Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2022 erstellt
Beschreibung:
After the 2008 global financial crisis, the development of macroprudential instruments capable of reducing systemic risk was placed at the forefront of the Basel III implementation agenda. Central Banks worldwide sought to enhance their capabilities to monitor and prevent the accumulation of risk within the financial system. Borrower-based measures such as the DSTI were one of the latest novelties adopted by policy-makers in a bid to enhance the ability of households to repay their loans and prevent the risk of default. Following a prolonged Covid pandemic in which consecutive rounds of lockdowns and infections distorted global supply chains, many economies were confronted with a sharp rise in inflationary pressures. Within the financial stability community, this led to a series of questions on the impact of such shocks on the capacity of borrowers to repay their debt. This paper presents an indicator called the DSTI Gap, which measures the excess (or deficit) of financial resources of a debtor after having covered current expenses plus debt servicing costs. The DSTI Gap can be used to assess whether, following an inflationary shock, borrowers in an economy have to resort to defaulting on their loans or reducing consumption. When coupled with a reverse stress-test, the indicator can be used to determine the maximum inflationary shock that borrowers can tolerate