Detail publikace

Stress testing the Czech household sector using microdata - practical applications in the policy-making process

Autor: PhDr. Michal Hlaváček Ph.D., Kamil Galuščák
PhDr. Simona Malovaná Ph.D., Kamil Galuščák
Typ: Kapitoly v knize
Rok: 2017
Číslo: 46
ISSN / ISBN: 978-92-9259-115-1
Publikováno v: IFC Bulletins chapters, Bank for International Settlements (ed.), Data needs and statistics compilation for macroprudential analysis
Místo vydání:
Klíčová slova: DSTI calibration, financial surplus, household indebtedness, microdata, stress testing.
JEL kódy: D12, D31, E17
Citace:
Abstrakt: We present a set of practical applications of the household sector stress testing approach used at the Czech National Bank. The CNB has been conducting stress tests of households once a year since 2011. The test results are published in its Financial Stability Reports. The aim is to test households’ ability to repay their loans in the event of extremely adverse economic developments. Besides this, the household 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.
Srpen 2022
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