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A dynamic analysis of household debt using a self-organizing map

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  • Hyun Hak Kim

    (Kookmin University)

Abstract

The Korean consumer credit panel offers a well-organized set of microdata representing various characteristics of individual borrowers. To overcome the difficulty of fragmented microdata details, we construct a cluster of Korean consumers’ credit, to develop a self-organizing map that visualizes individuals’ characteristics along two dimensions. The result of cluster analysis reveals that most borrowers belong to one large cluster representing diligent borrowers who honor their loan payments. Conversely, several small clusters that represent borrowers with high default probability are identified, and we also found that these borrowers’ characteristics vary. No significant change is found in the structure of the cluster, even when the aggregate amount of consumer credit is increased. Moreover, the expansionary monetary policy did not change the quantitative structure of household debt in Korea.

Suggested Citation

  • Hyun Hak Kim, 2022. "A dynamic analysis of household debt using a self-organizing map," Empirical Economics, Springer, vol. 62(6), pages 2893-2919, June.
    • Handle: RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02120-5
    DOI: 10.1007/s00181-021-02120-5
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    More about this item

    Keywords

    Household debt; Self-organizing map; Cluster analysis;
    All these keywords.

    JEL classification:

    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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