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Stress Testing Austrian Households

Author

Listed:
  • Nicolas Albacete

    () (Oesterreichische Nationalbank, Economic Analysis Division)

  • Pirmin Fessler

    () (Oesterreichische Nationalbank, Economic Analysis Division)

Abstract

Over the past decades, household debt has increased sharply, both in absolute and relative terms, in almost all OECD countries. As the U.S. subprime crisis recently showed, even a relatively small number of indebted households can produce considerable turmoil if the sustainability of their debt is in question. The scope of aggregate data for analyzing these risks to financial stability is very limited, because it is neither possible to differentiate between households that hold debt and those that do not, nor is it possible to combine the data on household debt with data on their assets in a reasonable way. Therefore, many authorities concerned with financial stability are increasingly using microdata to analyze such types of financial stability risks. Combining different microdata sources, we assess financial stability risks arising from indebted households in Austria. We define a financial margin for indebted households and stress test each indebted household against a range of financial shocks (changes in interest rates, unemployment rate, asset prices, exchange rates and repayment vehicle yields).

Suggested Citation

  • Nicolas Albacete & Pirmin Fessler, 2010. "Stress Testing Austrian Households," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 19, pages 72-91.
  • Handle: RePEc:onb:oenbfs:y:2010:i:19:b:2
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    Cited by:

    1. Ampudia, Miguel & Pavlickova, Akmaral & Slacalek, Jiri & Vogel, Edgar, 2016. "Household heterogeneity in the euro area since the onset of the Great Recession," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 181-197.
    2. repec:bis:bisifc:46-12 is not listed on IDEAS
    3. Tom Bilston & Robert Johnson & Matthew Read, 2015. "Stress Testing the Australian Household Sector Using the HILDA Survey," RBA Research Discussion Papers rdp2015-01, Reserve Bank of Australia.
    4. Petr Jakubík, 2011. "Household Balance Sheets and Economic Crisis," Working Papers IES 2011/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
    5. Ivana Herceg & Danijel Nestić, 2012. "A New Cluster-Based Financial Vulnerability Indicator: The Analytical Concept and its Application for Stress Testing in a Post-Socialist Economy," wiiw Balkan Observatory Working Papers 100, The Vienna Institute for International Economic Studies, wiiw.
    6. repec:unt:jnapdj:v:24:y:2017:i:2:p:23-52 is not listed on IDEAS
    7. repec:onb:oenbfi:y:2017:i:2:b:1 is not listed on IDEAS
    8. Kamil Galuščák & Petr Hlaváč & Petr Jakubík, 2016. "Household resilience to adverse macroeconomic shocks: evidence from Czech microdata," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 377-402, May.
    9. Nicolas Albacete & Judith Eidenberger & Gerald Krenn & Peter Lindner & Michael Sigmund, 2014. "Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 27, pages 95-110.
    10. Muhamad Shukri Abdul Rani & Siti Hanifah Borhan Nordin & Chin Ching Lau & Sheng Ling Lim & Zhen Shing Siow, 2017. "Rich debt, poor debt: assessing household indebtedness and debt repayment capacity," BIS Papers chapters,in: Bank for International Settlements (ed.), Financial systems and the real economy, volume 91, pages 153-168 Bank for International Settlements.
    11. Piotr Banbula & Arkadiusz Kotula & Joanna Gabriela Przeworska & Pawel Strzelecki, 2016. "Which households are really financially distressed: how micro data could inform the macroprudential policy," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41 Bank for International Settlements.
    12. repec:onb:oenbfs:y:2017:i:33:b:1 is not listed on IDEAS
    13. Petr Hlavac & Petr Jakubik & Kamil Galuscak, 2013. "Household stress tests using microdata," Occasional Publications - Chapters in Edited Volumes,in: CNB Financial Stability Report 2012/2013, chapter 0, pages 113-119 Czech National Bank, Research Department.
    14. International Monetary Fund, 2014. "Austria; Publication of Financial Sector Assessment Program Documentation—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 14/16, International Monetary Fund.
    15. Christian Beer & Karin Wagner, 2012. "Housing Cost Burden of Austrian Households: Results of a Recent Survey," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 78-89.
    16. Lydon, Reamonn & McIndoe-Calder, Tara, 2017. "The Great Irish (De)Leveraging 2005-14," Research Technical Papers 05/RT/17, Central Bank of Ireland.
    17. Sugawara, Naotaka & Zalduendo, Juan, 2011. "Stress-testing croatian households with debt -- implications for financial stability," Policy Research Working Paper Series 5906, The World Bank.
    18. Nicolas Albacete & Pirmin Fessler & Martin Schürz, 2012. "Risk Buffer Profiles of Foreign Currency Mortgage Holders," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 23, pages 58-71.
    19. Beata Bierut, & Tomasz Chmielewski & Adam Głogowski, & Sławomir Zajączkowski & Andrzej Stopczyński, 2015. "Implementing Loan-To-Value and Debt-To-Income ratios: Learning from country experiences. The case of Poland," NBP Working Papers 212, Narodowy Bank Polski, Economic Research Department.
    20. Tom Bilston & David Rodgers, 2013. "A Model for Stress Testing Household Lending in Australia," RBA Bulletin, Reserve Bank of Australia, pages 27-38, December.

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