EconPapers    
Economics at your fingertips  
 

Stress Tests of the Household Sector Using Microdata from Survey and Administrative Sources

Jaanika Meriküll and Tairi Room
Additional contact information
Jaanika Meriküll: Eesti Pank

International Journal of Central Banking, 2020, vol. 16, issue 2, 203-248

Abstract: This paper conducts microsimulation-based stress tests to assess the financial risks of the household sector. The Estonian Household Finance and Consumption Survey data set is employed, where the survey data from household interviews are complemented with the same information from administrative registers. We analyze the sensitivity of financial-sector loan losses to adverse shocks. It is found that the survey data and the register data indicate the same segment of vulnerable households. The main difference between the two data sources is that the losses predicted by the register data are larger. This is mostly the result of the overestimation of assets and underestimation of liabilities in the survey.

JEL-codes: D14 E43 G21 C81 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.ijcb.org/journal/ijcb20q1a6.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb20q1a6.htm (text/html)

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:ijc:ijcjou:y:2020:q:1:a:6

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().

 
Page updated 2021-01-23
Handle: RePEc:ijc:ijcjou:y:2020:q:1:a:6