April 9, 2018

Financial Indices

Research on international banking does not only contribute to the understanding of the transmission of financial shocks. It also seeks to understand how different social and cultural features, as well as market structures affect the internationalization of banks. Several research initiatives provide cross-country data that help understand how different social indicators related to financial markets can affect, for example, operational structures and business models of globalized banks.
Links to data sources

IWH European Real Estate Index

The IWH European Real Estate Database is a new data set that illustrates the developments in the real estate market across Europe. The database includes monthly ask prices for sales and rentals for 18 European countries between 2018 and 2021. For 17 countries, web-scraping techniques was employed to gather the data. The data for Germany is from a data project by RWI Essen. The monthly data about average and median prices per square meters on the NUTS-3 level as well as the number of listings per month is also represented by the dataset. Detailed information on building and structure of the data set can be found in the IWH Technical Report 3/2022.

Data Provider:  IWH
Level/Frequency:  Europe Real Estate Sector/ Monthly
Geographic Coverage: Europe
Time Range:  2018 – 2021
Availability: Free access online

Sectoral Credit Around the World, 1940-2014

A novel sectorally disaggregated dataset on credit to the private sector for 108 countries for 1940-2014. Over the last 70 years, household credit has increased considerably both in advanced and emerging economies, while manufacturing credit has declined. Data on: NFC: ISIC sectors (mean > 20)
Households: Mortgages, consumer credit, credit cards, car loans, Total mortgage credit, Non-bank financial institutions
Data Provider: Karsten Müller
Level/Frequency: Country-Level/Monthly/Quarterly/Yearly
Geographic Coverage: 108 economies
Time Range: 1940-2014
Availability: Contact Author


Includes nominal and real effective exchange rates as well as equlibrium real effective exchange rates. A second sub-database provides data about behavioral equilibrium exchange rate (BEER) estimates
Data Provider: CEPII
Level/Frequency: semi-annual
Geographic Coverage: 187 economies
Time Range: 1973-2016
Availability: Free access online

Jordà-Schularick-Taylor Macrohistory Database

Data on: GDP, trade, fiscal balance, monetary base, prices, interest rates, credit, asset prices, crisis dates.
Data Provider: Òscar Jordà, Moritz Schularick, Alan M. Taylor
Level/Frequency: Country-Level Data / Yearly
Geographic Coverage: 18 advanced economies
Time Range: 1870 – 2020 (varies by item)
Availability: Free access online
Where has it been used? Macrofinancial History and the New Business Cycle Facts. Òscar Jordà, Moritz Schularick, Alan M. Taylor. NBER Working Paper No. 22743

CFS Index (Center for Financial Studies)

Is a survey panel that provides data on the whole German financial sector starting at the end of 2007. Includes institutions and enterprises of the financial industry (financial institutions as e.g. banks or insurance companies) as well as selected companies that benefit from the financial sector (service providers as e.g. advisory companies or supervisory bodies). Moreover, it includes aggregated data on expectations of leading executives. The CFS index is intended to become an early indicator that should provide information on the economic development of the German financial sector.
Data Provider: Center for Financial Studies
Level/Frequency: German financial sector/ Quarterly
Geographic Coverage: Germany
Time Range: since 2007, regularly updated

Corporate Bond Market Distress Index (CMDI)

The Corporate Bond Market Distress Index (CMDI) is a monthly single measure that assesses joint dislocations in the primary and secondary corporate bond markets. The index includes a variety of indicators, such as measures of primary market issuance and pricing, secondary market pricing and liquidity conditions, and the relative pricing between traded and non-traded bonds. The authors update the CMDI estimates and provide a brief commentary on the last Wednesday of each month, at 10 a.m.
Data Provider: Federal Reserve Bank of New York
Level/Frequency: Bond market-Level / Monthly Data
Geographic Coverage: United States
Time Range: since January 2005, regularly updated
Where has it been used? Boyarchenko, N., R. K. Crump, A. Kovner, and O. Shachar. 2021. “Measuring Corporate Bond Market Dislocations.” Federal Reserve Bank of New York Staff Reports, no. 957, January, revised June 2022.

CEMLA Financial Conditions Index

The CEMLA Financial Conditions Index (FCI) is a quarterly measure of financial market stress for five Latin American countries: Brazil, Chile, Colombia, Mexico, and Peru. The index is constructed following the Country-Level Index of Financial Stress (CLIFS) methodology first proposed by Duprey et al. (2017).
The index follows three financial stress indicators that are integrated and weighted based on their bilateral historical correlations, giving the index a cross-sectoral dimension.
Data Provider: Center for Latin American Migration Studies (CEMLA)
Level/Frequency: Country-Level Data / Quarterly
Geographic Coverage: Brazil, Chile, Colombia, Mexico, and Peru
Time Range: since 2007 Q2, regularly updated
Availability: Free access online

Deposit Betas 

I. Drechsler, A. Savov, and P. Schnabl compiled a dataset containing the deposit betas of U.S. commercial banks. The sample covers all commercial banks with at least 40 quarterly observations in the years 1984 to 2022. The deposit beta is estimated using domestic deposit expenses scaled by domestic deposits. The expense beta is estimated using total interest expenses scaled by total assets.
Data Provider: Philipp Schnabl (Leonard N. Stern School of Business)
Level/Frequency: Quarterly
Geographic Coverage: United States
Time Range: 1984-2022
Availability: Free access online

Economic Globalization (KOF – ETH Zürich)

Provides country-level data on economic globalization. It contains information about actual flows (including e.g. foreign direct investment, stocks and portfolio investments) as well as about restrictions (including e.g. capital account restrictions). Is available for the period 1970 – 2010 and includes data for 207 countries on a yearly basis.
Data Provider: KOF – ETH Zürich
Level/Frequency: Country-Level Data / Yearly
Geographic Coverage: World
Time Range: since 1970, regularly updated
Availability: Free access online
Where has it been used? Dreher, A. (2006). Does Globalization Affect Growth? Evidence from a new Index of Globalization. Applied Economics 38(10): 1091-1110.

Financial Access Survey (IMF)

Is a supply side indicator for financial inclusion. Provides internationally comparable indicators of access and usage. Includes data for 189 countries for the period 2004 -2012.
Data Provider: IMF
Level/Frequency: Country-Level Data / Yearly
Geographic Coverage: World
Time Range: since 2004, regularly updated
Availability: Free access online

Financial Fragility Database

An international database which includes banking types exceeding commercial banks only. It can be used by both, researchers and policy makers as a basis to identify fragile or vulnerable financial systems.
Data Provider: ESRC/DFID Growth Research Programme Project, Bankscope
Level/Frequency: Bank-level and Country-Level Data / Yearly as reported
Geographic Coverage: Participating Banks
Time Range: 1998-2012
Availability: Contact Author
Where has it been used? Fielding, D., and J. Rewilak (2015). Credit Booms, Financial Fragility and Banking Crises. Economics Letters (forthcoming).

Financial Inclusion (Worldbank)

Is a demand side indicator. Data is based on surveys about saving, borrowing, making payments and managing risk. It provides country-level data for 148 economies and more than 150.000 adults. The database’s third edition highlights advancements in digital technologies that are critical to meeting the World Bank’s objective of Universal Financial Access by 2020.
Data Provider: World Bank
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: 2011, 2014, 2017
Availability: Free online
Where has it been used? Demirguc-Kunt, A., L. Klapper, D. Singer, S. Ansar, and J. Hess (2018). The Global Findex Database 2017: Measuring financial inclusion and the fintech revolution. World Bank Publications.

Financial Innovation (OECD ANBERD)

Database provides annual country-level data on R&D expenditures including financial and insurance activities. Includes data for OECD countries and is available in national currency (current and constant prices) or PPP dollars (current and constantprices).
Data Provider: OECD
Level/Frequency: Country-Level Data  / Yearly
Geographic Coverage: OECD countries
Time Range: since 2000, regularly updated
Availability: Free access online

Financial Literacy: Germany (SAVE)

Is a panel on German households and focuses on savings and old-age provision. Provides detailed information on the financial situation of German households, on socio-economic characteristics and on psychological characteristics. One of the most important targets is to capture the dynamic variation of the savings behavior. The data is on an annual basis, but it is only available for German households.
Data Provider: Max-Planck Institute  for social law and social policy
Level/Frequency: Country-Level Data / Yearly
Geographic Coverage: Germany
Time Range: 2001 – 2011/12
Availability: Can be ordered for scientific research upon a small fee
Where has it been used? Coppola, M., and B. Lamla (2013). Saving and Old-Age Provision in Germany (SAVE): Design and Enhancements. Schmollers Jahrbuch, 133(1), 109-16.

Financial Literacy: Netherlands (CentERdata, Tilburg University)

Study uses data from the Netherland’s Bank Household Survey (DHS), which contains information about economic characters and saving data. Moreover they used data that they collected in a survey about financial literacy. This survey consists of two modules to measure data about basic financial literacy and advanced financial knowledge. Information is just available for the Netherlands and there does not exist a single database that contains all information on this.
Data Provider: CentERdata, TilburgUniversity; van Rooij, Lusardi and Alessie (2011)
Level/Frequency: Country-Level Data
Geographic Coverage: The Netherlands
Time Range: n.a.
Availability: Can be ordered for scientific research after submitting a credential statement
Where has it been used? Van Rooij, M., A. Lusardi, and R. Alessie (2011). Financial literacy and stock market participation. Journal of Financial Economics 101(2): 449–472.

Financial Openness (Chinn and Ito)

Is a de jure measure for financial openness, which provides country-level data for 182 countries. Focuses on a country’s degree and regulatory aspects of capital account openness.  It is available for the period 1970 – 2011. It is on a yearly basis and allows to monitor the development over time.
Data Provider: Chinn and Ito
Level/Frequency: Country-Level Data / Yearly
Geographic Coverage: World
Time Range: 1970-2016
Availability: Free access online
Where has it been used? Chinn, M. D., and H. Ito (2008). A New Measure of Financial Openness. Journal of Comparative Policy Analysis 10(3): 309 – 322.

Financial Soundness Indicators (FSI)

Provides country-level data on macroprudential analysis as well as strengths and vulnerabilities of financial systems which is steadily extended with new reporting countries. The Countries are able to use different methodologies for reported data.
Data Provider: IMF
Level/Frequency: Country-Level Data / Quarterly
Geographic Coverage: Participating Countries
Time Range: since 2000, regularly updated
Availability: Free access online
Where has it been used? Xingyuan Che, N., and Y. Shinagawa (2014). Financial Soundness Indicators and the Characteristics of Financial Cycles. IMF Working Paper No. 14/14.

Global Liquidity Indicators

The BIS uses the term “global liquidity” to refer to the ease of financing in global financial markets. The BIS global liquidity indicators (GLIs) track credit to non-bank borrowers, covering both loans extended by banks and funding from global bond markets through the issuance of international debt securities (IDS). The main focus is on foreign currency credit denominated in three major reserve currencies (US dollars, euros and Japanese yen) to non-residents, ie borrowers outside the respective currency areas.
Data Provider: Bank for International Settlement
Frequency: Quarterly
Geographic Coverage: Advanced Economies and Emerging market economies
Time Range: since 2000, regularly updated
Availability: Free access online

Global Network of Liquidity Lines

A central bank cross-border liquidity line is an agreement between two central banks to provide a collateralised loan of currency from one to the other. They have been around for a long time, but have risen in prominence since the global financial crisis. This dataset provides a comprehensive repository for all lines in place since 2000. This dataset was collated from public sources, so it can be freely used by other researchers.
Data Provider: Saleem Bahaj, Marie Fuchs, Ricardo Reis
Geographic Coverage: global
Time Range: from 2000, regularly updated
Availability: free access online
Where has it been used? Bahaj, Saleem, Marie Fuchs and Ricardo Reis (2024). “The Global Network of Liquidity Lines.” CEPR Discussion Paper No. 19070. CEPR Press, Paris & London.

Inflation – A Comprehensive Global Database, 1970-2021

Offers detailed and comprehensive information on inflation, broken down into six indices: the headline consumer price index (CPI), food CPI, energy CPI, core CPI, producer price index, and the gross domestic product deflator. The database covers up to 196 countries from 1970 onwards, and provides some aggregate estimates for country groups as well.
Data Provider: World Bank
Level/Frequency: Country-Level/Monthly/Quarterly/Yearly
Geographic Coverage: World (cross-section)
Time Range: 1970 – 2021
Availability: Free access online
Where has it been used? Ha, Jongrim, M. Ayhan Kose, and Franziska Ohnsorge (2021). “One-Stop Source: A Global Database of Inflation.” Policy Research Working Paper 9737. World Bank, Washington DC.

International House Price Database

The Globalization Institute of the Federal Reserve Bank of Dallas produces an international house price database, which comprises quarterly house price and personal disposable income (PDI) series for a number of countries. All data series begin in first quarter 1975.
Data Provider: Globalization Institute of the Federal Reserve Bank of Dallas 
Level/Frequency: Country-Level/Quarterly
Geographic Coverage: 21 countries
Time Range: 1975 – on-going
Availability: Free access online
Where has it been used? Mack, A., and E. Martínez-García (2011). “A Cross-Country Quarterly Database of Real House Prices: A Methodological Note.” Globalization and Monetary Policy Institute Working Paper No. 99, Federal Reserve Bank of Dallas.

Macro-Financial Data Set

Contains information on real GDP, credit, consumer prices, stock prices and sovereign bond yields for 48 countries world-wide starting in 1950.
Data Provider: Eric Monnet and Damien Puy
Level/Frequency: Country/Quarterly
Geographic Coverage: World (cross-section)
Time Range: 1950-2019
Availability: Free access online
Where has it been used? Monnet, E., & Puy, M. D. (2019). One Ring to Rule Them All? New Evidence on World Cycles. International Monetary Fund.

Monetary Policy Frameworks

This database provides monetary policy frameworks across three pillars: Independence and Accountability, Policy and Operational Strategy, and Communications (IAPOC). The last index (IAPOC) is built  by evaluating central banks’ laws and websites of 50 advanced economies, emerging markets, and low-income developing nations from 2007 to 2018. The main finding is that monetary policy-making is diverse, fast-changing, and eclectic across the Policy and Operational Strategy and Communications pillars, particularly in emerging markets and low-income developing nations, when IAPOC index is compared across countries and time.
Data Provider: International Monetary Fund (IMF)
Level/Frequency: Country/Yearly
Geographic Coverage: 50 countries
Time Range: 2007-2018
Availability: Free access online
Where has it been used? D. Filiz Unsal, Chris Papageorgiou, and Hendre Garbers (2022) “Monetary Policy Frameworks: An Index and New Evidence”, IMF Working Paper 22/2022

OECD Public Finance Dataset

Provides detailed information on governments’ revenues and expenditures and breaks those down by categories. The dataset compiles information from different sources, including e.g. the OECD Annual National Accounts and OECD Economic Outlook Database. Also included are standard macroeconomic variables such as GDP and employment rate as well as institutional indicators.
Data Provider: OECD
Level/Frequency: Country/Yearly
Geographic Coverage: OECD Countries
Time Range: 1945-2019
Availability: Free access online
Where has it been used? Bloch, D., et al. (2016), “Trends in Public Finance: Insights from a New Detailed Dataset”, OECD Economics Department Working Papers, No. 1345, OECD Publishing, Paris.

Panizza’s Bank Ownership Data

Provides country-level data for several indicators of bank ownership covering 181 countries from 1995 until 2020. Among these indicators is the percentage of state ownership as well as indicators, which assume that certain ownership thresholds (20%/50%) give full control.
Data Provider: U. Panizza
Level/Frequency: Yearly
Geographic Coverage: 181 countries
Time Range: 1995-2020
Availability: Free access online
Where has it been used? Ugo Panizza, 2023. “Bank Ownership Around the World,” IHEID Working Papers 07-2023, Economics Section, The Graduate Institute of International Studies.

TEDB “Taxes in Europe” database

Provides data on taxes currently in place in EU member states, featuring information on its legal basis, assessment base, main exemptions, applicable rate(s), economic and statistical classification, and the revenue generated by each specific tax.
Data Provider: European Commission
Level/Frequency: Country/-
Geographic Coverage: EU member states
Availability: Free access online

Real effective exchange rates for 178 countries: a new database

This database includes real and nominal effective exchange rates, which are frequently used for a wide variety of purposes, such as evaluating the equilibrium value of a currency, price or cost competitiveness changes, trade flow drivers, and incentives for shifting production between tradable and non-tradable sectors.
Data Provider: Bruegel
Level/Frequency: Country-Level/Monthly/Yearly
Geographic Coverage: World
Time Range: from 1960, regularly updated
Availability: Free access online
Where has it been used? Darvas, Zsolt (2021), “Timely measurement of real effective exchange rates”, Working Paper 2021/15, Bruegel, 23 December 2021

Rise of the central bank digital currencies: drivers, approaches and technologies

This database includes research and development work, technical approaches and policy stances for the issuance of CBDCs. The database mentions more than 16,000 central bank speeches. The authors also assess current development efforts, compiling a taxonomy of technical designs from all relevant policy and analytical publications issued by central banks across the world.
Data Provider: Raphael Auer, Giulio Cornelli and Jon Frost
Level/Frequency: Country-Level/ Monthly Data
Geographic Coverage: World
Time Range: 2013-2022
Availability: Free access online
Where has it been used? Auer, R, G Cornelli and J Frost (2020), “Rise of the central bank digital currencies: drivers, approaches and technologies”, BIS working paper, No 880, August

External Wealth of Nations database

The EWN provides estimates of each country’s external financial assets and liabilities. These data also yield estimates of each country’s net international investment position (NIIP), the difference between its total external financial assets and its total external liabilities.   

Data Provider: Gian Maria Milesi-Ferretti and Philip Lane
Level/Frequency: Country-Level/ Annual Data
Geographic Coverage: 212 countries and territories, plus the euro area and the Eastern Caribbean Currency Union (ECCU).
Time Range: 1970-2022
Availability: Free access online here
Where has it been used? Lane and Milesi-Ferretti (2001), (2007), (2018)

Chinn-Ito Financial Openness Index

The Chinn-Ito index (KAOPEN) is an index measuring a country’s degree of capital account openness. The index was initially introduced in Chinn and Ito (Journal of Development Economics, 2006). KAOPEN is based on the binary dummy variables that codify the tabulation of restrictions on cross-border financial transactions reported in the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER).

Data Provider: Chinn, Menzie D. and Hiro Ito
Level/Frequency: Country-Level/ Annual Data
Geographic Coverage: 182 countries
Time Range: 1970-2020
Availability: The dataset is available in the Excel or STATA format (STATA 15 dataset format). A complete list of the countries and their data availability and summary statistics are presented in the Note on the Chinn-Ito Financial Openness Index“. When you use the index, please acknowledge the following paper as the data source: Chinn, Menzie D. and Hiro Ito (2006). “What Matters for Financial Development? Capital Controls, Institutions, and Interactions,” Journal of Development Economics, Volume 81, Issue 1, Pages 163-192 (October).
Where has it been used? Chinn, Menzie D. and Hiro Ito (2006).

Africa Debt Database

The Africa Debt Database (ADD) is the most granular and comprehensive dataset on external borrowing by African governments thus far. The project moves beyond existing aggregate datasets and instead releases information on individual loans and bonds, in particular on the financial terms of each instrument. Taken together, it covers over 7000 loans and bonds between 2000 and 2020, with a total volume of 790 billion USD.

Data Provider: IFW Kiel
Level/Frequency: Country-Level/ Annual Data
Geographic Coverage: 54 African countries
Time Range: 2000-2020
Availability: Free online access to excel file here.
Where has it been used? Mihalyi, D., Trebesch, C. (2023) “Who Lends to Africa and How? Introducing the Africa Debt Database”, Kiel Working Paper 2217 

Global Credit Project

Credit markets play a crucial role in the functioning of the economy, but they can also be a source of financial and economic crises. The Global Credit Project is dedicated to the construction, analysis, and dissemination of data on credit markets around the world.
The Global Credit Project provides the world’s most comprehensive historical statistics on credit markets covering 120 advanced and emerging economies going back to 1940. Based on archival and manually collected data, it provides information on both aggregate private credit and disaggregated credit by both industry and by type of household credit. The underlying data are the result of an extensive data collection and harmonization effort over several years. The data can be useful for both research and teaching. Historical data is provided for free under a creative commons license.

Data Provider: MIT Sloan/ National University of Singapore.
Level/Frequency: Sector- and Country-Level
Geographic Coverage: Global (The data cover all major financial markets and consistently above 90% of world GDP)
Time Range: 1940-2014
Availability: Free online access
Where has it been used? Müller, Karsten and Verner, Emil, Credit Allocation and Macroeconomic Fluctuations (2023). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3781981