A framework to assess vulnerabilities arising from household indebtedness using microdata

Arbeitspapier

Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector. Data from an Ipsos Reid Canadian Financial Monitor survey are used to construct the actual DSR distribution for households. Changes in the distribution are then simulated using a macro scenario describing the evolution of some aggregate variables, and micro behavioural relationships; for example, to simulate credit growth for individual households, cross-sectional data are used to estimate debt-growth equations as a function of household income, interest rates and housing prices. The simulated distributions provide information on vulnerabilities in the household sector.The author also describes a combined methodology where changes in the probability of default on household loans are used as a metric to evaluate the quantitative impact of negative employment shocks on the resilience of households and loan losses at financial institutions.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Discussion Paper ; No. 2012-3

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Household Saving; Personal Finance ; Money Supply; Credit; Money Multipliers
• Thema: Econometric and statistical methods ; Financial stability

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Djoudad, Ramdane
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2012

Weitere Informationen

• DOI: doi:10.34989/sdp-2012-3
• Handle: http://hdl.handle.net/10419/66940
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ