{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,30]],"date-time":"2025-12-30T20:08:19Z","timestamp":1767125299331,"version":"3.41.2"},"reference-count":41,"publisher":"Emerald","issue":"3","license":[{"start":{"date-parts":[[2023,1,10]],"date-time":"2023-01-10T00:00:00Z","timestamp":1673308800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.emerald.com\/insight\/site-policies"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SEF"],"published-print":{"date-parts":[[2023,4,25]]},"abstract":"<jats:sec>\n<jats:title content-type=\"abstract-subheading\">Purpose<\/jats:title>\n<jats:p>This study aims to explain how delinquency shocks in one type of debt contaminate the others. That is, the authors aim to shed light on the time pattern of delinquencies in different debt types.<\/jats:p>\n<\/jats:sec>\n<jats:sec>\n<jats:title content-type=\"abstract-subheading\">Design\/methodology\/approach<\/jats:title>\n<jats:p>This study analyzes the interdependencies between mortgage, credit card and auto loans delinquency rates in the USA from 2003 to 2019, using a panel VAR-X, the panel Granger causality tests and the Geweke linear dependence measures. The authors also compute the impulse response functions of a shock to one kind of debt on the others and decompose the variance of the forecast errors.<\/jats:p>\n<\/jats:sec>\n<jats:sec>\n<jats:title content-type=\"abstract-subheading\">Findings<\/jats:title>\n<jats:p>The authors find a statistically significant bidirectional Granger causality between the delinquencies. The Geweke measures of linear dependence and the Dumitrescu and Hurlin Granger non-causality tests support that mortgage predominantly causes credit card and auto loan delinquencies. Auto loans also cause credit card delinquencies. The impulse response functions confirm this pattern. This scenario aligns with a sequence where debtors consider rational first to default on credit cards, second on auto loans and only on mortgages in the last instance. Indeed, credit card delinquencies Granger-cause delinquencies in other debts when it occurs.<\/jats:p>\n<\/jats:sec>\n<jats:sec>\n<jats:title content-type=\"abstract-subheading\">Originality\/value<\/jats:title>\n<jats:p>To the best of the authors\u2019 knowledge, this is the first study to focus on the temporal pattern of delinquency rates for all the US states, using panel data. Furthermore, the results call for policymakers to design regulations to break the transmission channel from debt delinquencies.<\/jats:p>\n<\/jats:sec>","DOI":"10.1108\/sef-08-2022-0405","type":"journal-article","created":{"date-parts":[[2023,1,6]],"date-time":"2023-01-06T07:49:56Z","timestamp":1672991396000},"page":"467-486","source":"Crossref","is-referenced-by-count":1,"title":["On the interdependencies between mortgage, credit card and auto loans delinquency rates: evidence from the US states plus the District of Columbia"],"prefix":"10.1108","volume":"40","author":[{"given":"Jos\u00e9 Alberto","family":"Fuinhas","sequence":"first","affiliation":[]},{"given":"Nuno","family":"Silva","sequence":"additional","affiliation":[]},{"given":"Joshua","family":"Duarte","sequence":"additional","affiliation":[]}],"member":"140","published-online":{"date-parts":[[2023,1,10]]},"reference":[{"issue":"3","key":"key2023042109205272500_ref001","doi-asserted-by":"publisher","first-page":"82","DOI":"10.1108\/ajb-03-2018-0006","article-title":"Loan delinquency and macroeconomic conditions","volume":"33","year":"2018","journal-title":"American Journal of Business"},{"issue":"1","key":"key2023042109205272500_ref002","doi-asserted-by":"publisher","first-page":"75","DOI":"10.1007\/bf02751591","article-title":"Determinants of credit card delinquency and bankruptcy: macroeconomic factors","volume":"27","year":"2003","journal-title":"Journal of Economics and Finance"},{"key":"key2023042109205272500_ref003","doi-asserted-by":"publisher","first-page":"193","DOI":"10.1016\/j.ememar.2017.05.006","article-title":"The impact of oil price movements on bank non-performing loans: global evidence from oil-exporting countries","volume":"31","year":"2017","journal-title":"Emerging Markets Review"},{"issue":"1","key":"key2023042109205272500_ref004","doi-asserted-by":"publisher","first-page":"97","DOI":"10.1002\/ijfe.1651","article-title":"Non-performing loans in the euro area: are core-periphery banking markets fragmented?","volume":"24","year":"2019","journal-title":"International Journal of Finance and Economics"},{"issue":"2\/3","key":"key2023042109205272500_ref005","doi-asserted-by":"publisher","first-page":"251","DOI":"10.1111\/jmcb.12001","article-title":"The changing pecking order of consumer defaults","volume":"45","year":"2013","journal-title":"Journal of Money, Credit and Banking"},{"issue":"1","key":"key2023042109205272500_ref006","doi-asserted-by":"publisher","first-page":"29","DOI":"10.1016\/0304-4076(94)01642-D","article-title":"Another look at the instrumental variable estimation of error-components models","volume":"68","year":"1995","journal-title":"Journal of Econometrics"},{"key":"key2023042109205272500_ref007","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-022-04523-8","article-title":"Volatility impacts on the European banking sector: GFC and COVID-19","year":"2022","journal-title":"Annals of Operations Research"},{"key":"key2023042109205272500_ref008","doi-asserted-by":"publisher","first-page":"104422","DOI":"10.1016\/j.eneco.2019.06.007","article-title":"Hedging stocks with oil","volume":"93","year":"2021","journal-title":"Energy Economics"},{"issue":"4","key":"key2023042109205272500_ref009","doi-asserted-by":"publisher","first-page":"563","DOI":"10.1016\/j.ijforecast.2013.04.003","article-title":"Forecasting and stress testing credit card default using dynamic models","volume":"29","year":"2013","journal-title":"International Journal of Forecasting"},{"volume-title":"Delinquent Debt Decisions and Their Consequences over Time","year":"2019","key":"key2023042109205272500_ref010"},{"key":"key2023042109205272500_ref011","unstructured":"Bureau of Economic Analysis \u2013 US Department of Commerce (2021), available at: www.bea.gov\/"},{"key":"key2023042109205272500_ref012","doi-asserted-by":"publisher","first-page":"672","DOI":"10.1016\/j.econmod.2013.01.027","article-title":"Macroeconomic determinants of the credit risk in the banking system: the case of the GIPSI","volume":"31","year":"2013","journal-title":"Economic Modelling"},{"issue":"2\/3","key":"key2023042109205272500_ref013","doi-asserted-by":"publisher","first-page":"393","DOI":"10.1111\/jmcb.12304","article-title":"Determinants of mortgage default and consumer credit use: the effects of foreclosure laws and foreclosure delays","volume":"48","year":"2016","journal-title":"Journal of Money, Credit and Banking"},{"issue":"4","key":"key2023042109205272500_ref014","doi-asserted-by":"publisher","first-page":"836","DOI":"10.1108\/SEF-08-2020-0342","article-title":"Systemic risk contagion within US states","volume":"38","year":"2021","journal-title":"Studies in Economics and Finance"},{"key":"key2023042109205272500_ref015","doi-asserted-by":"crossref","unstructured":"Cohen-Cole, E. and Morse, J. 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