Petr Hlaváč, Petr Jakubík, Kamil Galuščák
This article sets out to describe an expanded and refined framework for stress testing the household sector. In contrast to the original tests conducted by the Czech National Bank since 2011, the new framework incorporates modelling of transitions between employment and unemployment at the level of individual household members. Another advance is the incorporation of interest rates into the stress tests, with growth in rates affecting monthly loan instalments. As well as discussing the approaches to this issue used in other countries, the article presents empirical results from the expanded framework expressing the percentage of distressed households in each income group following the application of the macroeconomic scenarios considered.
Issued: June 2013
Download: Thematic article in the Financial Stability Report 2012/2013 (pdf, 273 kB)