Politická ekonomie 2018, 66(5):531-549 | DOI: 10.18267/j.polek.1204

Citlivost českých domácností na úrokový a příjmový šok. Aplikace na mikroúdajích

Simona Malovaná1, Michal Hlaváček2, Kamil Galuščák3
1 Simona Malovaná (simona.malovana@cnb.cz), Česká národní banka, Univerzita Karlova Praha
2 Michal Hlaváček (michal.hlavacek@cnb.cz), Česká národní banka a Univerzita Karlova Praha
3 Kamil Galuščák (kamil.galuscak@cnb.cz), Česká národní banka

Sensitivity of Czech Households to Interest Rate and Income Shock. Applications on Microdata

We present a set of practical applications of the household sector stress testing approach used at the Czech National Bank. The aim is to test households' ability to repay their loans in the event of extremely adverse economic developments. Besides this, the household sector stress test methodology has so far been used for two other purposes: (i) to construct a simple reverse stress test and explore the sensitivity of Czech households to a rise in loan interest rates and a decline in income, and (ii) to provide some supportive evidence for the calibration of debt service-to-income limits.

Keywords: financial surplus, household indebtedness, microdata, stress testing, DSTI calibration,
JEL classification: D12, D31, E17

Received: August 14, 2017; Accepted: March 8, 2018; Published: October 1, 2018  Show citation

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Malovaná, S., Hlaváček, M., & Galuščák, K. (2018). Sensitivity of Czech Households to Interest Rate and Income Shock. Applications on Microdata. Politická ekonomie, 66(5), 531-549. doi: 10.18267/j.polek.1204
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