Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
AbstractThe author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. The impact of these shocks on individual households depends on the socio-economic characteristics of the latter. The framework also allows consideration of both symmetric and asymmetric shocks to incomes. The author's work is original in several respects: it captures the heterogeneity of the impact of these shocks on households, it uses cross-sectional data to estimate credit-growth equations, and it determines household credit growth based on income, interest rates, and housing prices. To illustrate the usefulness of his approach, the author provides income, debt, and interest rate scenarios, and then simulates his model over twelve periods. This methodology can, of course, be used with other microdata.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 09-18.
Length: 29 pages
Date of creation: 2009
Date of revision:
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Econometric and statistical methods; Financial stability;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
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- 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.
- Ramdane Djoudad, 2012. "A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata," Discussion Papers 12-3, Bank of Canada.
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