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Household loans and Systemic Risk: Usefulness of Credit Information (in Korean)

Author

Listed:
  • Junesuh Yi

    (Business school of Dongguk University)

  • Hosung Jung

    (Financial & Monetary Economics Team, Economic Research Institute, The Bank of Korea)

Abstract

This paper examines the relation between household's loan information – such as household loans, multiple loan amount and consumer credit ratings ‒ and systemic risk. We find that an increase in household loans is a leading indicator of systemic risk. In particular, systemic risk is related more to household loans from non-banks than to those from banks, and more to unsecured loans than to secured loans. This paper also shows that systemic risk is associated with the credit information pertaining to multiple-loan borrowers as well as non-bank borrowers holding medium-to-high credit. This study is distinctive in that the above relationship is verified based on the vast amount of data provided by credit bureaus (CBs). Our findings could provide some important policy implications for the design of an early warning system, indicating financial market vulnerability, for measures of systemic risk, and for macro-prudential policy.

Suggested Citation

  • Junesuh Yi & Hosung Jung, 2013. "Household loans and Systemic Risk: Usefulness of Credit Information (in Korean)," Working Papers 2013-28, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1328
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    More about this item

    Keywords

    Consumer credit information; systemic risk; macro-prudential policy; probability of financial distress; Credit Bureau;
    All these keywords.

    JEL classification:

    • 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
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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