 Household loans and Systemic Risk: Usefulness of Credit Information (in Korean)Junesuh Yi () and
Hosung Jung ()
No 2013-28, Working Papers from Economic Research Institute, Bank of Korea Abstract: This paper examines the relation between household's loan information – such as household loans, multiple loan amount and consumer credit ratings ‒ and systemic risk. We find that an increase in household loans is a leading indicator of systemic risk. In particular, systemic risk is related more to household loans from non-banks than to those from banks, and more to unsecured loans than to secured loans. This paper also shows that systemic risk is associated with the credit information pertaining to multiple-loan borrowers as well as non-bank borrowers holding medium-to-high credit. This study is distinctive in that the above relationship is verified based on the vast amount of data provided by credit bureaus (CBs). Our findings could provide some important policy implications for the design of an early warning system, indicating financial market vulnerability, for measures of systemic risk, and for macro-prudential policy. Keywords: Consumer credit information; systemic risk; macro-prudential policy; probability of financial distress; Credit Bureau (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1328 Access Statistics for this paper More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
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