Romania: Financial Sector Assessment Program-Technical Note on Calibration of a Debt-Service-to-Income Limit in Romania-Evidence from Microdata

International Monetary Fund

No 2018/161, IMF Staff Country Reports from International Monetary Fund

Abstract: This Technical Note discusses calibration of a debt-service-to-income (DSTI) limit in Romania. The recent pick-up in household credit in Romania has given rise to a need for revisiting the design of existing macroprudential tools addressing household vulnerabilities. The National Bank of Romania is considering a redesign of its existing macroprudential tool related to household indebtedness, including expanding its scope to cover all household loans. The analysis of loan-level data from the Central Credit Register suggests that the probability of default of a borrower is highly sensitive to any changes in DSTI at DSTI ratios at about 50 percent, particularly for mortgage loans. It is recommended to set the limit such that loans do not exceed this sensitivity threshold.

Keywords: ISCR; CR; DSTI limit; interest rate; DSTI ratio; DSTI level; household loan; DSTI cap; stressed DSTI; loan level; DSTI coefficient; loan volume; Mortgages; Consumer loans; Loans; Nonperforming loans; Credit (search for similar items in EconPapers)
Pages: 35
Date: 2018-06-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=45964 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfscr:2018/161

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Staff Country Reports from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().