A microsimulation model to evaluate. Italian households financial vulnerability. Valentina Michelangeli and Mario Pietrunti ONLINE APPENDIX
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1 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 INTERNATIONAL MICROSIMULATION ASSOCIATION A microsimulation model to evaluate Italian financial vulnerability Valentina Michelangeli and Mario Pietrunti ONLINE APPENDIX
2 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A-2 1. DETAILED RESULTS 1.1. Baseline scenario Table 1 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL Note: Households are divided into classes according to their equalized income gross of imputed rents. The reported values have been approximated to the first decimal.
3 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Suspension of loan payments Percentage of with DSR>0% Table 2 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL
4 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Stress test scenarios Interest rate shock Percentage of with DSR>0% above the below the Table 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL
5 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Income shock Percentage of with DSR>0% above the below the Table 4 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL
6 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Households are vulnerable if DSR > 40% Percentage of with DSR>40% above the below the Table 4 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL
7 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A No originations Percentage of with DSR>0% above the below the Table 5 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL
8 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Credit loans and 70 % of mortgages at adjustable rate Percentage of with DSR>0% above the below the Table 6 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL Note: we randomly assigned a fraction of individuals declaring a fixed rate mortgage to hold a variable rate mortgage so that about 70 per cent of the mortgages are at variable rate. We also assume that the credit loans are adjustable rate.
9 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A Income process estimated using the SHIW data from 2008 to 2012 Table 7 Estimated mean and standard deviation for the income process (SHIW ) y d growth y growth µ d σ d µ σ 1 st 25 th percentile th 50 th percentile th 75 th percentile th 100 th percentile Table 8 1 st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL st -25 th percentile th -50 th percentile Below the th -75 th percentile th -100 th percentile TOTAL Note: we randomly assigned a fraction of individuals declaring a fixed rate mortgage to hold a variable rate mortgage so that about 70 per cent of the mortgages are at variable rate. We also assume that the credit loans are adjustable rate.
10 INTERNATIONAL JOURNAL OF MICROSIMULATION (2014) 7() A1-A10 A COMPARISON OF BACKTESTING EXERCICES UNDER DIFFERENT AMORTIZATION HYPOTHESES Figure 2.2 Percentage of vulnerable over total population Figure 2.2 Percentage of vulnerable with income below the over total population Note: The blue lines represent projections assuming a French amortization schedule; the green lines are projections assuming a fixed share of principal on current credit balance.
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