TY  - JOUR
AU  - Gan,Li
AU  - Mosquera,Roberto
TI  - An Empirical Study of the Credit Market with Unobserved Consumer Typers
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13873
PY  - 2008
Y2  - March 2008
UR  - http://www.nber.org/papers/w13873
L1  - http://www.nber.org/papers/w13873.pdf
N1  - Author contact info:
Li Gan
Department of Economics
Texas A&M University
College Station, TX 77843-4228
Tel: 979/862-1667
Fax: 979/847-8747
E-Mail: gan@econmail.tamu.edu

Roberto M. Mosquera
Department of Economics
Texas A&M University
College Station, TX 77843-4228
E-Mail: rmosquera@tamu.edu
AB  - This paper proposes an econometric model to identify unobserved consumer types in the credit market. Consumers choose different amounts of loan because of differences in their time or risk preferences (types). Thus, the unconditional probability of default is modeled using a mixture density combining a type-conditioning default variable with a type-determining random variable. The model is estimated using individual-level consumer credit card information. The parameter estimates and statistical tests support this kind of specification. Furthermore, the model produces better out-of-sample predictions on the probability of default than traditional models; hence, it provides evidence of the existence of types in the consumer credit market.
ER  -