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Modelling households� financial vulnerability with consumer credit and mortgage renegotiations

Author

Listed:
  • Carmela Aurora Attin�

    (Bank of Italy)

  • Francesco Franceschi

    (Bank of Italy)

  • Valentina Michelangeli

    (Bank of Italy)

Abstract

Strong growth in consumer credit and widespread recourse to mortgage renegotiations observed since 2015 have affected households� ability to repay their loans. In this paper we explore a novel way of accounting for these trends, by extending the Bank of Italy microsimulation model of households� financial vulnerability. The extension provides a more accurate assessment of the financial stability risks stemming from the household sector. Consumer credit growth drives an increase in the share of vulnerable households, but has limited effects on the overall debt at risk. Mortgage renegotiations contribute to a decrease in households� vulnerability.

Suggested Citation

  • Carmela Aurora Attin� & Francesco Franceschi & Valentina Michelangeli, 2019. "Modelling households� financial vulnerability with consumer credit and mortgage renegotiations," Questioni di Economia e Finanza (Occasional Papers) 531, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_531_19
    as

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    References listed on IDEAS

    as
    1. Matteo Iacoviello, 2008. "Household Debt and Income Inequality, 1963-2003," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 929-965, August.
    2. Ampudia, Miguel & van Vlokhoven, Has & Żochowski, Dawid, 2016. "Financial fragility of euro area households," Journal of Financial Stability, Elsevier, vol. 27(C), pages 250-262.
    3. Valentina Michelangeli & Mario Pietrunti, 2014. "A Microsimulation Model to evaluate Italian Households Financial Vulnerability," International Journal of Microsimulation, International Microsimulation Association, vol. 7(3), pages 53-79.
    4. Katarzyna Bankowska & Pierre Lamarche & Guillaume Osier & Sébastien Pérez-Duarte, 2015. "Measuring household debt vulnerability in the euro area," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    5. Silvia Magri & Valentina Michelangeli & Sabrina Pastorelli & Raffaella Pico, 2019. "The expansion of consumer credit in Italy and in the Euro Area: what are the drivers and the risks?," Questioni di Economia e Finanza (Occasional Papers) 500, Bank of Italy, Economic Research and International Relations Area.
    6. Christian Beer & Martin Schürz, 2007. "Characteristics of Household Debt in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 58-79.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    vulnerability; consumer credit; mortgage renegotiations;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G2 - Financial Economics - - Financial Institutions and Services

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