ECB published a paper that discusses a major initiative of ECB and the European System of Central Banks (ESCB), in cooperation with ESRB, to assemble a comprehensive statistical repository in the form of the Macro-prudential Database. The paper sets out the rationale for setting up the database, describes the structure and key features of the database, and provides a broad overview of its indicators. Examples illustrate how the Macro-prudential Database is used for monitoring purposes and econometric modeling. Relevant data confidentiality issues have been also dealt with. Finally, the paper describes the remaining data gaps and the expected future enhancements of the database.
One of the conclusions presented in the paper is that development and implementation of the Macro-prudential Database has shown how cooperation and the involvement of financial stability experts and statisticians can create synergies and add value in terms of conceptual analysis, technical infrastructures, and the collection and compilation of data. The Macro-prudential Database became operational in October 2015, since when it has been accessible through the Statistical Data Warehouse, or SDW, of ECB. The public version comprises about 300 relevant country-level indicators grouped into seven domains related to the macro economy and financial markets, debt and credit, residential and commercial real estate, the banking sector, the non-banking sector and interconnectedness. The Macro-prudential Database indicators are a collection of the most frequently used standard indicators for macro-prudential policy analysis as well as indicators calculated on the basis of various requirements for the purpose of risk identification and monitoring of euro area countries.
With the creation of the Macro-prudential Database, an important first step was taken, but more remains to be done. Data gaps still exist, especially in certain domains of the Macro-prudential Database. These gaps will have to be filled, always being conscious of the burden on data compilers and the need to balance the benefits and costs of additional data. Progress in removing data gaps will, of course, be aligned with the developments in the main international standards and initiatives, such as the G-20 Data Gaps Initiative. Data gaps appear to still be particularly relevant in the area of residential and commercial real estate. A further important challenge will be continuing to expand coverage of non-bank credit intermediation, given the growing relevance of the “shadow-banking” sector. Progress in the EU-driven project aimed at developing a Capital Markets Union will make this area even more relevant. The Macro-prudential Database will be reviewed regularly to ensure it remains a robust and harmonized data system capable of satisfying the information needs of macro-prudential analysts and policymakers.
The potential of existing aggregate statistics has largely already been incorporated into the development of the Macro-prudential Database. However, the closing of the mentioned data gaps will have to wait for the availability of new indicators that would be derived from granular datasets like AnaCredit, Securities Holding Statistics (SHS), Money Market Statistical Reporting (MMSR), and European Market Infrastructure Regulation (EMIR) data, which are all currently in the early stages of data collection. Therefore, it is expected that, in the coming years, a whole battery of new indicators based on transaction-level data will further enrich the Macro-prudential Database. Further improvements toward the closing of data gaps in the real estate sector could be expected in 2021, following implementation of the ESRB Recommendation on closing real estate data gaps and in connection with the AnaCredit project, which will provide granular loan information covering the non-financial corporation sector. To meet continuously evolving user needs, the Macro-prudential Database is regularly reviewed, making it an evolving and adjustable product.
Related Link: ECB Paper (PDF)
Keywords: Europe, EU, Banking, Insurance, Securities, Statistics, Macro-prudential Database, Statistical Data Warehouse, Data Gaps Initiative, Macro-prudential Policy, AnaCredit, SHS, Commercial Real Estate, ESCB, ESRB, ECB
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