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Table 11 Description of variables

From: COVID-19 pandemic risk and probability of loan default: evidence from marketplace lending market

Variable

Description of variable

Source

Dependent variables

DEFAULT

Current status of individual loan. Dummy variable equal to 1 if the loans is overdue, defaulted or buyback and 0 otherwise (current or repaid)

Mintos

Independent variables, pandemic indicator variables

PANDEM_DUM

Dummy variable equal to 1 for the dates later than March 11, 2020 (The date WHO declared COVID-19 as pandemic) and 0 otherwise

World Health Organization (2020)

DAILY_CASES

Number of reported daily cases of COVID-19 per million population in country i at time t (daily observations, log values)

World Health Organization (2020), Johns Hopkins University & Medicine (2020)

DAILY_DEATHS

Number of reported daily COVID-19 related deaths per million population in country i at time t (daily observations, log values)

World Health Organization (2020), Johns Hopkins University & Medicine (2020)

Independent variables, macroeconomic and country-specific variables

ESI

The EU Economic sentiment indicator (composite measure, average = 100, log values)

Full business and consumer survey results, European Commission https://ec.europa.eu/info/business-economy-euro/indicators-statistics/economic-databases/business-and-consumer-surveys_en

MARKET_VOL

Change in daily stock market index values of country i at time t (percentage points)

Yahoo.Finance, https://finance.yahoo.com/world-indices/

AAR

Annualised agreed rate by credit and other institutions in country i at time t (monthly, percentage points

ECB Statistical Data Warehouse http://sdw.ecb.europa.eu/

UNEMPL

Unemployment rate for each country (Monthly, seasonally adjusted, percentage points)

OECD (2020), Unemployment rate (indicator). https://doi.org/10.1787/b86d1fc8-en (Accessed on 14 June 2020)

Independent variables, loan-specific variables

EXT_SCHED

Dummy variable representing the restructuring of a loan. Equal to 1 if the original maturity date of the loan has been increased by more than 60 days, 0 otherwise

Mintos

COLLATERAL

Dummy variable representing the loan type in terms of a provision of collateral. Equal to 1 if the loan is collateralised, 0 otherwise

Mintos

INTEREST

Maximum interest rate accepted in the loan application (%, log values)

Mintos

LOAN_TERM

Duration of loan (in months, log values)

Mintos

AMOUNT

Value of individual loan (log values)

Mintos

RATING

‘Mintos Rating’ issued by the rating model ranging between A+ (1) and D (7)

Mintos

LOANTYPE

The loan type: 1-Business Loan, 2-Car Loan, 3-Invoice Financing, 4-Pawnbroking Loan, 5- Personal Loan, 0-Other

Mintos