Forecasting and explaining aggregate consumer credit delinquency behaviour

被引:19
作者
Crook, Jonathan [1 ]
Banasik, John [1 ]
机构
[1] Univ Edinburgh, Sch Business, Credit Res Ctr, Edinburgh EH8 9JS, Midlothian, Scotland
关键词
Finance; Co-integration; ARIMA models; Error correction models; Time series; Unit roots; DEFAULT;
D O I
10.1016/j.ijforecast.2010.12.002
中图分类号
F [经济];
学科分类号
02 ;
摘要
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. (C) 2011 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码:145 / 160
页数:16
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