Macroeconomic determinants of loan defaults: evidence from the U.S. peer-to-peer lending market

Nigmonov, Asror and Shams, Syed and Alam, Khorshed ORCID: https://orcid.org/0000-0003-2232-0745 (2022) Macroeconomic determinants of loan defaults: evidence from the U.S. peer-to-peer lending market. Research in International Business and Finance, 59:101516. pp. 1-13. ISSN 0275-5319


Abstract

The study documented in this paper utilises a probit regression analysis to empirically investigate the key macroeconomic factors that influence default risk in the peer-to-peer (P2P) lending market. By aggregating the United States (U.S.) state-level data with LendingClub's loan book covering the period from 2008 to 2019, this study examines multiple factors related to default risks of loans issued by P2P lending platforms. Our results show that a higher interest rate and inflation increase the probability of default in the P2P lending market. We also find that the impact of interest rate on the probability of default is significantly higher for loans with lower ratings. By paving the way to future market best practices, the study's outcomes apply to P2P lending platforms and investors in their default estimation of loans.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to Published version in accordance with the copyright policy of the publisher.
Faculty/School / Institute/Centre: Current - Faculty of Business, Education, Law and Arts - School of Business (18 Jan 2021 -)
Faculty/School / Institute/Centre: Current - Institute for Resilient Regions - Centre for Health Research (1 Apr 2020 -)
Date Deposited: 31 Aug 2021 23:40
Last Modified: 29 Sep 2021 05:27
Uncontrolled Keywords: crowdfunding; default; marketplace lending; peer-to-peer lending; United States
Fields of Research (2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1403 Econometrics > 140304 Panel Data Analysis
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Fields of Research (2020): 38 ECONOMICS > 3801 Applied economics > 380112 Macroeconomics (incl. monetary and fiscal theory)
38 ECONOMICS > 3802 Econometrics > 380204 Panel data analysis
38 ECONOMICS > 3801 Applied economics > 380107 Financial economics
Socio-Economic Objectives (2008): B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900199 Financial Services not elsewhere classified
E Expanding Knowledge > 97 Expanding Knowledge > 970110 Expanding Knowledge in Technology
B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910199 Macroeconomics not elsewhere classified
Socio-Economic Objectives (2020): 11 COMMERCIAL SERVICES AND TOURISM > 1102 Financial services > 110299 Financial services not elsewhere classified
15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150203 Economic growth
28 EXPANDING KNOWLEDGE > 2801 Expanding knowledge > 280108 Expanding knowledge in economics
Identification Number or DOI: https://doi.org/10.1016/j.ribaf.2021.101516
URI: http://eprints.usq.edu.au/id/eprint/43467

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