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

Financial Innovation

Table 8 COVID-19 risk and the likelihood of loan default: rating subsamples

Variables	DV = DEFAULT
Variables	(1)	(2)	(3)
Panel A: 'A' & 'A−' rated loans
PANDEMIC_ DUMMY	0.491*** (0.024)
DAILY_CASES		0.013*** (0.001)
DAILY_DEATHS			− 0.170*** (0.061)
Loan originator individual effects	Yes	Yes	Yes
Controls	Yes	Yes	Yes
LR chi2	6449.866	3820.249	3750.524
Prob > chi2	0.000	0.000	0.000
Pseudo-R-squared	0.158	0.194	0.190
N	181,696	86,761	86,761
Panel B: 'B+' & 'B' rated loans
PANDEMIC_DUMMY	0.078*** (0.009)
DAILY_CASES		0.003*** (0.000)
DAILY_DEATHS			0.029*** (0.001)
Loan originator individual effects	Yes	Yes	Yes
Controls	Yes	Yes	Yes
LR chi2	60,876.506	49,092.062	49,065.819
Prob > chi2	0.000	0.000	0.000
Pseudo-R-squared	0.178	0.187	0.187
N	351,415	297,125	297,125
Panel C: ‘B−’, ‘C+’ and ‘D’ rated loans
PANDEMIC_DUMMY	0.489*** (0.020)
DAILY_CASES		0.014*** (0.001)
DAILY_DEATHS			0.176*** (0.026)
Loan originator individual effects	Yes	Yes	Yes
Controls	Yes	Yes	Yes
LR chi2	15,205.346	6110.321	6001.120
Prob > chi2	0.000	0.000	0.000
Pseudo-R-squared	0.206	0.197	0.193
N	281,744	119,262	119,262

Table presents the results of regression analyses based on three panels (by loan ratings). Results are for logit regression analysis for the likelihood of loan default (DEFAULT). All model specifications employ robust standard errors in parentheses (*p < 0.10, **p < 0.05, ***p < 0.01)