Macroeconomic environment and the future performance of loans: Evidence from three peer-to-peer platforms

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00139609" target="_blank" >RIV/00216224:14560/24:00139609 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S105752192400348X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S105752192400348X</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.irfa.2024.103416" target="_blank" >10.1016/j.irfa.2024.103416</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Macroeconomic environment and the future performance of loans: Evidence from three peer-to-peer platforms

Popis výsledku v původním jazyce

The literature on peer-to-peer loan market performance focuses predominantly on the microlevel variables connected to individual borrower or loan characteristics. We hypothesize that the economic environment, reflected by macroeconomic variables at the time of loan origination, should play a role in explaining loans’ future performance. Our dataset comprises two US-based platforms and one UK-based platform, which provides a rich field to verify our hypothesis with numerous loan-related variables. Specifically, we consider Lending Club with 1,169,976 individual loans and 128 variables, Prosper with 386,685 loans and 142 variables, and Zopa with 440,493 loans and 192 variables. Using linear and threshold regressions, we observe three main findings: (i) accounting for the macroeconomic environment systematically improves our understanding of the variation in the future performance of individual loans; (ii) demand-side variables, particularly the unemployment rate and industrial production, have stronger effects as supply-side and economic uncertainty variables; and (iii) the importance (effect size) of the macroeconomic environment is at least at the level of that of calendar and geographic variables but much smaller than the importance of loan or borrower characteristics. These results suggest that the economic environment might be useful in individual loan-level credit risk models.

Název v anglickém jazyce

Macroeconomic environment and the future performance of loans: Evidence from three peer-to-peer platforms

Popis výsledku anglicky

The literature on peer-to-peer loan market performance focuses predominantly on the microlevel variables connected to individual borrower or loan characteristics. We hypothesize that the economic environment, reflected by macroeconomic variables at the time of loan origination, should play a role in explaining loans’ future performance. Our dataset comprises two US-based platforms and one UK-based platform, which provides a rich field to verify our hypothesis with numerous loan-related variables. Specifically, we consider Lending Club with 1,169,976 individual loans and 128 variables, Prosper with 386,685 loans and 142 variables, and Zopa with 440,493 loans and 192 variables. Using linear and threshold regressions, we observe three main findings: (i) accounting for the macroeconomic environment systematically improves our understanding of the variation in the future performance of individual loans; (ii) demand-side variables, particularly the unemployment rate and industrial production, have stronger effects as supply-side and economic uncertainty variables; and (iii) the importance (effect size) of the macroeconomic environment is at least at the level of that of calendar and geographic variables but much smaller than the importance of loan or borrower characteristics. These results suggest that the economic environment might be useful in individual loan-level credit risk models.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GF22-35130K" target="_blank" >GF22-35130K: Modely úvěrového rizika na P2P trzích využívající teorie grafů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

ISSN

1057-5219

e-ISSN

1873-8079

Svazek periodika

95

Číslo periodika v rámci svazku

October

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

16

Strana od-do

1-16

Kód UT WoS článku

001267730500001

EID výsledku v databázi Scopus

2-s2.0-85197519001