Ji, Tingting (2004): CONSUMER CREDIT DELINQUENCY AND BANKRUPTCY FORECASTING USING ADVANCED ECONOMETRC MODELING.
Download (133kB) | Preview
This research paper empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.
|Item Type:||MPRA Paper|
|Original Title:||CONSUMER CREDIT DELINQUENCY AND BANKRUPTCY FORECASTING USING ADVANCED ECONOMETRC MODELING|
|Keywords:||consumer credit risk; delinquency; bankruptcy; advanced empirical econometrics; financial economics; consumer finance|
|Subjects:||G - Financial Economics > G0 - General
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E21 - Consumption; Saving; Wealth
G - Financial Economics > G2 - Financial Institutions and Services > G20 - General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E24 - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital
|Depositing User:||Tingting Ji|
|Date Deposited:||11. May 2007|
|Last Modified:||13. Feb 2013 19:10|
Abel, B.A. (2000) “The effects of investing Social Security funds in the stock market when fixed costs prevent some households from holding stocks.” Agarwal, S., Liu, C., and Mielnicki, L. (2003) “Exemption laws and consumer delinquency and bankruptcy behavior: An empirical analysis of credit card data.” The Quarterly Review of Economics and Finance 43, 273-289. Agnew, J., Balduzzi, P. and Sunden, A. (2000) “Portfolio choice, trading, and returns in a large 401(K) plan.” Working paper, Center for Retirement Research at Boston College. Altman, E. (1968) “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy.” Journal of Finance 20, 589-609. Altman, E. and Saunders, A. (1997) “Credit risk measurement: Developments over the last 20 years.” Journal of Banking and Finance 21 (11-12), 1721-1742. Angerer, W. Xiaohong (2003) “Income Risk and Portfolio Choice: An Empirical Study.” Department of Economics, The Ohio State University, Ph.D. Defense (2004) Bangia, A., Diebold, F. and Schuermann, T. (2000) “Rating migration and the business cycle, with application to credit portfolio stress testing” PIER working paper No. 01-004. Bernanker, B.S. and Blinder, A.S. (1988) “Is it money or credit, or both, or neither?” American Economic Review Papers Proc. 78, 435-439. Bernanker, B.S. and Gertler, M. (1995) “Inside the black box: The credit channel of monetary policy transmission.” Journal of Economic Perspectives 9, 27-48. Bertaut, C. and Starr-McCluer, M. (2000) “Household portfolios in the United States.” Federal Reserve Board of Governors. Bernheim, B. and Garrett, M. “The determinants and consequences of financial education in the workplace: Evidence from a survey of households.” Bester, H. (1985) “Screening vs. rationing in credit markets with imperfect information” American Economic Review LXXV, 850-855. Boot, A., and Udell, G. (1991) “Secured Lending and Default Risk: Equilibrium Analysis, Policy Implication and Empirical Results.” The Economic Journal CI, 458-472. Boyes, W., Hoffman, D. and Low, S. (1989) “An econometric analysis of the bank credit Scoring Problem.” Journal of Econometrics XL, 3-14. Brueckner, K. J. (1997) “Consumption and investment motives and the portfolio choices of homeowners.” Journal of Real Estate Finance and Economics 15(2), 159-180. Carey, M. (1998) “Credit risk in private debt portfolios.” Journal of Finance 53(4), 1363-1387. Carey, M. (2002) “A guide to choosing absolute bank capital requirements.” FRB International Finance Discussion Paper No.726. Chakraborty, A. and Kazarosian, M. (1999) “Portfolio allocation of precautionary assets: Panel Evidence for the United States.” Cocco, F. (2000) “Portfolio choice in the presence of housing.”, London Business School. Cox, D. and Jappelli, T. (1993) “The effect of borrowing constraints on consumer liabilities.” Journal of Money, Credit and Banking XXV, 197-213. Crouchy, M., Galai, D. and Mark, R. (2000) “A comparative analysis of current risk Models.” Journal of Banking and Finance 24(1-2), 59-117. Domowitx, I. and Sartain, R. (1999) “Determinants of the consumer bankruptcy decision.” The Journal of Finance 54(1), 403-420. Duffee, G. (1999) “estimating the price of default risk.” Review of Financial Studies 12(1), 197-226. Ervin, W. and Wilde, T. (2004) “Pro-cyclically in the new Basel Accord.” Risk Fay, S., Hurst, E. and White, M. (1998) “The bankruptcy decision: does stigma matter?” Working paper, University of Michigan. Flavin, M. and Yamashita, T. (1998) “Owner-occupied housing and the composition of the household portfolio over the Life Cycle.” NBER Working Paper No. 6389, forthcoming American Economic Review. Gakidis, E. (1998) “Portfolio choice and uninsurable labor earnings.” Ph.D dissertation, MIT. Giesecke, K. (2004) “Successive correlated defaults in a structural model.” SSRN Working Paper No. 551024. Goetzmann, N.W. (1993) “The single family home in the investment portfolio.” Journal of Real Estate Finance and Economics 1, 201-222. Goetzmann, N.W. and Ibbotson, G.R. (1990) “The performance of real estate as an asset Class.” Journal of Applied Corporate Finance Green, H.W. Econometric Analysis. 3rd ed. Gropp, R and Scholz, J. (1996) “Personal bankruptcy and credit supply and demand.” NBER Working Paper No. 5653. Gross, D. and Souleles, N. (2001) “Do liquidity constraints and interest rate matter for consumer behavior? Evidence from credit card data.” forthcoming in The Quarterly Journal of Economics. Gouskova, E. and Schoeni, R. (2002) “Comparing Estimates of Family Income in the Panel Study of Income Dynamics and the March Current Population Survey, 1968-1999.” PSID website Guiso, L., Jappelli, T. and Terlizzese, D. (1996) “Income risk, borrowing constraints, and Portfolio Choice.” The American Economic Review 86(1), 158-172. Guiso, L., Sapienza, P. and Zingales, L. (2002) “Does Local Financial Development Matter?” NBER Working Paper No. 8923. Heaton, J. and Lucas, D. (2000) “Portfolio Choice in the Presence of Background Risk.” The Economic Journal 110, 1-26. Heaton, J. and Lucas, D. (2000) “Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk.” The Journal of Finance LV(3), 1163-1197. Heckman, J. (1979) “Sample Selection Bias as a Specification Error.” Econometrica 47, 1), 153-162. Henderson, J.V. and Ioannides, Y.M (1993) “A Model of Housing Tenure Choice.” The American Economic Review 73(1), 98-113. Hubbard, R.G., Skinner, J., and Zeldes, P. (1995) “Precautionary Saving and Social Insurance.” Journal of Political Economy 103(2), 360-399. Hurst, E., Luoh, M. and Stafford, P.F. (1998) “The Wealth Dynamics of American Families, 1984-94.” Brookings Papers on Economic Activities 1, 267-337. Jappelli, T. (1990) “Who is Credit Constrained in the US Economy?” Quarterly Journal of Economics CV, 219-234. Kennickell, B.A. and Starr-McCluer, M. (1996) “Household Saving and Portfolio Change: Evidence from the 1983-89 SCF Panel.” Federal Reserve Board of Governors. Kim, Y. and Stafford, F. (2000) “The Quality of PSID Income Data in the 1990’s and Beyond.” PSID website Kimball, S.M. (1993) “Standard Risk Aversion” Econometrica 61(3), 589-611. Koopman, G., Lucas, A. and Klaassen, P. (2003) “Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation” EFA 2003 Annual Conference Paper No. 211. Lang, W. and Santomero, A. “Risk quantification of retail credit: Current practice and future challenges.” Federal Reserve Bank of Philadelphia. Lawrence, E. (1995) “Consumer Default and the Life Cycle Model” Journal of Money, Credit and Banking 27(4, Part I), 939-954. Li, W. (2001) “To Forgive or Not to Forgive: An Analysis of U.S. Consumer Bankruptcy Choices.” Economic Quarterly, Federal Reserve Bank of Richmond 87(2), Li, W. and Sarte, P. (2002) “The Macroeconomics of U.S. Consumer Bankruptcy Choice: Chapter 7 or Chapter 13?” Federal Reserve Bank of Richmond Working Paper 02-01. Livshits, I. and MacGee, J. (2001) “Consumer Bankruptcy: A Fresh Start.” Federal Reserve Bank of Minneapolis Working Paper 617. Lopez, J. and Saidenberg, M. (2000) “Evaluating Credit Risk Models.” Journal of Banking and Finance 24(1/2), 151-167. Mays, E. (2004) “Credit Scoring for Risk managers” South-Western. Mella-Barral, P. and Perraudin, W. (1997) “Strategic Debt Service.” Journal of Finance 52(2), 531-556. Myers, H. and Forgy, W. (1963) “The Development of Numerical Credit Evaluation System.” Journal of the American Statistics Association 58, 799-806. Pesaran, H., Schuermann, T. Treutler, B-J., and Weiner, S. (2003) “Macroeconomic dynamics and credit risk: A global perspective.” Poterba, M.J. (2001) “ The Rise of the ‘Equity Culture’: U.S. Stockownership Patterns, 1989-1998.” Working paper, Rampini, A. (2004) “Default and Aggregate Income.” Ph.D. dissertation, Department of Finance, Northwestern University. Santos, T. and Veronesi, P. (2001) “Labor Income and Predictable Stock Returns.” Working paper, University of Chicago, NBER and CEPR. Sims, C. (1980) “Macroeconomics and Reality.” Econometrica 48, 1-48. Souleles, S.N. (2001) “Household Portfolio Choice, Transaction Costs, and Hedging Motives.” Working paper, Finance Department, University of Pennsylvania and NBER. Sullivan, C. (1987) “Economic Factors Associated with Delinquency Rates on Consumer Installment Debt” Working Paper 55, Credit Research Center, Krannert Graduate School of Management, Purdue University. The Panel Study of Income Dynamics: A User’s Guide, volume 2, 1991, http://psidonline.isr.umich.edu/Guide/ug/tablcont.html Thomas, L.C., Edelman, D.B. and Crook, N.J. (2002) “Credit Scoring and its applications.” Society for Industrial and Applied Mathematics. Viceira, M.L. (2001) “Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income.” Journal of Finance Vissing-Jrgensen, A. (2000) “Towards an explanation of household portfolio choice heterogeneity: Nonfinaicial income and participation cost structures.” Working paper, Department of Economics, University of Chicago. Wang, H. and White, M. (2000) “An optimal personal bankruptcy procedure and proposed reforms.” Journal of Legal Studies 29(1), 255-286. Whitford, W. (1989) “Has the time come to repeal Chapter 13?” Indiana Law Journal 65, 85-105. Yao, R. and Zhang, H. (2002) “Optimal Consumption and Portfolio Choices with Risky Housing and Stochastic labor Income.” Working paper, Kenan-Flagler Business School, The University of North Carolina at Chapel Hill. Zywicki, T. (2002) “The economics of credit cards.” Working paper, George Mason University.