Table 5 COVID-19 risk and the likelihood of loan default
From: COVID-19 pandemic risk and probability of loan default: evidence from marketplace lending market
Variables | DV = DEFAULT | DV = DEFAULT | DV = DEFAULT |
|---|---|---|---|
(1) | (2) | (3) | |
PANDEMIC_DUMMY | 0.533*** (0.006) | ||
DAILY_CASES | 0.004*** (0.000) | ||
DAILY_DEATHS | 0.037*** (0.001) | ||
MARKET_VOL | 0.002 (0.002) | 0.001 (0.003) | 0.002 (0.003) |
ESI | 0.031*** (0.000) | 0.029*** (0.000) | 0.030*** (0.000) |
AAR | − 0.088*** (0.001) | − 0.086*** (0.001) | − 0.094*** (0.001) |
UNEMPL | − 0.046*** (0.001) | − 0.026*** (0.001) | − 0.027*** (0.001) |
COLLATERAL | − 1.342*** (0.359) | − 1.132*** (0.439) | − 1.125** (0.439) |
EXT_SCHED | 0.636*** (0.006) | 0.726*** (0.008) | 0.729*** (0.008) |
INTEREST | − 0.897*** (0.012) | 0.264*** (0.015) | 0.352*** (0.015) |
LOANTERM | − 0.093*** (0.003) | − 0.087*** (0.004) | − 0.083*** (0.004) |
AMOUNT | 0.192*** (0.002) | 0.225*** (0.003) | 0.226*** (0.003) |
LOAN TYPE | |||
Business loan | 0.670** (0.277) | 1.342*** (0.373) | 1.345*** (0.374) |
Car loan | 1.399*** (0.369) | 1.547*** (0.470) | 1.540*** (0.471) |
Pawnbroking loan | 1.694*** (0.367) | 2.256*** (0.469) | 2.267*** (0.470) |
Personal loan | 1.239*** (0.111) | 1.551*** (0.175) | 1.537*** (0.176) |
Short-term loan | 0.953*** (0.110) | 1.102*** (0.175) | 1.093*** (0.176) |
Intercept | − 2.468*** (0.386) | − 5.883*** (0.479) | − 6.070*** (0.480) |
Loan originator individual effects | Yes | Yes | Yes |
LR chi2 | 68,062.632 | 59,563.239 | 58,885.153 |
Prob > chi2 | 0.000 | 0.000 | 0.000 |
Pseudo-R-squared | 0.131 | 0.175 | 0.173 |
N | 814,872 | 503,167 | 503,167 |