Renouf Publishing Co. Ltd.
embedded image
Renouf
Online Bookstore

ABOUT SSL CERTIFICATES

 
Quick Search
for: 
in 
 
Advanced search
F.A.Q.
Featured books
New in print
Best Sellers
President's picks

Shopping cart/Checkout  [0]
Sign-up for eUpdates
Debt Service and Default
Calibrating Macroprudential Policy Using Micro Data

by Erlend Nier, Radu Popa, Maral Shamloo, and Liviu Voinea

Series:Working Paper No. 19/182
ISBN 9781513509099
Code: #WPIEA2019182

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
45 pages
Add to cart
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
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 125781 Added: 2019.9.8