Debt Service And Default Calibrating Macroprudential Policy Using Micro Data
Download Debt Service And Default Calibrating Macroprudential Policy Using Micro Data PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Debt Service And Default Calibrating Macroprudential Policy Using Micro Data book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data
Author: Erlend Nier
language: en
Publisher: International Monetary Fund
Release Date: 2019-08-22
We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the probability of borrower defaults in Romania. The analysis establishes two findings that are new to the literature. First, we show that the relationship between DSTI and probability of default is non-linear, with probability of default responding to increases in DSTI only after a certain threshold. Second, we establish that consumer loan defaults occur at lower levels of DSTI compared to mortgages. Our results support the recent regulation adopted by the National Bank of Romania, limiting the household DSTI at origination to 40 percent for new mortgages and consumer loans. Our counterfactual analysis indicates that had the limit been in place for all the loans in our sample, the probability of default (PD) would have been lower by 23 percent.
Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data
Author: Erlend Nier
language: en
Publisher: International Monetary Fund
Release Date: 2019-08-22
We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the probability of borrower defaults in Romania. The analysis establishes two findings that are new to the literature. First, we show that the relationship between DSTI and probability of default is non-linear, with probability of default responding to increases in DSTI only after a certain threshold. Second, we establish that consumer loan defaults occur at lower levels of DSTI compared to mortgages. Our results support the recent regulation adopted by the National Bank of Romania, limiting the household DSTI at origination to 40 percent for new mortgages and consumer loans. Our counterfactual analysis indicates that had the limit been in place for all the loans in our sample, the probability of default (PD) would have been lower by 23 percent.
Macroprudential Policy Calibration for Greece
Author: Mr. Marco Gross
language: en
Publisher: International Monetary Fund
Release Date: 2024-02-20
The Greek financial system has remained resilient underpinned by strengthening banks’ balance sheets, but still faces significant challenges ahead including the re-emergence of imbalances in the real estate market. Recognizing these imbalances, the authorities have recently introduced the necessary legal framework for setting borrower-based measures (BBMs), paving the way to activate both income- and collateral-based measures in near term. Simulations, which employ a quantitative framework combining micro- and macro-level data, show that BBMs would help enhance household resilience, with synergies when caps on debt service-to-income (DSTI) and loan-to-value (LTV) ratios are jointly implemented, leading over time to the more resilient banking system against potential risks. Caps could initially be set at less binding levels and gradually tightened based on a systemic risk assessment.