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Simulations du ratio du service de la dette des consommateurs en utilisant des données micro

Ramdane Djoudad

Staff Working Papers from Bank of Canada

Abstract: The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. The impact of these shocks on individual households depends on the socio-economic characteristics of the latter. The framework also allows consideration of both symmetric and asymmetric shocks to incomes. The author's work is original in several respects: it captures the heterogeneity of the impact of these shocks on households, it uses cross-sectional data to estimate credit-growth equations, and it determines household credit growth based on income, interest rates, and housing prices. To illustrate the usefulness of his approach, the author provides income, debt, and interest rate scenarios, and then simulates his model over twelve periods. This methodology can, of course, be used with other microdata.

Keywords: Econometric and statistical methods; Financial stability (search for similar items in EconPapers)
JEL-codes: C15 C31 D14 E51 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2009
New Economics Papers: this item is included in nep-ure
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