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, Multi-period Logit model, Corporate bankruptcies, and Cycles/E.E3.E32 - Business Fluctuations • Cycles, 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, JEL: C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C41 - Duration Analysis • Optimal Timing Strategies, Financial fragility, Business Fluctuations, Macroeconomic shocks, 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., [SHS.ECO] Humanities and Social Sciences/Economics and Finance, jel: jel:C41, jel: jel:E32, jel: jel:D21, jel: jel:G33
330, Stress testing, Multi-period Logit model, Corporate bankruptcies, and Cycles/E.E3.E32 - Business Fluctuations • Cycles, 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, JEL: C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C41 - Duration Analysis • Optimal Timing Strategies, Financial fragility, Business Fluctuations, Macroeconomic shocks, 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., [SHS.ECO] Humanities and Social Sciences/Economics and Finance, jel: jel:C41, jel: jel:E32, jel: jel:D21, jel: jel:G33
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