가계부채의 스트레스 테스트와 소득 충격

Abstract

Household debt in Korea has been increasing rapidly for the past 15 years, raising concerns among policy makers and regulators. Fortunately, most existing studies find that Korea’s household debt is resilient to various ‘stress-test’ scenarios. One criticism of the stress test approach is that it typically ignores individual specific shocks. For example, a negative income shock considered in conventional stress tests is an aggregate shock by which everyone’s income decreases by the same proportion. The ignorance of individual heterogeneity in the income shock can lead to underestimation of household debt risk. In this paper, we explicitly consider individual specific shocks to income by using an income generating process estimated from micro data, and examine how indebted households fare in the stress tests. Our analysis shows that, despite the introduction of individual specific income shocks, the aggregate household default rate remains little affected by the income shock. We find this is mainly due to the low elasticity of the default rate with respect to the DTI (debt to income) ratio.