Analysis of adverse selection in the consumer debt market in Chile and counterfactual policy outcomes

These codes help to replicate the empirical analysis of the article “Adverse selection, loan access and default behavior in the Chilean consumer debt market”, Financial Innovation, 2022, forthcoming.

Why do households use different loan types? Which factors cause borrowers to default? Using a comprehensive survey dataset from Chile, I estimate a partial information model of consumer debt access, lender choice, loan amounts and default. The model consists of a first stage multinomial logit that explains the choice across 5 loan types, plus the options of no access to debt due to credit constraints and a no wish for consumer debt. At a second and third stages the model assumes a log-linear regression of the debt amount and a logit regression of the default behavior, accounting for the loan type selection probability. Identification is obtained by using factors measured at a different time periods for the default and the loan type choices.

本代码库旨在复现发表于《金融创新》2022年待刊发文章《智利消费者债务市场中逆向选择、贷款获取与违约行为》的实证分析。探究家庭为何选择不同的贷款类型？何种因素导致借款人违约？基于智利的一项全面调查数据集，本研究估算了一个消费者债务获取、贷款人选择、贷款金额及违约行为的部分信息模型。该模型包含一个第一阶段的多项Logit模型，用以解释跨越5种贷款类型的抉择，以及因信用约束而无法获取债务或不愿承担消费者债务的选项。在第二阶段和第三阶段，模型假定债务金额采用对数线性回归，违约行为采用Logit回归，并考虑贷款类型选择概率。通过使用在不同时间测量的违约和贷款类型选择因素，实现了模型的识别。