Firm default and aggregate fluctuations

Arbeitspapier

This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we find strong evidence for a substantial and stable impact of aggregate fluctuations. Macroeffects differ across industries in an economically intuitive way. Out-of-sample evaluations show our approach is superior to both models that exclude macro information and best fitting naive forecasting models. While firm-specific factors are useful in ranking firms' relative riskiness, macroeconomic factors capture fluctuations in the absolute risk level.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Sveriges Riksbank Working Paper Series ; No. 226

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions ; Duration Analysis; Optimal Timing Strategies ; Model Evaluation, Validation, and Selection ; Financial Markets and the Macroeconomy ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Bankruptcy; Liquidation
• Subject: default ; default-risk model ; business cycles ; aggregate fluctuations ; microdata ; logit ; firm-specific variables ; macroeconomic variables ; Konjunktur ; Betriebliche Liquidität ; Insolvenz ; Schweden

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jacobson, Tor ; Kindell, Rikard ; Lindé, Jesper ; Roszbach, Kasper
• Event: Veröffentlichung
• (who): Sveriges Riksbank
• (where): Stockholm
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/81924
• Last update: 10.03.2025, 11:42 AM CET