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

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-

- -

Minskad produktionsvolym - ökad produktionsvolym

Min

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sys

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ing

- öka

d sy

ssel

sättn

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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