What Drives Mortgage Default Risk In Europe And The U S
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What Drives Mortgage Default Risk In Europe And The U S
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Author : Mr. Marco Gross
language : en
Publisher: International Monetary Fund
Release Date : 2022-04
What Drives Mortgage Default Risk In Europe And The U S written by Mr. Marco Gross and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04 with Business & Economics categories.
We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance sheets and income-expense flow data from about 95,000 households and 230,000 household members from 21 EU countries and the U.S. We present country-specific nonlinear regressions based on the structural model simulation-implied relation between PDs and LGDs and their drivers. These can be used for macro scenario-conditional forecasting, without requiring the conduct of the micro simulation. We also present a policy counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related to the COVID-19 pandemic across all countries. The economics of debt moratoria and guarantees are discussed against the background of the model-based analysis.
Mortgage Defaults
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Author : Juan Carlos Hatchondo
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01
Mortgage Defaults written by Juan Carlos Hatchondo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.
This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents' ability to self-insure against income shocks are similar to those of a SIM model without housing but housing increases the values of these coefficients for younger agents. The response of consumption to house price shocks is minimal. The introduction of minimum down payments or income garnishment benefits a majority of the population.
Germany
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2022-08-16
Germany written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-16 with Business & Economics categories.
The financial sector weathered COVID relatively well on the back of high pre-crisis capital and liquidity buffers, strong public and private sector balance sheets, and unprecedented public and ECB support. Immediate risks to Germany’s financial stability of Russia’s invasion of Ukraine appear to be manageable due to the banks’ limited direct exposures to Russia. However, risks associated with the economic fallout could impact some individual financial institutions, non-performing loans, and house prices. Real GDP growth was projected to regain momentum from mid-2022 onwards, but the war could hinder the recovery through supply constraints, higher-than-expected above-target inflation (with higher energy prices and supply constraints), a tightening of financial conditions, and shifts in investors’ confidence.
Greece
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Author : International Monetary Fund. European Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2024-01-24
Greece written by International Monetary Fund. European Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-01-24 with Business & Economics categories.
Greece: Selected Issues
Macroprudential Policy And Bank Systemic Risk Does Inflation Targeting Matter
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Author : Mohamed Belkhir
language : en
Publisher: International Monetary Fund
Release Date : 2023-06-02
Macroprudential Policy And Bank Systemic Risk Does Inflation Targeting Matter written by Mohamed Belkhir and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-02 with Business & Economics categories.
This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime-dependent dynamic panel regression results point to complementarities between monetary and macroprudential policies. We find that the tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk further under inflation targeting. Our findings lend credence to the view that inflation targeting strengthens macroprudential policy roles in mitigating financial stability risks.
Japan Financial Sector Assessment Program Technical Note On Systemic Risk Analysis And Stress Testing
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2024-05-13
Japan Financial Sector Assessment Program Technical Note On Systemic Risk Analysis And Stress Testing written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-13 with Business & Economics categories.
The Japanese financial system has remained resilient through a series of shocks including the COVID-19 pandemic. Japan’s large and globally well-integrated financial system withstood the pandemic shock, aided by strong capital and liquidity buffers and extensive policy support. Credit provision to the private sector has remained robust since the pandemic, supporting a steady economic recovery.
The Global Bank Stress Test
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Author : Xiaodan Ding
language : en
Publisher: International Monetary Fund
Release Date : 2022-04-06
The Global Bank Stress Test written by Xiaodan Ding and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-06 with Business & Economics categories.
This paper presents the framework underlying the Global Bank Stress Test (GST) and applies it to recent data and global scenarios to illustrate the usefulness of the framework in assessing the potential impact of global shocks on banks around the world. The results of this latest update of the GST continue to point to relatively lower levels of resilience of banks in emerging market economies (EMs) than in advanced economies (AEs).
Approaches To Climate Risk Analysis In Fsaps
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Author : Mr. Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2022-07-14
Approaches To Climate Risk Analysis In Fsaps written by Mr. Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-14 with Business & Economics categories.
Climate change presents risks and opportunities for the real economies and financial sectors of the IMF’s global membership. Understanding the risks is key to prepare for a successful transition to a lower carbon global economy. This will unlock the many opportunities for technological progress and structural transformation along the path that financial sectors around the world will need to adapt to and support. This note lays out the IMF staff’s emerging approach to assessing the impact of climate change on banking sector stability risks conducted in the context of the IMF’s Financial Sector Assessment Program (FSAP). The note starts with a primer on climate change risk, both transition and physical, explaining some of the technical terms and concepts used in this work. It explains the approach to standard risk analysis in FSAPs, and how this would be modified in broad terms to incorporate climate risk. The note then discusses different approaches to the analysis of physical versus transition risk, their implications for the macro-economy and across sectors in the real economy and different geographies, and how all these effects map into the banking sector. The note illustrates concepts with examples of applications from recent FSAPs and takes note of the many challenges confronting this work, including data gaps and uncertainty regarding climate projections and long simulation horizons in conducting the climate risk analysis. As such the note is focused on methods that IMF staff are deploying to raise awareness of the risks, and adaptation needs, including need for banks to develop tools to manage climate risks and for financial sector supervisory authorities to adequately supervise this risk.
Macroprudential Policy Calibration For Greece
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Author : Mr. Marco Gross
language : en
Publisher: International Monetary Fund
Release Date : 2024-02-20
Macroprudential Policy Calibration For Greece written by Mr. Marco Gross and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-02-20 with Business & Economics categories.
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.
Oecd Economic Outlook Volume 2022 Issue 1
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Author : OECD
language : en
Publisher: OECD Publishing
Release Date : 2022-06-08
Oecd Economic Outlook Volume 2022 Issue 1 written by OECD and has been published by OECD Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-08 with categories.
The war in Ukraine is a major humanitarian crisis with associated economic shocks that threaten the post-pandemic recovery. The OECD Economic Outlook, Volume 2022 Issue 1, highlights the implications and risks for growth, inflation and living standards from higher commodity prices and potential disruptions to energy and food supplies, and discusses the associated policy challenges.