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Macroprudential Database

The Macroprudential Database (MPDB) is a comprehensive and harmonised dataset of indicators covering various sub-categories of indicators judged relevant for macroprudential analysis. The database focuses on the indicators that can be used to explain and predict financial crisis episodes. The indicators were selected based on institutions’ experience of using time series for macroprudential analyses, information about indicators used in macroprudential tools and relevant academic literature. They include indicators selected for the ESRB’s quantitative risk analysis tools, such as the ESRB Risk Dashboard, and the indicators used to monitor developments in national banking markets. The indicators in the database are grouped into seven categories, each of which include various sub-categories, according to the below structure (see overview tab).

The list of indicators, together with the underlying SDW codes and indicator calculations, can be accessed in the MPDB catalogue. The catalogue may also include references to time series that cannot be shown in the SDW but are available from other data sources.

Download the MPDB catalogue

Macroeconomic and financial market variables

          Monetary indicators |  Macroeconomic indicators |  GDP indicators |  Foreign exchange indicators |  Financial market indicators |  Risk and uncertainty indicators |  Financial condition indicators |  Borrowing and lending indicators

Debt and credit variables

          Total credit and debt service indicators |  Bank credit indicators |  Financial sector credit by sub-sector (whom-to-whom accounts) |  Cross border / currency / securities exposures |  Credit exposure of banks (FINREP data) |  Credit exposure of banks (COREP data) |  Credit conditions according to bank lending survey

Residential real estate variables

          Mortgage debt and household balance sheet |  Mortgage loan features / credit standards |  House prices and house price valuation indicators |  Housing transactions and supply side

Commercial real estate variables

          CRE market: risk indicators |  Financial sector exposures to CRE

Bank sector variables

          Banking structure |  Main elements of the P&L |  Profitability |  Main elements of the balance sheet |  Liquidity and funding |  Lending and leverage |  Capital |  Asset quality |  Locational funding indicators

Non-bank variables

          Insurance companies and pension funds |  Other financial institutions

Interconnectedness variables

           Interconnectedness variables