Micro Data: Collecting and Integrating for Central Bank Research

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