Micro Data Collecting and Integrating Them in a

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 § § Data to collect or merge § § Characteristics, availability, restrictions, quality 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 § § Monetary policy § § § Credit risk, bank relationships, stress events, corporate governance, labor markets 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 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 3 rd sources; ethical examination & deidentification 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 3 rd 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 § § § Incidental § Loan officer survey § Central bank governance survey Other sources § § Riksbank company survey 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 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 nonfinancial 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 (%)

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

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 Policy Loan-to-value ratios

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

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

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