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

Jaanika Meriküll & Tairi Rõõm

International Journal of Central Banking2020article
AJG 3ABDC A
Weight
0.45

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.

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Cite this paper

@article{jaanika2020,
  title        = {{Stress Tests of the Household Sector Using Microdata from Survey and Administrative Sources}},
  author       = {Jaanika Meriküll & Tairi Rõõm},
  journal      = {International Journal of Central Banking},
  year         = {2020},
}

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

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Evidence weight

0.45

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.27 × 0.4 = 0.11
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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