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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.

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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 (%)

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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
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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

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

Sensitivity of companies to monetary policy

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

Business-cycle sensitivity of companies

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