کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408791 | 1481454 | 2012 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting and explaining aggregate consumer credit delinquency behaviour
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
We model aggregate delinquency behaviour for consumer credit (including credit card loans and other consumer loans) and for residential real estate loans using data up until 2008. We test for cointegrating relationships and then estimate short run error correction models. We find evidence to support the portfolio explanations of declines in credit quality for consumer and for real estate loans, but support for the reduced stigma explanation was restricted to real estate loans. Evidence supportive of household-level explanations of irrational borrowing and unexpected net income shocks was found for consumer and real estate loans, but evidence of strategic default was restricted to the volume of consumer loans and real estate loans, and not for credit cards. We also found that the error correction model gave forecasts of the volume of delinquent consumer debt which were of an accuracy comparable to that of an ARIMA model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 28, Issue 1, JanuaryâMarch 2012, Pages 145-160
Journal: International Journal of Forecasting - Volume 28, Issue 1, JanuaryâMarch 2012, Pages 145-160
نویسندگان
Jonathan Crook, John Banasik,