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Stress Tests of the Household Sector Using Microdata from Survey and Administrative Sources

Author

Listed:
  • Jaanika Meriküll

    (Eesti Pank)

  • Tairi Rõõm

    (Eesti Pank)

Abstract

This paper conducts microsimulation-based stress tests to assess the financial risks of the household sector. The Estonian Household Finance and Consumption Survey data set is employed, where the survey data from household interviews are complemented with the same information from administrative registers. We analyze the sensitivity of financial-sector loan losses to adverse shocks. It is found that the survey data and the register data indicate the same segment of vulnerable households. The main difference between the two data sources is that the losses predicted by the register data are larger. This is mostly the result of the overestimation of assets and underestimation of liabilities in the survey.

Suggested Citation

  • Jaanika Meriküll & Tairi Rõõm, 2020. "Stress Tests of the Household Sector Using Microdata from Survey and Administrative Sources," International Journal of Central Banking, International Journal of Central Banking, vol. 16(2), pages 203-248, March.
    • Handle: RePEc:ijc:ijcjou:y:2020:q:1:a:6
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    Cited by:

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    2. Madeira, Carlos & Margaretic, Paula, 2022. "The impact of financial literacy on the quality of self-reported financial information," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    3. Jiri Gregor, 2024. "A Stress Test Approach to the Calibration of Borrower-Based Measures: A Case Study of the Czech Republic," Working Papers 2024/2, Czech National Bank.
    4. François Koulischer & Pauline Perray & Thi Thu Huyen Tran, 2022. "COVID-19 and the Mortgage Market in Luxembourg," JRFM, MDPI, vol. 15(3), pages 1-24, March.

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    More about this item

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access

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