK/HINK/LINDA data • Potential for significant credit losses at banks? • Proportion of vulnerable households • Loan-to-value ratios of first-time buyers and other home owners • Exposure at default (EAD) • Expected loss-given-default (LGD) for subgroups

  13. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Share of debt, financial wealth and real wealth, held by households income group

  14. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Share of debt, financial wealth and real wealth, held by households income group

  15. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Loan-to-value ratios

  16. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Sensitivity of companies to monetary policy

  17. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy Business-cycle sensitivity of companies

  18. Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy • Challenges • MONA • Integrity

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