The use of micro-data in the ECB. Francesco Strobbe. European Central Bank. Luxembourg, 26-27 October 2006. OECD Conference: Assessing the feasibility of micro-data access. The use of micro-data in the ECB - I.
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The use of micro-data in the ECB Francesco Strobbe European Central Bank Luxembourg, 26-27 October 2006 OECD Conference: Assessing the feasibility of micro-data access
The use of micro-data in the ECB - I Monetary policy analysis is mainly based on macro statistics (mainly collected from EU NCBs) but more and more interest also in micro data based analysis Moreover micro-data bases have high potential to make statistical production more efficient
The use of micro-data in the ECB - II In particular, the ECB is currently working on 4 main projects in the field of financial micro-data: • Centralised Securities Database (CSDB) • Market Data Provision Project (MDP) • Survey data on Households Finance and Consumption (HFC) • Euro Area Corporate Balance Sheet Data (EACBS)
Centralised Securities Database (CSDB) - I • The CSDB is a comprehensive database developed by the ECB • It contains information on over 2 millions debt securities, equities and mutual funds issued by EU residents or by others • It uses commercial and other statistics sources, selecting the most reliable value for each attribute • It makes use of expertise within the ESCB to enhance data quality and filling gaps (on prices and income) with reliable estimates
Centralised Securities Database (CSDB) - II • The CSDB has been launched in first place to support ESCB wide production systems in the area of financial statistics • To this end the aim of the CSDB is to hold complete, accurate, consistent and up-to-date information on all individual securities relevant for the statistical purposes of the ESCB • From a statistical angle, the CSDB has 2 main functions: • To compile euro area aggregates • To provide a reference source on individual securities and issuers
Centralised Securities Database (CSDB) - III • Statistics on financial stocks and flows broken down by institutional sector and broad class of financial instrument are essential for the conduct of monetary policy • Microeconomic analysis of financial markets, focusing on specific instruments and markets, is growing in importance (e.g. : risks of different types of instruments and exposure of debtors and creditors in Basel II) • Reliable information on individual securities is also relevant for the ECB’s operational purposes (e.g. assets eligible as collateral in Eurosystem monetary operations).
Centralised Securities Database (CSDB) - V • The Production system of the CSDB is currently updated on a daily basis; the data dissemination system is refreshed monthly • Online access to the CSDB is available only in the ECB • Future developments: • Phase 2: online access to data for central banks and automated data exchange • Possibly Phase 3: inclusion of information on holders of securities (providing aggregates by country of residence and, where possible, by economic sector)
Market Data Provision (MDP) - I • The ECB uses financial market statistics in order to analyse the relationship between monetary policy and the structure and dynamics of financial markets; • The analysis of high-frequency series offers an insight into instantaneous reactions of market participants to specific events; • Primary objective of the MDP project is to deliver a system able to: • Collect, store and filter prices, volumes and a minimal set of reference data of financial market instruments at instrument level and at various frequencies from a few major data providers
Market Data Provision (MDP) - II • The financial markets data collected, from various geographical regions and in various currency denominations, includes: • Interest rate related instruments (deposits, loans, derivatives etc) • Equity related instruments (stocks, indices, derivatives etc) • Foreign exchange (currencies, derivatives etc) • Commodity derivatives, credit derivatives and other financial market instruments • The data is used for the production of statistics for internal and external use. These statistics include: • Financial market indicators, such as the yield curves, volatilities and indices, etc. • Financial integration indicators, such as the money market, bond market and corporate bond market indicators, etc.
Households Finance and Consumption (HFC) - I • So far the ECB used households’ data based on the European Community Household Panel (ECHP) to: • Assess the financial vulnerability of mortgage-indebted euro area households (Financial Stability Review, Dec. 2005) • Assess the debt servicing burden of euro area households – microeconomic evidence (ECB Monthly Bulletin, Dec. 2005) • Estimate the labour quality in the euro area (ECB Monthly Bulletin, Oct. 2005 and ECB Working Paper No. 575) • While ECHP data proved to be good when focusing on income or labour issues, the same does not apply to finance/portfolio issues
Households Finance and Consumption (HFC) - II • Comparable and comprehensive micro data on HFC covering the entire euro area are not available • The Eurosystem is currently investigating the need and the feasibility of collecting survey data on households finance and consumption • A coordinated survey for the euro area on HFC would: • Support policy analysis in all major functions of the Eurosystem (monetary policy; financial stability; payment systems) • Offer a consistent cross-country picture of households assets and liabilities • Enhance the understanding of the mutual interaction between households behaviour, financial markets and the macro-economy
Households Finance and Consumption (HFC) - III • Survey data can help address many questions of vital interest to central banks at various stages of the policy making process: • Households finance and consumption patterns • Measurement of households net worth • Borrowing and liquidity constraints • Marginal propensity to consume out of wealth • Some examples for the possible use of survey data: • Real estate booms and financial vulnerability of households sector • Financial integration and modernisation in retail banking • Aging, pension reforms and saving patterns
Households Finance and Consumption (HFC) - IV • The data would complement other micro-economic data (e.g. firms’ and banks’ balance sheets; bank lending survey) and macro-economic data on the households sector (e.g. financial and non-financial accounts) • Special challenges posed by the data collection: • Households may be reluctant to reveal info on financial matters in particular wealthy ones, these should therefore be over-represented in the sample • Representative samples for each country for meaningful comparisons
Corporate Balance Sheet Data (CBS) - I • CBS are an important statistical source to analyse the economic behaviour of non-financial corporations in the euro area; • Changes in monetary policy influence the financing conditions of enterprises via various channels (i.e. interest rate, credit and balance sheet channels) • A detailed understanding of • corporate financing decisions • the financial situation of corporations • the cost of financing is important for monetary policy in the context of an assessmentof financial and economic developments.
Corporate Balance Sheet Data (CBS) - II • CBS may be derived by aggregating national balance sheets and income statements made available by: • National authorities (generally Central banks or Statistical Offices) • Commercial Data Providers • So far, the compilation of EACBS has been complicated by: • Lack of comprehensive and timely data • Heterogeneity of accounting standards in Member States • Confidentiality constraints (exchange of individual data)
Aggregated non-financial corporation data Individual non-financial corporation data Amadeus database OSIRIS database Thomson Financial database National CBSOs data (only available on request) BACH database Corporate Balance Sheet Data (CBS) – IV CBS Data available at the ECB
Corporate Balance Sheet Data (CBS) - V • Annual and quarterly analysis of the financial conditions of the euro area non-financial corporations sector (broken down by branch of activity and size class) • Thomson Financial; Amadeus; BACH • Quarterly analysis (in the ECB Monthly Bulletin) • Quarterly euro area sample drawn from Thomson Financial • Financial Stability Review (Balance sheet conditions of non-financial corporations) • Amadeus and Thomson Financial
Corporate Balance Sheet Data (CBS) - VI • Collection of balance sheet data: costly undertaking • Therefore the ECB, in cooperation with the European Committee of CBS Data Offices, strives for further improvements regarding: • Timeliness • Frequency • Availability of individual data
Concluding remarks • The use of financial micro-data will increasingly support policy analysis in all major functions of the Eurosystem • Still a lot work has to be done but the ECB supports initiatives, like the OECD conference, aiming at exchanging best practices at international level and at fostering a dialogue on this topic