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Spain; Vulnerabilities of Private Sector Balance Sheets and Risks to the Financial Sector Technical Notes

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  • International Monetary Fund

Abstract

This technical note assesses the vulnerabilities of household and corporate sector balance sheets and quantifies the potential impacts from macroeconomic shocks using sensitivity and contingent claims analyses. The note analyzes the risks to the Spanish financial stability arising from household indebtedness. The analysis expands the use of microlevel data to assess household vulnerabilities, distinguishing between indebted and nonindebted households as well as accounting for the allocation of debt, debt service burden, and households’ income and assets.

Suggested Citation

  • International Monetary Fund, 2012. "Spain; Vulnerabilities of Private Sector Balance Sheets and Risks to the Financial Sector Technical Notes," IMF Staff Country Reports 12/140, International Monetary Fund.
  • Handle: RePEc:imf:imfscr:12/140
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    References listed on IDEAS

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    1. Yingbin Xiao & Dale F. Gray & Cheng Hoon Lim & Michael T. Gapen, 2004. "The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer," IMF Working Papers 04/121, International Monetary Fund.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Roberto Blanco & Ricardo Gimeno, 2012. "Determinants of default ratios in the segment of loans to households in Spain," Working Papers 1210, Banco de España;Working Papers Homepage.
    4. Davide Furceri & Lorenzo E. Bernal-Verdugo & Dominique M. Guillaume, 2012. "Crises, Labor Market Policy, and Unemployment," IMF Working Papers 12/65, International Monetary Fund.
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