Consumer credit performance over the business cycle in Colombia: some empirical facts

Luis Arango Thomas and Lina Cardona-Sosa

No 12389, Borradores de Economia from Banco de la Republica

Abstract: This paper studies the behavior of the survival function of accruing loans during the slowdown experienced by the Colombian economy between January-2008 and March-2009 as documented by Alfonso et al. (2013). We use a dataset with information of different vintage loans between July-2007 and March-2014 from a private credit union that operates in Medellín, the second largest city in Colombia, and its metropolitan area. The analysis suggests that the survival function of accruing loans reduces before and during the slowdown event: if the probability of survival at month ten of a consumer credit vintage is below the 97.5% and below 95% at month fifteen, the probability of a future slowdown is not negligible.

Keywords: accruing loans; nonperforming loans; survival function; economic slowdown (search for similar items in EconPapers)
JEL-codes: C41 E32 E44 G21 (search for similar items in EconPapers)
Pages: 18
Date: 2015-01-14
New Economics Papers: this item is included in nep-lam and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Consumer credit performance over the business cycle in Colombia: some empirical facts (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:012389

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