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Citlivost českých domácností na úrokový a příjmový šok. Aplikace na mikroúdajích
[Sensitivity of Czech Households to Interest Rate and Income Shock. Applications on Microdata]

Author

Listed:
  • Simona Malovaná
  • Michal Hlaváček
  • Kamil Galuščák

Abstract

We present a set of practical applications of the household sector stress testing approach used at the Czech National Bank. The aim is to test households' ability to repay their loans in the event of extremely adverse economic developments. Besides this, the household sector stress test methodology has so far been used for two other purposes: (i) to construct a simple reverse stress test and explore the sensitivity of Czech households to a rise in loan interest rates and a decline in income, and (ii) to provide some supportive evidence for the calibration of debt service-to-income limits.

Suggested Citation

  • Simona Malovaná & Michal Hlaváček & Kamil Galuščák, 2018. "Citlivost českých domácností na úrokový a příjmový šok. Aplikace na mikroúdajích [Sensitivity of Czech Households to Interest Rate and Income Shock. Applications on Microdata]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(5), pages 531-549.
    • Handle: RePEc:prg:jnlpol:v:2018:y:2018:i:5:id:1204:p:531-549
    DOI: 10.18267/j.polek.1204
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial surplus; household indebtedness; microdata; stress testing; DSTI calibration;
    All these keywords.

    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • 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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