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dc.contributor.author | Sheng, Xin![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Ji, Qiang![]() |
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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 |