Workshop “Using Microdata for Macroprudential Policy – Data, Methods, Applications”

Analyzing risks arising from financial instabilities is essential for central banks but is complicated by the limited suitability of aggregated data for this purpose. The microdata underlying corresponding aggregates often lack sufficient quality, as they are gathered for purposes other than microanalyses, are derived from a large number of sources and based on a wide range of data-gathering techniques and formats, or they simply fail to provide the right information.

During this workshop, we will examine the different types of microdata necessary to support macroprudential policy for financial stability and discuss the relevant data, methods and applications used. Furthermore, we will talk about additional requirements for data gathering and management that are critical to improving financial stability analyses.

Program (PDF, 67 KB)

Day 1

  • Opening address
    Doris Ritzberger-Grünwald, Director of the Economic Analysis Department, Oesterreichische Nationalbank (OeNB)

    The Danger of Not Seeing the Trees for the Forest: The Importance of Micro Data for Financial Stability
    Speakers: Pirmin Fessler and Esther Segalla, OeNB.
    Presentation (PDF, 2 MB)

     

    Session 1: Household Vulnerability

    Financial Fragility of Euro Area Households
    Speaker: Miguel Ampudia, European Central Bank
    Presentation (PDF, 578 KB)
    Paper (PDF, 1 MB)

    Discussant: Michael Sigmund, OeNB

     

    Stress-Testing the Household Sector Using Microdata
    Speaker: Petr Hlavác, Czech National Bank
    Presentation (PDF, 648 KB)
    Paper (PDF, 530 KB)

    Discussant: Tobias Schmidt, Deutsche Bundesbank
    Presentation (PDF, 176 KB)

     

    Households’ Financial Vulnerability in the New Scenario
    Speakers: Daniela Vandone, Università degli Studi di Milano
    Presentation (PDF, 1,1 MB)

    Discussant: Nicolas Albacete, OeNB
    Presentation (PDF, 231 KB)

     

    Session 2: Banking, Systemic Risks and Shock Transmission

    Lending Concentration, Bank Performance and Systemic Risk: Exploring Cross-Country Variation
    Speaker: Thorsten Beck, Cass Business School
    Presentation (PDF, 1,2 MB)

    Discussant: Mike Mariathasan, University of Vienna
    Presentation (PDF, 145 KB)

     

    When do laws and institutions affect recovery rates on collateral?
    Speaker: Hans Degryse, KU Leuven (abgesagt)
    Presentation (PDF, 526 KB)

    Discussant: Ibolya Schindele, BI Norwegian Business School
    Presentation (PDF, 214 KB)

     

    Sharing Information on Lending Decisions: An Empirical Assessment
    Speakers: Margherita Bottero, Bank of Italy

    Discussant: Katharina Steiner, OeNB
    Presentation (PDF, 326 KB)

Day 2

  • Session 3: Linking Households and Banks to Model Financial Stability

    Measures of Household Credit Risk
    Speaker: Helge Vatne, Central Bank of Norway
    Presentation (PDF, 3,2 MB)

    Discussant: Frédérique Savignac, Bank of France
    Presentation (PDF, 426 KB)

     

    Banks’ Financial Distress, Lending Supply and Consumption Expenditure
    Speaker: Evren Damar, Bank of Canada
    Paper (PDF, 899 KB)

    Discussant: Peter Lindner, OeNB
    Presentation (PDF, 1,1 MB)

     

    A Microsimulation Model to Evaluate Italian Households’ Financial Vulnerability
    Speakers: Valentina Michelangeli, Bank of Italy
    Presentation (PDF, 1,3 MB)

    Discussant: Silvia Rocha-Akis, Wifo
    Presentation (PDF, 169 KB)

     

    The Risks of the Dutch Mortgage Portfolio, a Micro-Econometric Analysis of the DNB Loan-Level Data
    Speaker: Mauro Mastrogiacomo, Netherlands Bank

    Discussant: Jesper Berg, Nykredit
    Presentation (PDF, 366 KB)

     

    Panel Session Data Needs – IMIDIAS (Bundesbank Experience)
    Speaker: Ulf von Kalckreuth, Deutsche Bundesbank
    Presentation (PDF, 830 KB)