Replication Data for: One Threshold Doesn’t Fit All: Tailoring Machine Learning Predictions of Consumer Default for Lower-Income Areas
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This replication package contains code and supplementary data for "One Threshold Doesn't Fit All: Tailoring Machine Learning Predictions of Consumer Default for Lower-Income Areas" (Meursault, Moulton, Santucci, & Schor, Journal of Policy Analysis and Management). The package includes scripts for data preparation for this research, machine learning model training, and threshold analysis, organized in three main directories. This package provides supplementary data including rolling window specifications, FIPS codes, and Community Reinvestment Act Low and Moderate Income area designations. The master script _00_run_all.R orchestrates the complete replication workflow. Note that certain variable names have been removed per contractual limitations on sharing data content or attributes. The data that support the findings of this study are from the Federal Reserve Bank of New York Consumer Credit Panel/Equifax data (CCP). Access to the CCP microdata is limited to Federal Reserve System researchers, and their coauthors, due to contractual limitations. Individual analyses also use the Federal Reserve Board’s Capital Assessments and Stress Testing (Y-14M) report and the HMDA-McDash-CRISM dataset: a combination of Home Mortgage Disclosure Act (HMDA) data, Black Knight McDash (McDash) data, and Equifax Credit Risk Insight Servicing data, that is linked to the McDash data (CRISM). Access to these datasets is also restricted.
本复现包包含论文《单一阈值不适用于所有场景：针对低收入区域定制消费者违约的机器学习预测模型》（作者Meursault、Moulton、Santucci与Schor，发表于《Journal of Policy Analysis and Management》）的代码与补充数据。本包涵盖本研究的数据预处理、机器学习模型训练及阈值分析相关脚本，分为三个主要目录。本包提供的补充数据包括滚动窗口设定、FIPS代码以及社区再投资法案（Community Reinvestment Act）划定的低/中等收入区域标识。主脚本_00_run_all.R用于统筹完整的复现工作流程。请注意，根据数据共享相关合同限制，部分变量名称已被移除。 本研究结果所依托的数据来自纽约联邦储备银行消费者信用面板/益百利（Equifax）数据（CCP）。由于合同限制，CCP微观数据仅对联邦储备系统研究人员及其合作作者开放获取。本研究的个体层面分析还使用了美联储资本评估与压力测试（Y-14M）报告数据，以及HMDA-McDash-CRISM数据集：该数据集整合了住房抵押贷款披露法案（HMDA）数据、黑骑士McDash数据与益百利信用风险洞察服务数据，是与McDash数据关联的CRISM数据集。上述数据集的访问权限均受到限制。
