Deriving household indebtedness indicators by linking micro and macro balance sheet data

Since 2008, when the U.S. subprime mortgage crisis triggered the financial crisis, financial stability analysis has been increasingly interested in the leverage and indebtedness of households along with the vulnerability of different household groups. The reason for this interest is that the household balance sheet and thus, also their risks, are typically counterparts of those of financial institutions. Moreover, several reports, for example the IMF/FSB report to the G-20 Finance Ministers and Central Bank Governors concerning data gaps, emphasise the need for household data which is broken down by different household types. However, none of the reports specify how, in practice, the accounts should be used.

This article uses the micro-macro linkage of wealth and income accounts and thus creates a set of macroeconomic wealth accounts broken down by household groups, using micro data available at the national level. The aim of the project is to derive a framework where indebtedness indicators can be optimally estimated in a timely manner and at a quarterly frequency. This article makes the first attempt to estimate annual time series by using historic micro-macro linkage and highlights problems related to time series estimation and suggests how these estimations could be developed further.