Firm default and aggregate fluctuations

Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach (kasper.roszbach@norges-bank.no)

No 08-21, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: 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.

Keywords: Business; failures (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-mac and nep-rmg
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: FIRM DEFAULT AND AGGREGATE FLUCTUATIONS (2013)
Working Paper: Firm default and aggregate fluctuations (2011)
Working Paper: Firm Default and Aggregate Fluctuations (2008)
Working Paper: Firm Default and Aggregate Fluctuations (2008)
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