TY  - BOOK
AU  - Herceg,Ivana
AU  - Nestić,Danijel
TI  - A New Cluster-Based Financial Vulnerability Indicator: The Analytical Concept and its Application for Stress Testing in a Post-Socialist Economy
T2  - wiiw Balkan Observatory Working Papers
PY  - 2012///
CY  - Wien
PB  - Wiener Institut für Internationale Wirtschaftsvergleiche (wiiw)
KW  - household financial vulnerability
KW  - cluster analysis
KW  - stress testing
KW  - Croatia
N2  - This paper proposes a new approach to household financial vulnerability analysis by employing cluster analysis techniques in the identification of potentially vulnerable households. The cluster-based vulnerability indicator is combined with a binary dependant variable model and used in stress testing. The proposed methodology is applied to householdlevel data for a post-socialist economy – that of Croatia – with the specific aim of testing the extent to which the prolonged economic downturn following the Great Recession of 2008-2009 might hurt indebted households. The paper compares the results based on the new approach with those based on traditional stress testing methods. Interest rate shocks had a stronger impact on household vulnerability in the traditional approach, whereas decreases in employment are found to be more disruptive in the cluster-based approach
UR  - https://wiiw.ac.at/p-3194.html
ER  -