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Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Kasper Roszbach World Congress on National Accounts and Economic Performance.

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Presentation on theme: "Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Kasper Roszbach World Congress on National Accounts and Economic Performance."— Presentation transcript:

1 Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Kasper Roszbach World 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 Banks 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 Banks 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 Banks 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 Banks Research and Policy Readily available micro data HINK/HEK: household finance andincome distribution survey Annual >, 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 months

6 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks 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 Banks 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 Banks 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 Banks Research and Policy Riksbank company survey: survey tendencies

10 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Riksbank financial stability report Expected Default Frequency (EDF) for listed non- financial firms; source: Credit Monitor (Moodys 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 Banks Research and Policy Debt structure (SEK mln) vs. EDF (%)

12 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks 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 Banks 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 Banks 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 Banks Research and Policy Loan-to-value ratios

16 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Sensitivity of companies to monetary policy

17 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Business-cycle sensitivity of companies

18 Kasper Roszbach – Micro Data: Collecting and Integrating Them in a Central Banks Research and Policy Challenges MONA Integrity


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