Forecasting charge-off rates with a panel Tobit model : the role of uncertainty

Sheng, Xin; Gupta, Rangan; Ji, Qiang

Please be advised that the site will be down for maintenance on Sunday, September 1, 2024, from 08:00 to 18:00, and again on Monday, September 2, 2024, from 08:00 to 09:00. We apologize for any inconvenience this may cause.

Show simple item record

dc.contributor.author	Sheng, Xin
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Ji, Qiang
dc.date.accessioned	2021-04-22T05:37:15Z
dc.date.issued	2022
dc.description.abstract	Based on a large panel dataset of small commercial banks in the United States, this paper employs a dynamic panel Tobit model to analyse the role of uncertainty in forecasting charge-off rates on loans for credit card (CC) and residential real estate (RRE). When compared to other standard predictors, such as house prices and unemployment rates, we find that the effect of uncertainty changes on charge-off rates is more pronounced. Furthermore, it is evident that including heteroscedasticity in the model specification leads to more accurate forecasts.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2022-09-09
dc.description.librarian	hj2021	en_ZA
dc.description.sponsorship	The National Natural Science Foundation of China	en_ZA
dc.description.uri	http://www.tandfonline.com/loi/rael20	en_ZA
dc.identifier.citation	Xin Sheng, Rangan Gupta & Qiang Ji (2022) Forecasting charge-off rates with a panel Tobit model: the role of uncertainty, Applied Economics Letters, 29:10, 927-931, DOI: 10.1080/13504851.2021.1898532.	en_ZA
dc.identifier.issn	1350-4851 (print)
dc.identifier.issn	1466-4291 (online)
dc.identifier.other	10.1080/13504851.2021.1898532
dc.identifier.uri	http://hdl.handle.net/2263/79556
dc.language.iso	en	en_ZA
dc.publisher	Routledge	en_ZA
dc.rights	© 2021 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 29, no. 10, pp. 927-931, 2022. doi : 10.1080/13504851.2021.1898532. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.	en_ZA
dc.subject	Tobit model	en_ZA
dc.subject	Uncertainty	en_ZA
dc.subject	Forecasting	en_ZA
dc.subject	Loan charge-offs	en_ZA
dc.subject	Panel data	en_ZA
dc.subject	Residential real estate (RRE)	en_ZA
dc.subject	Credit card	en_ZA
dc.subject	Commercial banks	en_ZA
dc.title	Forecasting charge-off rates with a panel Tobit model : the role of uncertainty	en_ZA
dc.type	Postprint Article	en_ZA