Firm Default and Aggregate Fluctuations

Tor Jacobson (), Rikard Kindell (), Jesper Lindé and Kasper Roszbach ()
Additional contact information
Tor Jacobson: Research Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Rikard Kindell: Svenska Handelsbanken, Postal: 106 70 Stockholm

No 226, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

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: Default; default-risk model; business cycles; aggregate fluctuations; microdata; logit; firm-specific variables; macroeconomic variables (search for similar items in EconPapers)
JEL-codes: C35 C41 C52 E44 G21 G33 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2008-09-01
New Economics Papers: this item is included in nep-ban, nep-bec, nep-mac and nep-rmg
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Citations: View citations in EconPapers (8)

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http://www.riksbank.com/upload/Dokument_riksbank/K ... apers/2008/wp226.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0226

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