Microdata is becoming increasingly available, and its merits for analytical purposes are becoming more and more apparent – especially in the aftermath of the financial crisis of 2008. The crisis revealed the need for this type of data, also to understand the effects and developments of tails in distributions which cannot be derived from aggregate data.
Examples of research data
Compared to international standards, the magnitude of granular research data available within Danmarks Nationalbank is very high. Here are some examples.
The credit register is a quarterly register containing information on loans and credit from commercial banks and mortgage institutions in Denmark, the Faroe Islands and Greenland. Each loan contract is characterised by more than 200 variables, e.g. who the borrower is, when the loan was taken out, whether the borrower is making instalment payments and if collateral was provided. The register also contains information on the probability of borrowers defaulting on loans.
Danmarks Nationalbank belongs to the European System of Central Banks (ESCB), participates in research networks and data collection efforts coordinated across the ESCB and can access several confidential data sets available within the ESCB for research purposes.
Microdata is available at the level of individual households. Based on registry data (mainly tax data) from Statistics Denmark and reporting of individual pension assets by the Danish financial sector, a nearly complete balance sheet of all Danish households is constructed in close cooperation between Statistics Denmark and Danmarks Nationalbank. The microdata set includes information on financial assets and liabilities (although excluding currency and unquoted shares) together with real assets (market value of real estate, vehicles etc.). The data may be combined with e.g. the annual balance sheet data on mortgage banks’ lending to Danish households, the real estate collateral registry (from 2017) and the credit register containing data on individual loans to companies and households (from 2019).
Microdata is available at the level of individual financial institutions and individual households. Data may be combined with registry data on individuals from Statistics Denmark.
The data set encompasses information on the borrower, collateral, interest rates, arrears etc. Aggregate data is consistent with balance sheet statistics for the MFI sub-sector mortgage banks at the level of the individual mortgage banks.
Danmarks Nationalbank has access to a unique longitudinal data set with linked employer-employee data, the Integrated Database for Labor Market Research (IDA). It is possible to merge register data with survey-based data (for example individual responses from the Consumer Sentiment Survey).
This data set comprises mainly data from balance sheets and income statements. The register data can be merged with survey responses as well as data on enterprises’ banking relationships. Additional corporate balance sheet data is available to researchers through commercial providers.
Microdata is available at the level of individual financial institutions. Distributional information at the level of customers related to real estate lending will be introduced from 2017.
The interest rate statistics cover interest rates of banks and mortgage banks on loans and deposits vis-à-vis households, non-financial enterprises etc. The statistics include interest rates on existing loans and deposits (outstanding amounts) as well as new lending and new deposit agreements in a given month (new business).
Microdata is available at the level of individual financial institutions. The balance sheet statistics cover key items of the MFI balance sheets as well as transactions, revaluations and other changes in volume. The key items are specified by sector, industry, counterparty country, maturity and currency. Securities holdings and issuances as well as repo transactions are reported at the level of individual ISIN codes. The statistics also include a compilation of the money stock and figures for the sub-sector banks and mortgage banks.
Microdata is available on the level on individual financial institutions.
The lending survey is carried out as a questionnaire survey, in which credit managers of the participating financial institutions state changes in credit policies and the main drivers behind these changes as well as demand for lending in the previous quarter and expected changes for the coming quarter.
Microdata is available at the level of issuer and investor.
The general statistics cover bonds, shares and investment fund shares registered with VP Securities A/S, and comprise information on portfolios and net transactions distributed by securities type, issuer and owner. In addition, the statistics contain details of Danish residents’ issues abroad. In addition, the securities statistics by ISIN codes are published monthly, comprising VP-registered quoted shares and bonds as well as VP-registered investment fund shares, and containing information on the ownership share of the individual paper. Also, the statistics provide detailed information on structured bonds by ISIN codes. The monthly statistics by ISIN codes contain detailed information on Danish mortgage bonds – coupon types (fixed, floating), interest rate levels, time to maturity and refinancing information. In addition, the monthly statistics cover statistics on investors in Danish government bonds and bills as well as volume, currencies and places of issuance of Danish corporate bonds. Finally, the statistics contain return information on Danish shares as well as holders of Danish shares.
Microdata is available at the level of individual financial institutions. Monthly reporting is being introduced from 2018.
The statistics present the key items of the investment funds’ balance sheets as well as transactions, revaluations and other changes in volume. The key items are specified by sector (including ownership), counterparty country, maturity and currency.
Microdata is to some extent available at the level of individual financial institutions and enterprises.
The statistics comprise a specification of non-residents’ investments in Danish securities and residents’ investments in foreign securities, distributed by sector, currency and country.
In the framework of national accounts, financial statements of financial and non-financial enterprises are available at the level of individual enterprises.
The statistics comprise external financial transactions distributed by sector and investment type.
In the framework of financial accounts, financial statements of financial and non-financial institutional units are available at the level of individual units.
The financial accounts system is based on all available relevant statistical sources, a strict whom-to-whom system and consistency with the quarterly non-financial national accounts (published by Statistics Denmark). The statistics comply with the guidelines in Eurostat’s manual on the European System of Accounts 2010 (ESA2010).
Microdata is to some extent available at the level of individual financial institutions and enterprises.
The statistics include stock data for assets and liabilities, as well as balances, calculated at the end of each quarter and broken down by instrument and sector.
Microdata is available at the level of individual enterprises.
The statistics contain quarterly flow data for direct investments broken down by equity and intercompany debt, which again are broken down by industry and country – see also the description of annual statistics on foreign direct investments (FDI) (stocks).
Microdata is available at the level of individual enterprises.
The statistics contain annual data for direct investments broken down by equity and intercompany debt, which again are broken down by industry and country.
Transaction-level data on payments. Danmarks Nationalbank records payments made among Danish banks which maintain accounts with the central bank. This data can then be used to derive further information, e.g. about the money market (by inferring money market transactions from the underlying payments) and network structure.
Danmarks Nationalbank records quarterly data on different balance sheet and income statement information for Danish banks, including detailed data related to regulatory requirements such as the liquidity coverage ratio and the net stable funding ratio. This data can be used, for example, to study the linkages between banks’ funding and the lending choices. Besides data already available, both a real estate collateral registry (from 2017) and a credit database containing data on individual loans to companies and households (from 2019) are being developed , which encompass information on borrowers, collateral, interest rates, arrears etc. This data may be combined with a range of other microdata such as information on the borrower’s income, assets etc.
Recent external publications based on Danish microdata