 Forecasting and explaining aggregate consumer credit delinquency behaviourJonathan Crook and John Banasik International Journal of Forecasting, 2012, vol. 28, issue 1, 145-160 Abstract: 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. Keywords: Finance; Co-integration; ARIMA models; Error correction models; Time series; Unit roots (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:1:p:145-160 DOI: 10.1016/j.ijforecast.2010.12.002 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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