Competing risks models of Farm Service Agency seven‐year direct operating loans
Competing risks models of Farm Service Agency seven‐year direct operating loans
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农业服务机构七年期直接经营贷款的竞争风险模型
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
Sandra J. Hamm
中科院分区：
文献类型：
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作者：
B. Dixon;B. Ahrendsen;B. McFadden;Diana M. Danforth;Monica A. Foianini;Sandra J. Hamm
目的-本文的目的是应用持续时间的方法，一个样本的农场服务机构（FSA）的直接，七年的经营贷款，以确定这些变量的影响时间，贷款终止和终止类型。变量既包括贷款发放时已知的变量，也包括贷款期限内不断变化的经济环境的变量。此外，还检查FSA各种促进政策目标的计划的影响。设计/方法/方式-收集了877个七年期FSA直接贷款起源于1993年10月1日至1996年9月30日的系统样本。考克斯回归，竞争风险模型估计为借款人和贷款特征在贷款发放可观察的功能。强调农业经济的经济指标变量和在贷款期限内按季度观察的经济指标变量也被列为解释变量。结果-贷款特点，借款人的财务特征和程度的借款人与FSA的互动观察在原产地是重要的变量，在确定类型的贷款结果（违约或全额支付）和时间的结果。在贷款期限内，经济环境和农场经济发生了重大变化。研究限制/影响-样本仅包括金融服务管理局的直接贷款，这意味着借款人在财务利润。将该方法应用于传统商业贷款机构的农业贷款，可以识别出不同的重要因素。实际影响-使用贷款终止的时间长度，而不仅仅是类型的结果提供了一个更丰富的分析贷款业绩。随着时间的推移，贷款绩效受到整体经济的影响，应纳入贷款绩效建模。独创性/价值-在该文件中描述的研究演示了使用竞争风险模型的中间农业贷款和开发如何使用这种技术可以用来了解贷款绩效的动态方面。样本包括对个别FSA直接贷款借款人的观察。FSA直接贷款计划是农业借款人在金融边际的主要信贷来源。
Purpose - The purpose of this paper is to apply duration methods to a sample of Farm Service Agency (FSA) direct, seven-year operating loans to identify those variables that influence the time to loan termination and type of termination. Variables include both those known at time of loan origination and those that characterize the changing economic environment over the life of the loan. Also, to examine the impact of various FSA programs promoting policy objectives. Design/methodology/approach - A systematic sample of 877 seven-year, FSA direct loans originated between October 1, 1993 and September 30, 1996 was collected. Cox regression, competing risks models are estimated as a function of borrower and loan characteristics observable at loan origination. Economic indicator variables emphasizing the farm economy and observed quarterly over the life of the loan are also included as explanatory variables. Findings - Loan characteristics, borrower financial characteristics and degree of borrower interaction with FSA observable at origin are significant variables in determining type of loan outcome (default or paid-in-full) and time to outcome. Changes in the economic environment and farm economy during the life of the loan are significant. Research limitations/implications - The sample consists only of FSA direct loans which implies borrowers are at financial margin. Application of method to agricultural loans from conventional commercial lenders could identify different significant factors. Practical implications - Using length of time to loan termination instead of just type of outcome provides for a richer analysis of loan performance. Loan performance over time is influenced by the larger economy and should be incorporated into loan performance modeling. Originality/value - The study described in the paper demonstrates use of competing risks models on intermediate agricultural loans and develops how this technique can be used to learn about dynamic aspects of loan performance. Sample consists of observations on individual FSA direct loan borrowers. The FSA direct loan program is the major source of credit for agricultural borrowers at the financial margin.