Featured Product

    ECB Paper Examines Data Gaps in European Macro-Prudential Database

    December 20, 2019

    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 LinkECB 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

    Related Articles
    News

    APRA Reviews Repayment Deferral Plans, Identifies Best Practices

    APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.

    September 22, 2020 WebPage Regulatory News
    News

    ESAs Assess Risks to Financial Sector After COVID-19 Outbreak

    ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.

    September 22, 2020 WebPage Regulatory News
    News

    BoE Confirms Withdrawal of COVID Corporate Financing Facility

    BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.

    September 22, 2020 WebPage Regulatory News
    News

    ECB Allows Temporary Relief in Leverage Ratio Amid COVID-19 Pandemic

    ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.

    September 21, 2020 WebPage Regulatory News
    News

    ESAs Launch Survey on Templates for Product Disclosures Under SFDR

    ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).

    September 21, 2020 WebPage Regulatory News
    News

    ECB Proposes Integrated Reporting Framework to Reduce Burden for Banks

    ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.

    September 21, 2020 WebPage Regulatory News
    News

    EC Deems UK Framework for CCPs Temporarily Equivalent to EMIR Rules

    EC adopted a decision determining, for a limited period of time, that the regulatory framework applicable to central counterparties, or CCPs, in the UK and Northern Ireland is equivalent to the requirements laid down in the European Market Infrastructure Regulation (EMIR or Regulation 648/2012).

    September 21, 2020 WebPage Regulatory News
    News

    EBA to Phase Out Guidelines on Loan Repayment Moratoria

    EBA has decided to phase out the guidelines on legislative and non-legislative moratoria of loan repayments, in accordance with the earlier specified end of September deadline.

    September 21, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5820