Initiatives to address data gaps revealed by the financial crisis

Initiatives to address data gaps revealed by the financial crisis

IFC Bulletin | No 34 |

08 December 2011

| 653 pages

Keynote speech	page
The financial crisis: what implications for new statistics? Claudio Borio	1

Session 1: An overview of international and national initiatives to address data gaps revealed by the financial crisis
Enhancing information on financial stability Adelheid Burgi-Schmelz, Alfredo Leone, Robert Heath and Andrew Kitili	11
Enhancements to ECB statistics for financial stability analysis Anna Agresti, Stefano Borgioli and Paolo Poloni	18
Data gaps in the UK financial sector: some lessons learned from the recent crisis Gareth Murphy and Robert Westwood	28

Session 2: Improving data compilations on/from banks
Banking system soundness during the financial crisis Sally M Davies	47
Improving the quality and flexibility of data collection from financial institutions Milan Nejman, Otakar Cejnar and Patrick Slovik	52
Implementation of International Financial Reporting Standards for nonfinancial companies and their impact on financial stability monitoring at the Central Bank of Chile Isabel Scheuch and Mariela Iturriaga	60
A new approach to MFI interest rate statistics in Croatia Ivana Usorac and Igor Jemrić	79

Session 3 A: The use of surveys to remedy data gaps
Capturing the evolution of dealer credit terms related to securities financing and OTC derivatives: some initial results from the new Senior Credit Officer Opinion Survey on Dealer Financing Terms Matthew J Eichner and Fabio M Natalucci	95
The process of formation of inflation expectations in an information economy Anna Loleyt and Ilya Gurov	104
Quantifying qualitative data from expectation surveys: how well do expectation surveys forecast inflation? Teresita Bascos-Deveza	128

Session 3 B: The usefulness of micro data
Addressing data gaps revealed by the financial crisis: European Central Bank statistics on holdings of securities Pierre Sola and Francesco Strobbe	141
A framework to assess vulnerabilities arising from household indebtedness using microdata Ramdane Djoudad	151
Exploring the statistical potential of micro-databases Isabel Lavrador	169

Session 3 C: Marrying analytical methods and frameworks with data sources
An ordered probit model of an early warning system for predicting financial crisis in India Thangjam Rajeshwar Singh	185
Price discovery on traded inflation expectations: does the financial crisis matter? Alexander Schulz and Jelena Stapf	202

Session 4 A: The use of surveys to remedy data gaps
Business outlook of small, medium and large scale enterprises: implications for monetary policy in Nigeria Sani I Doguwa, Olorunsola E Olowofeso and Sunday N Essien	235
The use of surveys to measure sentiment and expected behaviour of key sectors in the economy: evidence from the business survey conducted by the Central Bank of Lebanon Sana Souaid Jad	248
Inflation forecasts from the Bank of Italy-Sole 24 Ore survey of expectations of inflation and growth Raffaele Tartaglia-Polcini	278

Session 4 B: The usefulness of micro data
How can administrative databases help us to understand the funding behaviour of non-financial corporations? Homero Alexandre Martins Gonçalves	295
Recession-induced mean and distributional effects on business profitability: addressing information gaps using corporate firm-level balance sheet data Dominik Elgg and Timm Körting	321
Micro-data as a necessary infrastructure - standardisation of reference data on instruments and entities as a starting point: need for a Reference Data Utility Francis Gross	334

Session 4 C: Marrying analytical methods and frameworks with data sources
Applying CoVaR to measure systemic market risk: the Colombian case Mauricio Arias, Juan Carlos Mendoza and David Pérez-Reyna	351
On measures for illustrating credit risk assessments: the case of heat maps, risk matrices and cubes Jenny Dickson	365
Alternative measures of liquidity on the Chilean government fixed income market Nicolás Álvarez Hernández and Luis Antonio Ahumada	373

Session 5 A: The use of surveys to remedy data gaps
Denoised least squares forecasting of GDP changes using indexes of consumer and business sentiment Antonis A Michis	383
The usage of surveys to overrun data gaps: Bank Indonesia's experience Hendy Sulistiowaty and Ari Nopianti	393
The SNB survey on loan quality: a qualitative survey in a quantitative "suit"? Hilmar Hoffmann	403

Session 5 B: Marrying analytical methods and frameworks with data sources
CDS and government bonds spreads - how informative are they for financial stability analysis? Irina Mihai and Florian Neagu	415
Market uncertainty and market instability Patrick Slovik	430
Measuring carry trade activity Stephanie Curcuru, Clara Vega and Jasper Hoek	436
The current crisis and macroeconomic statistics: statistical initiatives and challenges at the Central Bank of Nigeria Muhammad A Bamanga	454

Session 5 C: Improving external statistics
Improved measurement of cross-border positions, exposures and flows in South Africa using data obtained from banks and formalised exchanges Johan van den Heever	467
Trade collapse, data gaps and the impact of the financial crisis on official statistics Andreas Maurer, Hubert Escaith and Marc Auboin	480
Toward FATS and beyond: the case of Thailand Ornicha Tattawasart	488
External debt statistics of the euro area Jorge Diz Dias	503

Session 6 A: Improving financial account data
Toward further improvement of the Flow of Funds Accounts Sayako Konno	515
Financial statistics on corporations - existing gaps and future possibilities Lizette Appelberg, Kristina Holmberg and Jon Smedsaas	526
Data on the balance sheet positions of households and financial and non-financial corporations in Slovenia Nina Bostner	536
Compilation and analysis of Taiwan's household debt statistics Huei-Jung Fang	564
ECB statistics on insurance corporations and pension funds Ana Cláudia Gouveia and Rafael Quevedo	574

Session 6 B: Improving housing statistics
Estimation of a semi-parametric hazard model for Mexico's new housing market Carolina Rodriguez-Zamora	587
Recent trends in the UK first-time buyer mortgage market Dmitry Kuvshinov	599

Session 6 C: Improving data on debt markets and securitisation
Developing a database on securities holders: the case of Japan Yoshiko Sato and Satoru Hagino	613
The development of securitisation statistics in Ireland Clive A Jackson	627
Developing data and information on Israel's credit market Yair Haim	628

Summary of the conference Paul van den Bergh	643