Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Financial fragility of euro area households
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Number of Authors: 3
2016 (English)In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 27, 250-262 p.Article in journal (Refereed) Published
Abstract [en]

Until recently, the lack of appropriate harmonized micro data covering both income and wealth has been the major obstacle in analyzing financial vulnerability of the household sector in the euro area. This data problem has been partially circumvented by the dissemination of the Household Finance and Consumption Survey (HFCS). Based on this unique data set, we put forward a stress testing method of household balance sheets in a consistent manner across euro area countries. To this end, we put forward a metric of distress which takes into account both the solvency and liquidity position of the household and demonstrate that this metric outperforms the most common metrics used in the literature, which do not take into account the households' asset holdings. We calibrate this metric using the country level data on non-performing loan ratios and estimate stress-test elasticities in response to an interest rate shock, an income shock and a house price shock. We find that, albeit euro-area households are relatively resilient as a whole, there are large discrepancies in the impact of macroeconomic shocks across countries. Finally, we demonstrate that our framework could be used to assess some measures mitigating losses to the banks, such as engaging in the restructurings of loans that are at risk of defaulting.

Place, publisher, year, edition, pages
2016. Vol. 27, 250-262 p.
Keyword [en]
Household indebtedness, Stress testing, Household finance, Financial stability
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:su:diva-139453DOI: 10.1016/j.jfs.2016.02.003ISI: 000390740100017OAI: oai:DiVA.org:su-139453DiVA: diva2:1076224
Conference
Conference on Data Standards, Information and Financial Stability, Loughborough, England, April 11-12, 2014
Available from: 2017-02-22 Created: 2017-02-22 Last updated: 2017-11-29Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
van Vlokhoven, Has
By organisation
Institute for International Economic Studies
In the same journal
Journal of Financial Stability
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 16 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf