An Empirical Analysis of Personal Bankruptcy and Delinquency
This paper uses a unique new panel data set of credit card accounts to analyze credit card delinquency and more generally personal bankruptcy and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates – a deterioration in the risk-composition of borrowers versus a reduction in the social stigma of default. Even after controlling for risk-composition and other economic fundamentals, the propensity to default significantly increased between 1995 and 1997. By contrast, increases in credit limits and other changes in risk-composition explain only a small part of the change in default rates. Standard default models appear to have missed an important time-varying default factor, consistent with the stigma effect.
|Date of creation:||Nov 1999|
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Web page: http://fic.wharton.upenn.edu/fic/
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- David B. Gross & Nicholas S. Souleles, 2001.
"Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data,"
NBER Working Papers
8314, National Bureau of Economic Research, Inc.
- David B. Gross & Nicholas S. Souleles, 2002. "Do Liquidity Constraints And Interest Rates Matter For Consumer Behavior? Evidence From Credit Card Data," The Quarterly Journal of Economics, MIT Press, vol. 117(1), pages 149-185, February.
- Fay, S. & Hurst, E. & White, M.J., 1998. "The Bankruptcy Decision: Does Stigma Matter?," Papers 98-01, Michigan - Center for Research on Economic & Social Theory.
- Ian Domowitz & Robert L. Sartain, 1999. "Determinants of the Consumer Bankruptcy Decision," Journal of Finance, American Finance Association, vol. 54(1), pages 403-420, 02.
- Hilary Williamson Hoynes, 2000.
"Local Labor Markets And Welfare Spells: Do Demand Conditions Matter?,"
The Review of Economics and Statistics,
MIT Press, vol. 82(3), pages 351-368, August.
- Hilary Williamson Hoynes, 1996. "Local Labor Markets and Welfare Spells: Do Demand Conditions Matter?," NBER Working Papers 5643, National Bureau of Economic Research, Inc.
- H. W. Hoynes, . "Local Labor Markets and Welfare Spells: Do Demand Conditions Matter?," Institute for Research on Poverty Discussion Papers 1104-96, University of Wisconsin Institute for Research on Poverty.
- repec:fth:pennfi:69 is not listed on IDEAS
- T. Jappelli & J-S Pischke & N.S. Souleles, 1995.
"Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources,"
95-19, Massachusetts Institute of Technology (MIT), Department of Economics.
- Tullio Jappelli & Jörn-Steffen Pischke & Nicholas S. Souleles, 1998. "Testing For Liquidity Constraints In Euler Equations With Complementary Data Sources," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 251-262, May.
- Jappelli, Tullio & Pischke, Jörn-Steffen & Souleles, Nicholas, 1995. "Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources," CEPR Discussion Papers 1138, C.E.P.R. Discussion Papers.
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