The journey from micro supervisory data to aggregate macroprudential statistics

Gaia Barbic, Stefano Borgioli and Ján Klacso

No 20, Statistics Paper Series from European Central Bank

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

Keywords: banking indicators; consolidated banking data; macroprudential analysis (search for similar items in EconPapers)
Date: 2017-05
New Economics Papers: this item is included in nep-acc and nep-ban
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