============================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
----------------------------------------------------------------------------------------------------------------------------
Constant 16.72 *** 23.97 ***
(0.05) (0.01)
Delinquent 1.60 *** 0.07 * 1.40 * 0.33 1.61 * 0.09
(0.23) (0.03) (0.56) (0.29) (0.63) (0.45)
After 4.82 *** 2.92 *** 4.12 ** 2.81 ***
(0.06) (0.01) (1.18) (0.53)
Collateral -7.68 *** -5.65 *** -6.33 ** -3.59 ** -7.64 *** -5.61 ***
(0.06) (0.03) (1.70) (1.00) (1.22) (1.08)
Same bank 2.06 *** 1.82 *** 1.83 1.09 * 2.10 1.97 ***
(0.29) (0.05) (1.08) (0.43) (1.53) (0.52)
Maturity -0.00 * -0.02 *** -0.01 -0.02 -0.00 -0.02
(0.00) (0.00) (0.01) (0.02) (0.01) (0.03)
Amount -0.00 *** -0.00 *** -0.00 *** -0.00 *** -0.00 *** -0.00 ***
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Prob. default 0.02 *** -0.02 *** 0.01 -0.02 * 0.02 -0.02 ***
(0.00) (0.00) (0.01) (0.01) (0.02) (0.01)
Delinquent x After -0.14 -0.30 *** -0.27 -0.24 -0.23 -0.38 *
(0.30) (0.04) (0.25) (0.13) (0.25) (0.15)
Delinquent x Collateral -0.32 1.47 *** -0.60 0.98 -0.34 1.44
(0.32) (0.15) (0.60) (0.64) (0.77) (1.06)
After x Collateral 0.89 *** -0.20 *** 1.30 -0.16 0.92 -0.33
(0.09) (0.05) (1.01) (0.46) (1.17) (0.58)
After x Same bank -0.90 * -0.96 *** -0.81 -1.26 ** -0.76 -1.10 ***
(0.42) (0.08) (0.80) (0.31) (0.84) (0.26)
Collateral x Same bank -1.40 ** -2.52 *** -1.19 -1.33 -1.42 -2.60
(0.44) (0.23) (0.96) (1.11) (1.36) (1.68)
Delinquent x After x Collateral -0.27 0.18 0.55 0.12 -0.24 0.23
(0.44) (0.19) (0.40) (0.26) (0.54) (0.48)
After x Collateral x Same bank -0.39 3.88 *** -0.74 1.94 ** -0.23 4.09 ***
(0.72) (0.40) (1.04) (0.55) (1.35) (0.49)
----------------------------------------------------------------------------------------------------------------------------
Num. obs. 128586 3132248 128586 3132248 128586 3132248
R^2 (full model) 0.33 0.23 0.47 0.35 0.34 0.24
R^2 (proj model) 0.33 0.23 0.26 0.17 0.22 0.20
Adj. R^2 (full model) 0.33 0.23 0.47 0.35 0.34 0.24
Adj. R^2 (proj model) 0.33 0.23 0.26 0.17 0.22 0.20
Num. groups: bank 40 41
Num. groups: date_info 5 5
============================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05Blank Slate law
Rate of new loans as function of delinquency type
Only new loans granted between 2021feb. and 2022jun. We take all active borrowers in 2021sep. and mark as delinquent those with delinquency above 90 days (which according to regulation should have been reported to credit bureaus). Then take all new loans granted during the same period and their characteristics to estimate x
\[\text{rate}_{itj}=f(\text{delinquent}_{i}\times\text{after}_t\times\text{collateral}_{ijt}\times \text{same bank}_{ijt},\mathbf{X}_{ijt})\]
\(\text{rate}_{itj}\) is the rate of the new loan granted by bank \(j\) to individual \(i\) in month \(t\).
\(\mathbf{X}_{ijt}\) includes other characteristics of the loan: maturity, amount, probability of default.
Amount of new loans as a function of type of delinquency type
Error in chol.default(mat[ok, ok]) :
the leading minor of order 11 is not positive
========================================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
----------------------------------------------------------------------------------------------------------------------------------------
Constant 458138787.15 *** 68121866.34 ***
(119950072.72) (111352.04)
Delinquent -671003702.62 ** 414845.51 *** -575506986.13 * 1218593.88 -668811742.27 *** 375388.95
(235347091.03) (111734.84) (189760579.23) (852722.63) (185522891.46) (1297286.69)
After -303558804.57 *** -2263681.35 *** -238829239.49 -1960803.47
(67127876.66) (33284.59) (251119190.98) (1036132.71)
Collateral -529905003.19 *** 5179818.16 *** -234871408.54 8601643.79 -535590153.85 * 5168742.13
(91660724.07) (132447.86) (146064174.15) (6262419.95) (216037146.79) (7926097.03)
Same bank -367313384.05 2014062.89 *** -425734427.30 220683.60 -355941853.42 1811922.28
(298217723.14) (178863.47) (236536632.93) (2028105.14) (230000939.85) (2372878.56)
Maturity 2058222.32 ** 102231.54 *** 3907094.33 109539.60 2020942.09 102426.09
(658251.73) (361.23) (2533762.21) (68971.00) (2762509.56) (70183.42)
Expected loss 10942639.26 *** -823020.89 *** 14270007.09 * -768853.53 ** 10768835.40 * -821239.70 ***
(2012116.46) (1423.49) (4760526.01) (218459.53) (5108079.41) (237385.66)
Delinquent x After 257944006.68 777144.04 *** 247367385.22 78241.42 256754618.90 822140.78
(314795475.05) (137353.60) (279017958.52) (553565.66) (264105079.40) (643913.96)
Delinquent x Collateral 627690487.69 -141966.11 486526680.89 * -3014177.77 623887445.01 ** -114299.19
(340335272.64) (560283.58) (208013882.81) (2887811.16) (212772111.36) (5108087.30)
After x Collateral 400437059.00 *** 12596578.74 *** 149080904.10 13679071.19 ** 403315579.52 ** 12643516.52 ***
(95550068.25) (184982.13) (207624037.92) (3672721.68) (155544835.07) (2823925.48)
After x Same bank 74281297.09 799613.75 ** 69993430.35 606623.44 62707084.90 995070.33
(438280239.75) (290248.39) (255848322.67) (1482386.36) (234235042.31) (1943008.62)
Collateral x Same bank 242703581.11 -2244815.43 ** 250654890.00 -5810261.63 234376596.10 -2137315.85
(480317780.20) (871117.35) (254486162.42) (4676936.62) (232808158.19) (5144586.61)
Delinquent x After x Collateral -534729696.77 1376026.48 -404077372.47 1282863.18 -530982727.89 * 1340958.78
(469690681.59) (733557.48) (274681038.27) (1854380.29) (264971569.84) (1587648.69)
After x Collateral x Same bank 89554176.67 -5387538.17 *** 99412161.81 -1487362.72 97251957.72 -5508762.22
(782124858.36) (1523700.94) (273674886.20) (3276108.27) (267703883.58) (6485922.44)
----------------------------------------------------------------------------------------------------------------------------------------
Num. obs. 132061 3200030 132061 3200030 132061 3200030
R^2 (full model) 0.00 0.17 0.01 0.23 0.00 0.17
R^2 (proj model) 0.00 0.17 0.00 0.13 0.00 0.17
Adj. R^2 (full model) 0.00 0.17 0.01 0.23 0.00 0.17
Adj. R^2 (proj model) 0.00 0.17 0.00 0.13 0.00 0.17
Num. groups: bank 40 41
Num. groups: date_info 5 5
========================================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05Maturity of new loans as a function of type of delinquency type
===========================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
---------------------------------------------------------------------------------------------------------------------------
Constant 17.15 *** 121.61 ***
(0.50) (0.17)
Delinquent -1.91 5.67 *** -1.62 3.01 -1.85 5.77 *
(0.98) (0.17) (1.75) (2.06) (1.38) (2.94)
After 4.81 *** -0.40 *** 2.99 0.55
(0.28) (0.05) (4.29) (2.22)
Collateral 29.73 *** -26.14 *** 31.29 ** -24.47 ** 29.58 *** -26.08 ***
(0.37) (0.20) (7.13) (5.74) (5.60) (6.75)
Same bank -4.12 *** -5.21 *** -7.26 3.16 -3.90 -4.67
(1.25) (0.27) (4.86) (2.33) (4.20) (3.94)
Amount 0.00 ** 0.00 *** 0.00 * 0.00 *** 0.00 * 0.00 ***
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Exp. loss 0.07 *** -0.91 *** 0.25 -0.93 *** 0.06 -0.91 ***
(0.01) (0.00) (0.17) (0.17) (0.16) (0.27)
Delinquent x After 3.08 * -0.08 2.44 0.47 2.94 * -0.19
(1.32) (0.21) (1.37) (0.84) (1.35) (0.64)
Delinquent x Collateral 2.28 -6.03 *** 2.91 -3.18 2.18 -6.11
(1.42) (0.86) (2.82) (4.61) (2.45) (6.22)
After x Collateral -3.02 *** 5.38 *** -0.68 4.69 -2.90 5.26
(0.40) (0.28) (5.58) (3.48) (4.91) (2.88)
After x Same bank -1.14 -2.44 *** -0.37 -2.79 -1.13 -2.96 *
(1.83) (0.44) (2.15) (1.69) (1.97) (1.20)
Collateral x Same bank 9.27 *** 11.96 *** 12.72 * 7.73 9.13 * 11.66
(2.01) (1.33) (4.61) (7.45) (4.39) (6.54)
Delinquent x After x Collateral 0.07 1.67 -0.59 -0.30 0.17 1.76
(1.96) (1.12) (2.06) (2.12) (1.96) (2.48)
After x Collateral x Same bank -4.73 -1.07 -6.57 ** 1.75 -4.38 ** -0.78
(3.27) (2.33) (2.05) (6.97) (1.60) (9.00)
---------------------------------------------------------------------------------------------------------------------------
Num. obs. 132061 3200030 132061 3200030 132061 3200030
R^2 (full model) 0.14 0.11 0.18 0.25 0.14 0.11
R^2 (proj model) 0.14 0.11 0.11 0.09 0.14 0.11
Adj. R^2 (full model) 0.14 0.11 0.18 0.25 0.14 0.11
Adj. R^2 (proj model) 0.14 0.11 0.11 0.09 0.14 0.11
Num. groups: bank 40 41
Num. groups: date_info 5 5
===========================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05Probability of new loans having collateral as a function of delinquency type
================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
----------------------------------------------------------------------------------------------------------------
Constant 1.33 *** 0.34 ***
(0.00) (0.00)
Delinquent 0.01 * -0.01 *** -0.00 -0.00 0.01 -0.01
(0.01) (0.00) (0.01) (0.00) (0.01) (0.01)
After 0.10 *** -0.00 *** 0.11 ** -0.00
(0.00) (0.00) (0.03) (0.00)
Same bank -0.03 *** 0.02 *** -0.02 0.02 -0.03 0.02
(0.01) (0.00) (0.02) (0.01) (0.02) (0.01)
Amount -0.00 *** 0.00 *** -0.00 * 0.00 -0.00 ** 0.00
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Maturity 0.00 *** -0.00 *** 0.00 ** -0.00 0.00 *** -0.00
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Exp. loss -0.02 *** -0.00 *** -0.02 *** -0.00 ** -0.02 *** -0.00 *
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Prob. default 0.00 *** 0.00 *** 0.00 *** 0.00 ** 0.00 ** 0.00
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Rate -0.01 *** -0.00 *** -0.00 0.00 -0.01 *** -0.00
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Delinquent x After 0.03 *** 0.01 *** 0.02 * 0.00 0.03 *** 0.00
(0.01) (0.00) (0.01) (0.00) (0.01) (0.00)
After x Same bank -0.02 -0.01 *** -0.00 -0.01 -0.02 -0.01
(0.01) (0.00) (0.03) (0.00) (0.02) (0.01)
----------------------------------------------------------------------------------------------------------------
Num. obs. 128555 3132041 128555 3132041 128555 3132041
R^2 (full model) 0.67 0.08 0.74 0.49 0.67 0.08
R^2 (proj model) 0.67 0.08 0.67 0.10 0.66 0.08
Adj. R^2 (full model) 0.67 0.08 0.74 0.49 0.67 0.08
Adj. R^2 (proj model) 0.67 0.08 0.67 0.10 0.65 0.08
Num. groups: bank 40 41
Num. groups: date_info 5 5
================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05Estimated probability of default of new loans as a function of delinquency type
===========================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
---------------------------------------------------------------------------------------------------------------------------
Constant 4.37 *** 2.59 ***
(0.06) (0.01)
Delinquent 10.07 *** 4.01 *** 9.67 4.04 * 10.07 * 4.00 *
(0.27) (0.04) (4.42) (1.66) (4.67) (1.61)
After 0.06 0.14 *** 0.17 0.09
(0.08) (0.01) (0.20) (0.16)
Collateral -0.33 *** -0.65 *** -0.14 -0.61 -0.33 -0.67 *
(0.08) (0.04) (0.32) (0.33) (0.32) (0.27)
Same bank 11.94 *** 27.75 *** 12.40 * 27.19 *** 11.97 * 27.71 ***
(0.35) (0.06) (4.62) (5.95) (4.75) (5.93)
Maturity 0.02 *** -0.00 *** 0.02 ** 0.00 0.02 *** -0.00
(0.00) (0.00) (0.00) (0.01) (0.01) (0.00)
Amount -0.00 *** 0.00 *** -0.00 -0.00 -0.00 0.00
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Delinquent x After -1.44 *** -2.43 *** -1.54 * -2.40 * -1.44 * -2.43 **
(0.37) (0.05) (0.66) (0.90) (0.73) (0.90)
Delinquent x Collateral -8.47 *** 0.01 -7.98 -0.30 -8.47 0.02
(0.40) (0.19) (4.42) (1.57) (4.70) (1.51)
After x Collateral -0.09 -0.08 -0.17 -0.00 -0.09 -0.07
(0.11) (0.06) (0.28) (0.11) (0.23) (0.15)
After x Same bank 5.81 *** -12.77 *** 5.49 -12.88 5.78 -12.73 *
(0.51) (0.10) (3.79) (6.07) (3.97) (6.12)
Collateral x Same bank 9.81 *** 20.56 *** 9.06 20.61 ** 9.78 * 20.58 **
(0.56) (0.30) (4.22) (6.53) (4.46) (6.78)
Delinquent x After x Collateral 2.27 *** 0.68 ** 2.36 0.83 2.28 0.67
(0.55) (0.25) (1.55) (0.84) (1.56) (0.76)
After x Collateral x Same bank -8.17 *** 9.57 *** -7.70 9.20 -8.15 9.55
(0.91) (0.52) (4.13) (9.04) (4.73) (9.00)
---------------------------------------------------------------------------------------------------------------------------
Num. obs. 132092 3200241 132092 3200241 132092 3200241
R^2 (full model) 0.17 0.15 0.19 0.15 0.17 0.15
R^2 (proj model) 0.17 0.15 0.17 0.14 0.17 0.14
Adj. R^2 (full model) 0.17 0.15 0.19 0.15 0.17 0.15
Adj. R^2 (proj model) 0.17 0.15 0.17 0.14 0.17 0.14
Num. groups: bank 40 41
Num. groups: date_info 5 5
===========================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05Expected loss of new loans as a function of delinquency type
============================================================================================================================
Comercial Consumo Comercial A Consumo A Comercial B Consumo B
----------------------------------------------------------------------------------------------------------------------------
Constant 53.26 *** 75.37 ***
(0.07) (0.01)
Delinquent 3.76 *** -1.00 *** 2.93 0.43 3.77 -0.94
(0.32) (0.04) (1.97) (0.55) (2.26) (1.14)
After 0.93 *** 0.92 *** 1.64 * 0.66
(0.09) (0.01) (0.61) (0.52)
Collateral -30.42 *** -16.56 *** -28.85 *** -19.69 *** -30.42 *** -16.47 ***
(0.09) (0.05) (3.10) (3.91) (2.06) (4.27)
Same bank 0.99 * 8.42 *** 3.01 6.19 *** 1.09 8.73 ***
(0.41) (0.07) (1.43) (1.18) (1.50) (1.60)
Maturity 0.01 *** -0.05 *** 0.02 -0.04 0.01 -0.05
(0.00) (0.00) (0.01) (0.03) (0.02) (0.04)
Amount 0.00 *** -0.00 *** 0.00 ** -0.00 ** 0.00 -0.00 ***
(0.00) (0.00) (0.00) (0.00) (0.00) (0.00)
Delinquent x After -0.45 0.55 *** -0.12 -0.04 -0.47 0.48
(0.43) (0.05) (0.33) (0.17) (0.63) (0.47)
Delinquent x Collateral -0.53 3.54 *** -2.02 1.56 -0.56 3.47
(0.47) (0.21) (1.85) (1.10) (2.79) (2.57)
After x Collateral 9.86 *** 4.87 *** 7.80 * 4.15 * 9.87 *** 4.76 **
(0.13) (0.07) (3.10) (1.55) (2.42) (1.75)
After x Same bank 3.75 *** -4.65 *** 2.83 -3.66 ** 3.66 -4.96 ***
(0.60) (0.11) (3.42) (1.14) (3.35) (0.85)
Collateral x Same bank 0.87 -7.29 *** -0.84 -3.50 0.80 -7.46 **
(0.66) (0.33) (2.02) (2.27) (2.36) (2.78)
Delinquent x After x Collateral -0.30 -0.67 * -0.23 -0.72 -0.26 -0.60
(0.64) (0.27) (0.78) (0.82) (1.66) (1.19)
After x Collateral x Same bank -0.56 6.35 *** 1.14 6.45 -0.48 6.54
(1.07) (0.57) (4.94) (3.41) (4.98) (4.05)
----------------------------------------------------------------------------------------------------------------------------
Num. obs. 132061 3200030 132061 3200030 132061 3200030
R^2 (full model) 0.62 0.23 0.75 0.49 0.62 0.23
R^2 (proj model) 0.62 0.23 0.63 0.20 0.58 0.23
Adj. R^2 (full model) 0.62 0.23 0.75 0.49 0.62 0.23
Adj. R^2 (proj model) 0.62 0.23 0.63 0.20 0.58 0.23
Num. groups: bank 40 41
Num. groups: date_info 5 5
============================================================================================================================
*** p < 0.001; ** p < 0.01; * p < 0.05