Efectos ley de borrón y cuenta nueva cartera consumo
1 Tasas de interés antes y después
1.1 Tasa promedio simple
1.2 Tasa promedio ponderada por monto
1.3 Tasa promedio simple por moroso
1.4 Tasa promedio ponderada por monto por moroso
2 Numero de créditos nuevos antes y después
2.1 Créditos nuevos
2.2 Créditos nuevos por moroso
3 Créditos con colateral
4 Créditos con colateral por moroso
5 tasas, monto y plazo
6 Ratas limpias y sucias
Muestra:
- Sólo créditos de tipo “Otros consumo”.
- Nos quedamos con gente que tiene créditos activos en marzo de 2021 (antes de la ley de borrón) y sin mora.
- Miramos sus historias crediticias y marcamos a aquellos que tuvieron mora(90 días o más) hasta diciembre de 2020.
- En una grilla de trimestres e identificaciones marcamos donde obtuvieron un crédito nuevo (variable dependiente)
- Definimos after a los trimestres después de octubre 2021.
Regresión
\[Prob(nuevo_{it})= \beta_0 + \beta_1 after_t + \beta_2 moraprevia_{i}, \beta_3 after_t \times moraprevia_{i} + \epsilon_{it}\]
Call:
lm(formula = new ~ after * morat, data = dt_reg)
Residuals:
Min 1Q Median 3Q Max
-0.2286 -0.2044 -0.1593 -0.1593 0.8429
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.2044113 0.0008706 234.792 <2e-16 ***
afterTRUE -0.0451542 0.0011239 -40.175 <2e-16 ***
moratTRUE -0.0472685 0.0455830 -1.037 0.2997
afterTRUE:moratTRUE 0.1165828 0.0588474 1.981 0.0476 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.3813 on 479731 degrees of freedom
Multiple R-squared: 0.003357, Adjusted R-squared: 0.003351
F-statistic: 538.7 on 3 and 479731 DF, p-value: < 2.2e-167 Ratas limpias y sucias todos los activos diciembre (no solo los nuevos)
8 Probabilidad de créditos nuevos DESPUÉS de la ley
Cambié el enfoque porque como estabamos definiendo la variable dependeitne estaba imputando muchos ceros (la gente que saca un crédito en t probablemente no va a sacar en t+1 o t+2).
La muestra: gente activa en el mercado de crédito y sin mora en diciembre 2020.
Se marca a los que tuvierno mora antes de diciembre 2020 hasta 2015 (morat=1)
La variable dependiente es si la persona obtuvo un crédito post ley (entre diciembre y junio de 2022)
==================================================================
Model 1 Model 2 Model 3
------------------------------------------------------------------
(Intercept) 0.186 *** 0.126 *** 0.049 ***
(0.001) (0.001) (0.000)
moratTRUE 0.060 *** 0.062 *** 0.047 ***
(0.001) (0.001) (0.000)
after 0.018 ***
(0.000)
moratTRUE:after -0.010 ***
(0.001)
------------------------------------------------------------------
R^2 0.005 0.006 0.005
Adj. R^2 0.005 0.006 0.005
Num. obs. 1238009 1238009 4952036
==================================================================
*** p < 0.001; ** p < 0.01; * p < 0.059 Tasas
Acá si podemos tener antes y después porque la variable dependiente es la tasa de créditos nuevos otorgados.
Muestra: créditos nuevos otorgados entre marzo 2021 y junio 2022 a gente que haya estado activa y sin mora en diciembre 2021. Se marcan los que tenían mora previa (morat=1)
After: después de la ley
===============================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5
-----------------------------------------------------------------------------------------------
(Intercept) 19.65 *** 19.09 ***
(0.03) (0.03)
afterTRUE -0.92 *** -0.92 *** -1.06 **
(0.04) (0.04) (0.17)
moratTRUE -1.80 *** -1.01 *** -0.43 -0.99 * -0.41
(0.03) (0.03) (0.18) (0.27) (0.19)
afterTRUE:moratTRUE 0.53 *** 0.54 *** 0.18 0.53 ** 0.36 **
(0.04) (0.04) (0.09) (0.07) (0.04)
debt -0.03 *** -0.02 -0.03 * 0.00 *
(0.00) (0.01) (0.01) (0.00)
rel_banks 0.59 *** 0.33 * 0.58 0.10
(0.01) (0.09) (0.25) (0.21)
tot_mora 0.00 *** 0.00 0.00 -0.00
(0.00) (0.00) (0.00) (0.00)
saldo -0.09 **
(0.01)
PLAZO_MESES_DEL_CREDITO -0.02
(0.02)
-----------------------------------------------------------------------------------------------
R^2 0.01 0.05
Adj. R^2 0.01 0.05
Num. obs. 667434 493661 493661 493661 493661
R^2 (full model) 0.26 0.05 0.17
R^2 (proj model) 0.04 0.05 0.17
Adj. R^2 (full model) 0.26 0.05 0.17
Adj. R^2 (proj model) 0.04 0.05 0.17
Num. groups: bank 40
Num. groups: date_info 4 4
===============================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0510 Tasa con el mismo banco
==================================================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5 Model 6
------------------------------------------------------------------------------------------------------------------
(Intercept) 16.74 *** 18.62 *** 20.42 *** 20.39 ***
(0.03) (0.03) (0.04) (0.04)
samebank 0.23 *** 0.08 -0.06 -0.07 -0.71 *** -0.07
(0.05) (0.05) (0.05) (0.05) (0.04) (0.58)
saldo -0.08 *** -0.06 *** -0.06 *** -0.05 *** -0.06 ***
(0.00) (0.00) (0.00) (0.00) (0.01)
PLAZO_MESES_DEL_CREDITO -0.04 *** -0.04 *** -0.03 *** -0.04
(0.00) (0.00) (0.00) (0.02)
PROBABILIDAD_DE_INCUMPLIMIENTO 0.01 *** -0.00 0.01
(0.00) (0.00) (0.01)
------------------------------------------------------------------------------------------------------------------
R^2 0.00 0.20 0.27 0.27
Adj. R^2 0.00 0.20 0.27 0.27
Num. obs. 57184 57184 57184 57184 57184 57184
R^2 (full model) 0.46 0.27
R^2 (proj model) 0.18 0.27
Adj. R^2 (full model) 0.46 0.27
Adj. R^2 (proj model) 0.18 0.27
Num. groups: bank 37
Num. groups: date_info 2
==================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0511 Tasas si mora fue con mismo banco
- same_mora_new: 1 si banco de la mora es el mismo banco del crédito nuevo
- same_dec_new: 1 si banco con el que está activo en diciembre el mismo banco del crédito nuevo
- same_mora_new * same_dec_new: crédito nuevo es con el mismo banco con que estaba activo en diciembre y con el que tenía mora.
=======================================================================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5 Model 6 Model 7
---------------------------------------------------------------------------------------------------------------------------------------
(Intercept) 16.18 *** 19.93 *** 19.88 ***
(0.02) (0.03) (0.03)
same_mora_new -0.32 *** -0.26 *** -0.27 *** -0.25 *** -0.25 *** -0.27 *** -0.27
(0.07) (0.06) (0.06) (0.05) (0.05) (0.06) (0.48)
same_dec_new 0.02 -0.23 *** -0.24 *** -0.81 *** -0.81 *** -0.24 *** -0.24
(0.05) (0.05) (0.05) (0.04) (0.05) (0.05) (0.56)
same_mora_new:same_dec_new 1.04 *** 0.68 *** 0.69 *** 0.50 *** 0.50 *** 0.69 *** 0.69
(0.10) (0.08) (0.08) (0.07) (0.01) (0.08) (0.51)
saldo -0.06 *** -0.06 *** -0.04 *** -0.04 *** -0.06 *** -0.06 ***
(0.00) (0.00) (0.00) (0.01) (0.00) (0.01)
PLAZO_MESES_DEL_CREDITO -0.04 *** -0.04 *** -0.03 *** -0.03 * -0.04 *** -0.04
(0.00) (0.00) (0.00) (0.01) (0.00) (0.02)
PROBABILIDAD_DE_INCUMPLIMIENTO 0.02 *** 0.00 0.00 0.02 *** 0.02
(0.00) (0.00) (0.00) (0.00) (0.01)
---------------------------------------------------------------------------------------------------------------------------------------
R^2 0.00 0.28 0.28
Adj. R^2 0.00 0.28 0.28
Num. obs. 109904 109904 109904 109904 109904 109904 109904
R^2 (full model) 0.47 0.47 0.28 0.28
R^2 (proj model) 0.19 0.19 0.28 0.28
Adj. R^2 (full model) 0.47 0.47 0.28 0.28
Adj. R^2 (proj model) 0.19 0.19 0.28 0.28
Num. groups: bank 37 37
Num. groups: date_info 2 2
=======================================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0512 Tasas si mora fue con mismo banco II
=======================================================================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5 Model 6 Model 7
---------------------------------------------------------------------------------------------------------------------------------------
(Intercept) 16.18 *** 19.93 *** 19.88 ***
(0.02) (0.03) (0.03)
same_mora_new -0.32 *** -0.26 *** -0.27 *** -0.25 *** -0.25 *** -0.27 *** -0.27
(0.07) (0.06) (0.06) (0.05) (0.05) (0.06) (0.48)
same_dec_new 0.02 -0.23 *** -0.24 *** -0.81 *** -0.81 *** -0.24 *** -0.24
(0.05) (0.05) (0.05) (0.04) (0.05) (0.05) (0.56)
same_mora_new:same_dec_new 1.04 *** 0.68 *** 0.69 *** 0.50 *** 0.50 *** 0.69 *** 0.69
(0.10) (0.08) (0.08) (0.07) (0.01) (0.08) (0.51)
saldo -0.06 *** -0.06 *** -0.04 *** -0.04 *** -0.06 *** -0.06 ***
(0.00) (0.00) (0.00) (0.01) (0.00) (0.01)
PLAZO_MESES_DEL_CREDITO -0.04 *** -0.04 *** -0.03 *** -0.03 * -0.04 *** -0.04
(0.00) (0.00) (0.00) (0.01) (0.00) (0.02)
PROBABILIDAD_DE_INCUMPLIMIENTO 0.02 *** 0.00 0.00 0.02 *** 0.02
(0.00) (0.00) (0.00) (0.00) (0.01)
---------------------------------------------------------------------------------------------------------------------------------------
R^2 0.00 0.28 0.28
Adj. R^2 0.00 0.28 0.28
Num. obs. 109904 109904 109904 109904 109904 109904 109904
R^2 (full model) 0.47 0.47 0.28 0.28
R^2 (proj model) 0.19 0.19 0.28 0.28
Adj. R^2 (full model) 0.47 0.47 0.28 0.28
Adj. R^2 (proj model) 0.19 0.19 0.28 0.28
Num. groups: bank 37 37
Num. groups: date_info 2 2
=======================================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05
================================================================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5 Model 6 Model 7
--------------------------------------------------------------------------------------------------------------------------------
(Intercept) 16.18 *** 19.51 *** 19.45 ***
(0.02) (0.03) (0.03)
same_mora_new -0.32 *** -0.25 *** -0.26 *** -0.21 *** -0.21 *** -0.26 *** -0.26
(0.07) (0.06) (0.06) (0.05) (0.04) (0.06) (0.49)
saldo -0.06 *** -0.06 *** -0.04 *** -0.04 *** -0.06 *** -0.06 ***
(0.00) (0.00) (0.00) (0.01) (0.00) (0.01)
PLAZO_MESES_DEL_CREDITO -0.03 *** -0.03 *** -0.02 *** -0.02 -0.03 *** -0.03
(0.00) (0.00) (0.00) (0.01) (0.00) (0.02)
PROBABILIDAD_DE_INCUMPLIMIENTO 0.02 *** 0.01 ** 0.01 0.02 *** 0.02
(0.00) (0.00) (0.01) (0.00) (0.01)
--------------------------------------------------------------------------------------------------------------------------------
R^2 0.00 0.26 0.26
Adj. R^2 0.00 0.26 0.26
Num. obs. 75465 75465 75465 75465 75465 75465 75465
R^2 (full model) 0.46 0.46 0.26 0.26
R^2 (proj model) 0.17 0.17 0.26 0.26
Adj. R^2 (full model) 0.46 0.46 0.26 0.26
Adj. R^2 (proj model) 0.17 0.17 0.26 0.26
Num. groups: bank 37 37
Num. groups: date_info 2 2
================================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0513 Montos
=============================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5
---------------------------------------------------------------------------------------------
(Intercept) 10.32 *** 13.66 ***
(0.13) (0.10)
afterTRUE 1.30 *** 0.89 *** 1.34 *
(0.18) (0.12) (0.35)
moratTRUE 12.79 *** 4.61 *** 3.14 * 4.59 * 3.42
(0.15) (0.11) (0.75) (1.33) (1.08)
afterTRUE:moratTRUE -2.51 *** -1.56 *** -0.89 -1.55 ** -0.97 *
(0.20) (0.14) (0.39) (0.26) (0.24)
debt 0.32 *** 0.30 * 0.32 * 0.29 *
(0.00) (0.06) (0.06) (0.05)
rel_banks -5.03 *** -3.93 * -5.02 * -4.39 *
(0.03) (0.74) (0.88) (0.84)
tot_mora -0.01 *** -0.01 * -0.01 * -0.01 *
(0.00) (0.00) (0.00) (0.00)
rate -1.17 **
(0.14)
---------------------------------------------------------------------------------------------
R^2 0.02 0.40
Adj. R^2 0.02 0.40
Num. obs. 676674 500038 500038 500038 493661
R^2 (full model) 0.44 0.40 0.47
R^2 (proj model) 0.38 0.40 0.47
Adj. R^2 (full model) 0.44 0.40 0.47
Adj. R^2 (proj model) 0.38 0.40 0.47
Num. groups: bank 40
Num. groups: date_info 4 4
=============================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0514 Plazos
==========================================================================================
Model 1 Model 2 Model 3 Model 4 Model 5
------------------------------------------------------------------------------------------
(Intercept) 54.40 *** 55.28 ***
(0.15) (0.16)
afterTRUE 0.30 0.21 -0.24
(0.20) (0.19) (1.10)
moratTRUE 11.71 *** 8.03 *** 3.35 7.99 6.10 *
(0.17) (0.17) (1.53) (2.73) (1.79)
afterTRUE:moratTRUE -1.05 *** -0.83 *** -0.31 -0.80 * -0.12
(0.22) (0.23) (0.16) (0.24) (0.27)
debt 0.08 *** 0.05 0.08 -0.04 *
(0.00) (0.02) (0.03) (0.01)
rel_banks -1.26 *** -0.35 -1.26 0.71
(0.05) (0.85) (1.97) (1.40)
tot_mora -0.00 *** 0.00 -0.00 0.00
(0.00) (0.01) (0.01) (0.01)
rate -0.63
(0.56)
saldo 0.33 *
(0.06)
------------------------------------------------------------------------------------------
R^2 0.01 0.03
Adj. R^2 0.01 0.03
Num. obs. 676674 500038 500038 500038 493661
R^2 (full model) 0.22 0.03 0.10
R^2 (proj model) 0.01 0.03 0.10
Adj. R^2 (full model) 0.22 0.03 0.10
Adj. R^2 (proj model) 0.01 0.03 0.10
Num. groups: bank 40
Num. groups: date_info 4 4
==========================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0515 Perdida dado incumplimiento
===============================================================================
Model 1 Model 2 Model 3 Model 4
-------------------------------------------------------------------------------
(Intercept) 71.15 *** 68.78 ***
(0.05) (0.05)
afterTRUE 0.53 *** 0.33 *** 0.16
(0.06) (0.06) (0.45)
moratTRUE -2.37 *** -1.71 *** -0.08 -1.66
(0.05) (0.05) (0.28) (1.01)
afterTRUE:moratTRUE 1.07 *** 1.24 *** 0.58 * 1.19 **
(0.07) (0.07) (0.14) (0.12)
debt -0.03 *** -0.02 * -0.03
(0.00) (0.01) (0.01)
rel_banks 1.68 *** 0.76 1.67
(0.02) (0.25) (0.75)
tot_mora 0.01 *** 0.01 * 0.01
(0.00) (0.00) (0.00)
-------------------------------------------------------------------------------
R^2 0.01 0.04
Adj. R^2 0.01 0.04
Num. obs. 676638 500010 500010 500010
R^2 (full model) 0.41 0.04
R^2 (proj model) 0.02 0.03
Adj. R^2 (full model) 0.41 0.04
Adj. R^2 (proj model) 0.02 0.03
Num. groups: bank 40
Num. groups: date_info 4
===============================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0516 Probabilidad de incumplimiento
==============================================================================
Model 1 Model 2 Model 3 Model 4
------------------------------------------------------------------------------
(Intercept) 2.36 *** 3.18 ***
(0.06) (0.07)
afterTRUE -0.04 0.06 0.07
(0.07) (0.08) (0.53)
moratTRUE 3.09 *** 3.54 *** 3.78 * 3.51 *
(0.06) (0.07) (0.90) (0.88)
afterTRUE:moratTRUE -0.29 *** -0.39 *** -0.41 -0.36
(0.08) (0.09) (0.50) (0.21)
debt -0.00 *** -0.00 -0.00
(0.00) (0.00) (0.00)
rel_banks -0.51 *** -0.35 -0.51
(0.02) (0.30) (0.41)
tot_mora 0.05 *** 0.05 * 0.05 *
(0.00) (0.01) (0.01)
------------------------------------------------------------------------------
R^2 0.01 0.05
Adj. R^2 0.01 0.05
Num. obs. 676674 500038 500038 500038
R^2 (full model) 0.07 0.05
R^2 (proj model) 0.05 0.05
Adj. R^2 (full model) 0.07 0.05
Adj. R^2 (proj model) 0.05 0.05
Num. groups: bank 40
Num. groups: date_info 4
==============================================================================
*** p < 0.001; ** p < 0.01; * p < 0.0517 Probabilidad garantía
==============================================================================
Model 1 Model 2 Model 3 Model 4
------------------------------------------------------------------------------
(Intercept) 0.04 *** 0.03 ***
(0.00) (0.00)
afterTRUE -0.01 *** -0.01 *** -0.01
(0.00) (0.00) (0.00)
moratTRUE 0.01 *** -0.00 *** 0.00 -0.00
(0.00) (0.00) (0.00) (0.01)
afterTRUE:moratTRUE -0.00 -0.01 *** -0.01 * -0.00
(0.00) (0.00) (0.00) (0.00)
debt 0.00 *** 0.00 * 0.00 *
(0.00) (0.00) (0.00)
rel_banks 0.00 * 0.00 0.00
(0.00) (0.00) (0.00)
tot_mora -0.00 -0.00 -0.00
(0.00) (0.00) (0.00)
------------------------------------------------------------------------------
R^2 0.00 0.01
Adj. R^2 0.00 0.01
Num. obs. 676674 500038 500038 500038
R^2 (full model) 0.35 0.01
R^2 (proj model) 0.01 0.01
Adj. R^2 (full model) 0.35 0.01
Adj. R^2 (proj model) 0.01 0.01
Num. groups: bank 40
Num. groups: date_info 4
==============================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05