Download OECD Conference on Micro-data

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) - IV
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
assessment of 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)
Corporate Balance Sheet Data (CBS) – III
Purpose
Monetary policy analysis
Dimension
Conjunctural
analysis
Structural
analysis
Financial
stability
analysis
Other statistical
purposes
Timeliness
Very important
Less important
Important
Very important
Frequency
Quarterly
Annual
Quarterly and
annual
Quarterly and
annual
Coverage by
economic activity,
size, and legal form
Important
Important
Important
Less Important
Country coverage
Important
Important
Important
Important
Back data
Very important
Important
Less important
Very important
Compatibility with
national and
financial accounts
Very important
Important
Less important
Very important
Individual data
Less important
Important
Important
Less important
Consolidation
Consolidated
and nonconsolidated
Nonconsolidated
Consolidated
and
non-
Non-consolidated
Corporate Balance Sheet Data (CBS) – IV
Aggregated
non-financial
corporation data
National
CBSOs data
(only
available on
request)
BACH
database
CBS Data
available at
the ECB
Amadeus
database
Individual nonfinancial
corporation data
OSIRIS
database
Thomson
Financial
database
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 nonfinancial 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