Macroeconomic fluctuations and corporate financial fragility
Copyright policy )Macroeconomic fluctuations and corporate financial fragility
Using a large sample of accounting data for non financial companies in France on the period 1990-2004, the paper studies the interactions between macroeconomic shocks and companies financial fragility. We consider links in both directions, namely whether .rms. bankruptcies are affected by macroeconomic variables, and, conversely, whether bankruptcies determine the business cycle. We estimate forecasting equations for firms' bankruptcy using Schumway's (2001) approach and study the joint dynamics of defaults and macroeconomic variables, in order to measure the so-called "second round" effects. We illustrate how the model can be used for stress testing.
330, Stress testing, and Cycles/E.E3.E32 - Business Fluctuations • Cycles, Financial fragility, Business Fluctuations, Macroeconomic shocks, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, E.E3.E32 - Business Fluctuations • Cycles, D.D2.D21 - Firm Behavior: Theory, Multi-period Logit model, Corporate bankruptcies, G.G3.G33 - Bankruptcy • Liquidation, JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices, JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G33 - Bankruptcy • Liquidation, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Second round effects, C.C4.C41 - Duration Analysis • Optimal Timing Strategies, JEL: C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C41 - Duration Analysis • Optimal Timing Strategies, JEL: D - Microeconomics/D.D2 - Production and Organizations/D.D2.D21 - Firm Behavior: Theory, financial fragility, macroeconomic shocks, corporate bankruptcies, multi-period Logit model, stress testing, second round effects., jel: jel:C41, jel: jel:D21, jel: jel:E32, jel: jel:G33
330, Stress testing, and Cycles/E.E3.E32 - Business Fluctuations • Cycles, Financial fragility, Business Fluctuations, Macroeconomic shocks, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, E.E3.E32 - Business Fluctuations • Cycles, D.D2.D21 - Firm Behavior: Theory, Multi-period Logit model, Corporate bankruptcies, G.G3.G33 - Bankruptcy • Liquidation, JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices, JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G33 - Bankruptcy • Liquidation, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Second round effects, C.C4.C41 - Duration Analysis • Optimal Timing Strategies, JEL: C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C41 - Duration Analysis • Optimal Timing Strategies, JEL: D - Microeconomics/D.D2 - Production and Organizations/D.D2.D21 - Firm Behavior: Theory, financial fragility, macroeconomic shocks, corporate bankruptcies, multi-period Logit model, stress testing, second round effects., jel: jel:C41, jel: jel:D21, jel: jel:E32, jel: jel:G33
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).42 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!