Agenda Issues: lacunas micro data can fill Readily available data
description
Transcript of Agenda Issues: lacunas micro data can fill Readily available data
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
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 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 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 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 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 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 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 Policy
-
-
- -
Minskad produktionsvolym - ökad produktionsvolym
Min
skad
sys
sels
ättn
ing
- öka
d sy
ssel
sättn
ing.
.
Total sep, utfall
Total dec, utfall
0,5
0,5
-0,5
-0,5
Riksbank company survey: survey tendencies
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 Policy
Debt structure (SEK mln) vs. EDF (%)
20
28
41
80
30
56
41
19
18
5 11
0
18
55
0
14
52 2
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0<=debtr<100 100<=debt<400 400<=debt<1200 debt>=1200
0<=EDF<0,1 0,1<=EDF<0,5 0,5<=EDF<1,0 EDF>5,0 EDF>5,0
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 Policy
Share of debt, financial wealth and real wealth, held by households income group
0
10
20
30
40
50
60
Category 1 Category 2 Category 3 Category 4 Category 5
Share of total debtShare of financial assetsShare of real assets
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
0
2
4
6
8
2004 2005 2006 2007 (forecast) 2008 (forecast)
Households below margin Impaired loans Potential loan losses
Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy
Loan-to-value ratios
75
89
5549
0
20
40
60
80
100
2000 2005
First-time house buyers Other house owners
Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy
Sensitivity of companies to monetary policy
Factor response of firms to variation in output gap
-0,3000
-0,2500
-0,2000
-0,1500
-0,1000
-0,0500
0,0000
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49
Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy
Business-cycle sensitivity of companies
Factor response of firms to variation in repo rate
-0,0400
-0,0200
0,0000
0,0200
0,0400
0,0600
0,0800
0,1000
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49
Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Bank’s Research and Policy
Challenges
MONA Integrity