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

dc.contributor.authorSheng, Xin
dc.contributor.authorGupta, Rangan
dc.contributor.authorJi, Qiang
dc.date.accessioned2021-04-22T05:37:15Z
dc.date.issued2022
dc.description.abstractBased 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.departmentEconomicsen_ZA
dc.description.embargo2022-09-09
dc.description.librarianhj2021en_ZA
dc.description.sponsorshipThe National Natural Science Foundation of Chinaen_ZA
dc.description.urihttp://www.tandfonline.com/loi/rael20en_ZA
dc.identifier.citationXin 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.issn1350-4851 (print)
dc.identifier.issn1466-4291 (online)
dc.identifier.other10.1080/13504851.2021.1898532
dc.identifier.urihttp://hdl.handle.net/2263/79556
dc.language.isoenen_ZA
dc.publisherRoutledgeen_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.subjectTobit modelen_ZA
dc.subjectUncertaintyen_ZA
dc.subjectForecastingen_ZA
dc.subjectLoan charge-offsen_ZA
dc.subjectPanel dataen_ZA
dc.subjectResidential real estate (RRE)en_ZA
dc.subjectCredit carden_ZA
dc.subjectCommercial banksen_ZA
dc.titleForecasting charge-off rates with a panel Tobit model : the role of uncertaintyen_ZA
dc.typePostprint Articleen_ZA

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