Publication detail

Sensitivity of Czech households to an interest rate and income shock. Application on microdata

Author(s): PhDr. Michal Hlaváček Ph.D., Kamil Galuščák
PhDr. Simona Malovaná Ph.D., Kamil Galuščák
Type: Articles in journals with impact factor
Year: 2018
Number: 66
Published in: Politická ekonomie, 66(5)
Publishing place:
Keywords: financial surplus, household indebtedness, microdata, stress testing, DSTI calibration
JEL codes: D12, D31, E17
Suggested Citation:
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 methodology of household sector stress test 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.




Patria Finance