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The journey from micro supervisory data to aggregate macroprudential statistics

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  • Barbic, Gaia
  • Borgioli, Stefano
  • Klacso, Jan

Abstract

The Consolidated Banking Data CBD) are a key component of the ECB/ESCB statistical toolbox for financial stability analysis. This dataset, which contains all the relevant dimensions of systemic risk stemming from and affecting national banking systems, is compiled from firm-level supervisory returns. With the entry into force of the new set of European Banking Authority (EBA) Implementing Technical Standards on Supervisory Reporting in 2014, the whole CBD statistical framework had to be reshaped. In August 2015 the first data for the revised CBD were released. This paper deals with the main issues in the challenging endeavour of transposing firmlevel supervisory returns, often based on different accounting systems, into comprehensive aggregate statistics, while ensuring as far as possible continuity in the time series for indicators and aggregates calculated from different successive data models. At the same time, the new CBD has substantially enlarged the quantity and increased the quality of data, available to the users. This paper provides a description of the database, together with some examples drawn from it. JEL Classification: C82, G21

Suggested Citation

  • Barbic, Gaia & Borgioli, Stefano & Klacso, Jan, 2017. "The journey from micro supervisory data to aggregate macroprudential statistics," Statistics Paper Series 20, European Central Bank.
    • Handle: RePEc:ecb:ecbsps:201720
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    References listed on IDEAS

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    1. Borgioli, Stefano & Gouveia, Ana Cláudia & Labanca, Claudio, 2013. "Financial stability analysis: insights gained from consolidated banking data for the EU," Occasional Paper Series 140, European Central Bank.
    2. Stefano Borgioli & Graziella Morandi & Joao Veiga, 2015. "The development and compilation of macro prudential data – the European perspective," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    3. Borgioli, Stefano & Gouveia, Ana Cláudia & Labanca, Claudio, 2013. "Financial stability analysis: insights gained from consolidated banking data for the EU," Occasional Paper Series 140, European Central Bank.
    4. Claudio Borio, 2013. "The Great Financial Crisis: Setting priorities for new statistics," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 306-317, July.
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    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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