摘要：Various commentators have argued that credit delinquency behaviour amongst US consumers has increased in recent years with potentially major impacts on the economy. In this paper we model aggregate delinquency behaviour for consumer credit, (including credit card loans and other consumer loans) and for residential real estate loans. We test for cointegrating relationships and then estimate short run error correction models. We find evidence of long run relationships to explain the volume of delinquent consumer, default rates for credit cards, for other consumer loans and for residential real estate loans. The results support the catastrophic shock to income and expenditure hypotheses of default but not the strategic default hypothesis in the case of real estate loans. We also found that the error correction model gave comparably accurate forecasts of the volume of delinquent consumer debt to an ARIMA model.
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