Introduction

This repository is intended as an online supplement to the manuscript, On the convergence of credit risk in current consumer automobile loans. A recent public version of the manuscript may be found on arXiv or SSRN. Please attribute any citations of this repository to the original manuscript.

This repository includes:

• clean_data The filtered loan data summarized in the Data section of the companion manuscript. It is used for all empirical results. Also includes simulation inputs.

• code Replication code files. To replicate the data processing, use 'data_processing.R'. To move directly to reproducing the manuscript results, use 'data_analysis.R'. The loan savings calculations are performed in 'refi_svgs.xlsx'.

• raw_data These are the raw ABS data files, which have been scraped from EDGAR.

Workflow

There are two options. A user may start with the raw data and process the data into the clean data ('data_processing.R'). This will create a new folder 'processed_data', which will match the 'clean_data' folder. Alternatively, a user may start directly with the clean data and produce the manuscript results ('data_analysis.R'). These results, including figures, will be produced in a new folder, 'results'.

Links

• Repo

• arXiv

• SSRN

Screenshots

Built With

• R
• Excel
• python (ABS data scraping, not included)

Lead, Corresponding Author

Jackson P. Lautier

• Website

Complete Authors

Vladimir Pozdnyakov

• Website

Jun Yan

• Website