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Household stress tests using microdata

In: CNB Financial Stability Report 2012/2013

Author

Listed:
  • Petr Hlavac
  • Petr Jakubik
  • Kamil Galuscak

Abstract

This article sets out to describe an expanded and refined framework for stress testing the household sector. In contrast to the original tests conducted by the Czech National Bank since 2011, the new framework incorporates modelling of transitions between employment and unemployment at the level of individual household members. Another advance is the incorporation of interest rates into the stress tests, with growth in rates affecting monthly loan instalments. As well as discussing the approaches to this issue used in other countries, the article presents empirical results from the expanded framework expressing the percentage of distressed households in each income group following the application of the macroeconomic scenarios considered.

Suggested Citation

  • 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 and Statistics Department.
    • Handle: RePEc:cnb:ocpubc:fsr1213/3
    as

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    References listed on IDEAS

    as
    1. Ms. Meral Karasulu, 2008. "Stress Testing Household Debt in Korea," IMF Working Papers 2008/255, International Monetary Fund.
    2. Nicolas Albacete & Pirmin Fessler, 2010. "Stress Testing Austrian Households," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 19, pages 72-91.
    3. James Heckman, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    4. Herrala, Risto & Kauko, Karlo, 2007. "Household loan loss risk in Finland: estimations and simulations with micro data," Bank of Finland Research Discussion Papers 5/2007, Bank of Finland.
    5. Kamil Galuscak & Jan Pavel, 2012. "Taxes and Benefits: Work Incentive Effects of Policies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(1), pages 27-43, February.
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    Cited by:

    1. Kamil Galuscak & Petr Hlavac & Petr Jakubik, 2014. "Stress Testing the Private Household Sector Using Microdata," Working Papers 2014/02, Czech National Bank, Research and Statistics Department.

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