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|
|Date of revision:|
|Contact details of provider:|| Postal: 3301 Steinberg Hall-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104.6367|
Web page: http://fic.wharton.upenn.edu/fic/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:fth:pennfi:69 is not listed on IDEAS
- 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.
- 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.
- T. Jappelli & J-S Pischke & N.S. Souleles, 1995. "Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources," Working papers 95-19, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- 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.
- 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.
- Hilary Williamson Hoynes, 1996. "Local Labor Markets and Welfare Spells: Do Demand Conditions Matter?," NBER Working Papers 5643, National Bureau of Economic Research, Inc.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wop:pennin:98-28. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.