Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy
This presentation is the property of its rightful owner.
Sponsored Links
1 / 18

Agenda Issues: lacunas micro data can fill Readily available data PowerPoint PPT Presentation


  • 46 Views
  • Uploaded on
  • Presentation posted in: General

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

Download Presentation

Agenda Issues: lacunas micro data can fill Readily available data

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -

Presentation Transcript


Agenda issues lacunas micro data can fill readily available data

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy1

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy2

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy3

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy4

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy5

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy6

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy7

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

Riksbank company survey: survey tendencies


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy8

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.


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy9

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

Debt structure (SEK mln) vs. EDF (%)


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy10

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy11

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy12

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


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy13

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

Loan-to-value ratios


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy14

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

Sensitivity of companies to monetary policy


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy15

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

Business-cycle sensitivity of companies


Kasper roszbach micro data collecting and integrating them in a central bank s research and policy16

Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy

  • Challenges

    • MONA

    • Integrity


  • Login