Data and Code for: Household Debt Revaluation and the Real Economy

Principal Investigator(s): View help for Principal Investigator(s) Emil Verner, Massachusetts Institute of Technology; Gyozo Gyongyosi, Kiel Institute for the World Economy

Version: View help for Version V1

Name	File Type	Size	Last Modified
Proprietary Data Replication Code			08/25/2020 02:57:PM
Public Data Replication Files			08/25/2020 02:58:PM
readme.pdf	application/pdf	101.8 KB	05/01/2020 06:19:AM

Project Citation:

Verner, Emil, and Gyongyosi, Gyozo. Data and Code for: Household Debt Revaluation and the Real Economy. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-08-25. https://doi.org/10.3886/E118481V1

Project Description

Summary:

We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign currency debt during Hungary’s late-2008 currency crisis. The revaluation of debt burdens causes higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by a decline in local demand, and negative spillover effects on nearby borrowers without foreign currency debt. The estimates translate into an output multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign currency debt is concentrated on household, rather than firm, balance sheets.

Scope of Project

Subject Terms: foreign currency debt; household debt; international financial crisis

JEL Classification:
      D12 Consumer Economics: Empirical Analysis
      E20 Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
      E30 Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
      F30 International Finance: General
      F44 International Business Cycles
      G20 Financial Institutions and Services: General

Geographic Coverage: Hungary

Time Period(s): 2000 – 2014

Collection Date(s): 6/1/2016 – 10/3/2019 (Summer 2016 to Fall 2019)

Data Type(s): aggregate data; program source code

Methodology

Data Source: Hungarian National Bank

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Published Versions

V1 [2020-08-25]

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DDI 2.5

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