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标题：Financial fragility of euro area households
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作者：Miguel Ampudia ; Has van Vlokhoven ; Dawid Żochowski 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We propose a novel framework to identify distressed households by taking account of boththe solvency and the liquidity situation of an individual household. Using the data from theHousehold Finance and Consumption Survey and the country‐level data on non‐performingloans we calibrate our metric of distress and estimate stress‐test elasticities in response toan interest rate shock, an income shock and a house price shock. We find that, albeit euroareahouseholds are relatively resilient as a whole, there are large discrepancies in theimpact of macroeconomic shocks across countries. Furthermore, while losses given defaultas calculated using our framework are low, they are sensitive to house prices changes.Hence, any factors hindering the seizure of the collateral or lowering its value, such asinefficient legal systems, moratoria on foreclosures or bottlenecks in judicial proceduresmay significantly increase losses facing banks. Finally, we demonstrate that our frameworkcould be used for macroprudential purposes, in particular for the calibration of country levelloan‐to‐value ratio caps
关键词：household indebtedness; stress testing; household finance; financial stability