Table 11.
Description of variables
| Variable | Description of variable | Source |
|---|---|---|
| Dependent variables | ||
| DEFAULT | Current status of individual loan. Dummy variable equal to 1 if the loans is overdue, defaulted or buyback and 0 otherwise (current or repaid) | Mintos |
| Independent variables, pandemic indicator variables | ||
| PANDEM_DUM | Dummy variable equal to 1 for the dates later than March 11, 2020 (The date WHO declared COVID-19 as pandemic) and 0 otherwise | World Health Organization (2020) |
| DAILY_CASES | Number of reported daily cases of COVID-19 per million population in country i at time t (daily observations, log values) | World Health Organization (2020), Johns Hopkins University & Medicine (2020) |
| DAILY_DEATHS | Number of reported daily COVID-19 related deaths per million population in country i at time t (daily observations, log values) | World Health Organization (2020), Johns Hopkins University & Medicine (2020) |
| Independent variables, macroeconomic and country-specific variables | ||
| ESI | The EU Economic sentiment indicator (composite measure, average = 100, log values) | Full business and consumer survey results, European Commission https://ec.europa.eu/info/business-economy-euro/indicators-statistics/economic-databases/business-and-consumer-surveys_en |
| MARKET_VOL | Change in daily stock market index values of country i at time t (percentage points) | Yahoo.Finance, https://finance.yahoo.com/world-indices/ |
| AAR | Annualised agreed rate by credit and other institutions in country i at time t (monthly, percentage points | ECB Statistical Data Warehouse http://sdw.ecb.europa.eu/ |
| UNEMPL | Unemployment rate for each country (Monthly, seasonally adjusted, percentage points) | OECD (2020), Unemployment rate (indicator). https://doi.org/10.1787/b86d1fc8-en (Accessed on 14 June 2020) |
| Independent variables, loan-specific variables | ||
| EXT_SCHED | Dummy variable representing the restructuring of a loan. Equal to 1 if the original maturity date of the loan has been increased by more than 60 days, 0 otherwise | Mintos |
| COLLATERAL | Dummy variable representing the loan type in terms of a provision of collateral. Equal to 1 if the loan is collateralised, 0 otherwise | Mintos |
| INTEREST | Maximum interest rate accepted in the loan application (%, log values) | Mintos |
| LOAN_TERM | Duration of loan (in months, log values) | Mintos |
| AMOUNT | Value of individual loan (log values) | Mintos |
| RATING | ‘Mintos Rating’ issued by the rating model ranging between A+ (1) and D (7) | Mintos |
| LOANTYPE | The loan type: 1-Business Loan, 2-Car Loan, 3-Invoice Financing, 4-Pawnbroking Loan, 5- Personal Loan, 0-Other | Mintos |