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Stress testing the household sector in Mongolia

Author

Listed:
  • Gan-Ochir Doojav

    (corresponding author, Research and Statistics Department, Bank of Mongolia, Baga toiruu-3, 15160, Ulaanbaatar 46, Mongolia)

  • Ariun-Erdene Bayarjargal

    (Ardnt-Corden Department of Economics, Australian National University, 132 Lennox Crossing ACT 2601, Australia)

Abstract

The present paper contains an outline of a simulation-model for stress testing the household sector in Mongolia. The model uses data from the Household Socio-Economic Survey to assess the financial resilience of the household sector to macroeconomic shocks. The results suggest that the household sector of Mongolia is vulnerable to shocks associated with interest rates, cost of basic consumption, asset prices and unemployment. In particular, impacts of interest and consumer price shocks on household’s debt at risk (or expected loan losses) are considerable. Furthermore, it has been found that a substantial increase in household indebtedness has boosted the financial fragility of the household sector. Those results have important policy implications in mitigating the increasing financial fragility of the household sector and risks to financial stability.

Suggested Citation

  • Gan-Ochir Doojav & Ariun-Erdene Bayarjargal, 2017. "Stress testing the household sector in Mongolia," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 24(2), pages 23-52, December.
    • Handle: RePEc:unt:jnapdj:v:24:y:2017:i:2:p:23-52
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    References listed on IDEAS

    as
    1. Ramdane Djoudad, 2011. "A framework to assess vulnerabilities arising from household indebtedness using microdata," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 151-168, Bank for International Settlements.
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    More about this item

    Keywords

    Stress testing; household indebtedness; household surveys; Mongolia;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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