Arbeitspapier
Global macro-financial shocks and expected default frequencies in the euro area
Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs), we show how to analyse the euro area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks. The results show that, at the euro area aggregate level, the median EDFs react most to shocks to the GDP, exchange rate, oil prices and equity prices. There are some intuitive variations to these results when sector-level EDFs are considered. Overall, the Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for financial sector stress-testing purposes.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 875
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Bankruptcy; Liquidation
- Subject
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corporate default probability
Credit risk
Global VAR
macro stress testing
Unternehmensfinanzierung
Multinationales Unternehmen
Wirkungsanalyse
Globalisierung
Schock
Insolvenz
VAR-Modell
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Castrén, Olli
Dées, Stéphane
Zaher, Fadi
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Castrén, Olli
- Dées, Stéphane
- Zaher, Fadi
- European Central Bank (ECB)
Time of origin
- 2008
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