An Empirical Analysis of Personal Bankruptcy and Delinquency

This paper uses a new panel data set of credit card accounts to analyze credit card delinquency, personal bankruptcy, and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates - a deterioration in the risk - composition of borrowers versus an increase in borrowers' willingness to default due to declines in default costs, including social, information, and legal costs. Even after controlling for risk-composition and other economic fundamentals, the propensity to default significantly increased between 1995 and 1997. By contrast, increases in credit limits and other changes in risk-composition explain only a small part of the change in default rates. Standard default models appear to have missed an important time-varying default factor, consistent with a decline in default costs.

An Empirical Analysis of Personal Bankruptcy and Delinquency

This paper uses a unique new panel data set of credit card accounts to analyze credit card delinquency and more generally personal bankruptcy and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates – a deterioration in the risk-composition of borrowers versus a reduction in the social stigma of default. Even after controlling for risk-composition and other economic fundamentals, the propensity to default significantly increased between 1995 and 1997. By contrast, increases in credit limits and other changes in risk-composition explain only a small part of the change in default rates. Standard default models appear to have missed an important time-varying default factor, consistent with the stigma effect.Personal bankruptcy; Forecasting default; Credit risk management; Consumer credit; Credit cards

Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data

This paper utilizes a unique new dataset of credit card accounts to analyze how people respond to changes in credit supply. The data consist of a panel of thousands of individual credit card accounts from several different card issuers, with associated credit bureau data. We estimate both marginal propensities to consume (MPCs) out of liquidity and interest-rate elasticities. We also evaluate the ability of different models of consumption to rationalize our results, distinguishing the Permanent-Income Hypothesis (PIH), liquidity constraints, precautionary saving, and behavioral models. We find that increases in credit limits generate an immediate and significant rise in debt, counter to the PIH. The average 'MPC out of liquidity' (dDebt/dLimit) ranges between 10%-14%. The MPC is much larger for people starting near their limits, consistent with binding liquidity constraints. However, the MPC is significant even for people starting well below their limit. We show this response is consistent with buffer-stock models of precautionary saving. Nonetheless there are other results that conventional models cannot easily explain, e.g. why so many people are borrowing on their credit cards, and simultaneously holding low yielding assets. Unlike most other studies, we also find strong effects from changes in account-specific interest rates. The long-run elasticity of debt to the interest rate is approximately -1.3. Less than half of this elasticity represents balance-shifting across cards, with most reflecting net changes in total borrowing. The elasticity is larger for decreases in interest rates than for increases, which can explain the widespread use of temporary promotional rates. The elasticity is smaller for people starting near their credit limits, again consistent with liquidity constraints.

The O(n)O(n) model on a random surface: critical points and large order behaviour

In this article we report a preliminary investigation of the large $N$ limit of a generalized one-matrix model which represents an $O(n)$ symmetric model on a random lattice. The model on a regular lattice is known to be critical only for $-2\le n\le 2$. This is the situation we shall discuss also here, using steepest descent. We first determine the critical and multicritical points, recovering in particular results previously obtained by Kostov. We then calculate the scaling behaviour in the critical region when the cosmological constant is close to its critical value. Like for the multi-matrix models, all critical points can be classified in terms of two relatively prime integers $p,q$. In the parametrization $p=(2m+1)q \pm l$, $m,l$ integers such that $0<l<q$, the string susceptibility exponent is found to be $\gamma_{\rm string}=-2l/(p+q-l)$. When $l=1$ we find that all results agree with those of the corresponding $(p,q)$ string models, otherwise they are different.\par We finally explain how to derive the large order behaviour of the corresponding topological expansion in the double scaling limit.Comment: 33 page

Action Duality: A Constructive Principle for Quantum Foundations

An analysis of the path-integral approach to quantum theory motivates the hypothesis that two experiments with the same classical action should have dual ontological descriptions. If correct, this hypothesis would not only constrain realistic interpretations of quantum theory, but would also act as a constructive principle, allowing any realistic model of one experiment to generate a corresponding model for its action-dual. Two pairs of action-dual experiments are presented, including one experiment that violates the Bell inequality and yet is action-dual to a single particle. The implications generally support retrodictive and retrocausal interpretations.Comment: 24 pages, 5 figure

Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence From Credit Card Data

This paper utilizes a unique data set of credit card accounts to analyze how people respond to credit supply. Increases in credit limits generate an immediate and significant rise in debt, counter to the Permanent-Income Hypothesis. The “MPC out of liquidity” is largest for people starting near their limit, consistent with binding liquidity constraints. However, the MPC is significant even for people starting well below their limit, consistent with precautionary models. Nonetheless, there are other results that conventional models cannot easily explain, for example, why so many people are borrowing on their credit cards, and simultaneously holding low yielding assets. The long-run elasticity of debt to the interest rate is approximately -1.3, less than half of which represents balance-shifting across cards

An Empirical Analysis of Personal Bankruptcy and Delinquency

This article uses a new dataset of credit card accounts to analyze credit card delinquency, personal bankruptcy, and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates—a deterioration in the risk composition of borrowers versus an increase in borrowers’ willingness to default due to declines in default costs. Even after controlling for risk composition and economic fundamentals, the propensity to default significantly increased between 1995 and 1997. Standard default models missed an important time-varying default factor, consistent with a decline in default costs

Gravitational effects in ultrahigh-energy string scattering

Ultrahigh-energy string scattering is investigated to clarify the relative role of string and gravitational effects, and their possible contributions to nonlocal behavior. Different regimes can be characterized by varying the impact parameter at fixed energy. In the regime where momentum transfers reach the string scale, string effects appear subdominant to higher-loop gravitational processes, approximated via the eikonal. At smaller impact parameters, "diffractive" or "tidal" string excitation leads to processes dominated by highly excited strings. However, new evidence is presented that these excitation effects do not play a direct role in black hole formation, which corresponds to breakdown of gravitational perturbation theory and appears to dominate at sufficiently small impact parameters. The estimated amplitudes violate expected bounds on high-energy behavior for local theories.Comment: 19 pages, harvmac. v2: fixed typos, added refs and discussion of longitudinal spread. v3: minor changes to agree with published versio

Microcanonical entropy inflection points: Key to systematic understanding of transitions in finite systems

We introduce a systematic classification method for the analogs of phase transitions in finite systems. This completely general analysis, which is applicable to any physical system and extends towards the thermodynamic limit, is based on the microcanonical entropy and its energetic derivative, the inverse caloric temperature. Inflection points of this quantity signal cooperative activity and thus serve as distinct indicators of transitions. We demonstrate the power of this method through application to the long-standing problem of liquid-solid transitions in elastic, flexible homopolymers.Comment: 4 pages, 3 figure

The XY Model on a Dynamical Random Lattice

We study the XY model on a lattice with fluctuating connectivity. The expectation is that at an appropriate critical point such a system corresponds to a compactified boson coupled to 2d quantum gravity. Our simulations focus, in particular, on the important topological features of the system. The results lend strong support to the two phase structure predicted on the basis of analytical calculations. A careful finite size scaling analysis yields estimates for the critical exponents in the low temperature phase.Comment: 19 pages 11 figures, ILL-(TH)-93-