 Intersectoral default contagion: A multivariate Poisson autoregression analysisAna Escribano and Mario Maggi Economic Modelling, 2019, vol. 82, issue C, 376-400 Abstract: This paper analyzes credit rating default dependencies in a multisectoral framework. Using Mergent's FISD database, we study the default series in the U.S. over the last two decades, disaggregating defaults by industry-sector group. During this period, two main waves of default occurred: the implosion of the “dot-com” bubble and the global financial crisis. We estimate a Multivariate Autoregressive Conditional Poisson model according to the biweekly number of defaults that occurred in different sectors of the economy from 1996 to 2015. We discuss the contagion effect between sectors in two ways: the degree of transmission of the probability of default from one sector to another, i.e., the “infectivity” of the sector, and the degree of contagion of one sector from another, i.e., the “vulnerability” of the sector. Our results show differences between the sectors' relations during the first and second part of our sample. We add some exogenous variables to the analysis and evaluate their contribution to the goodness of fit. Keywords: Default contagion; Financial crises; Poisson autoregressive process; Intensity estimation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:82:y:2019:i:c:p:376-400 DOI: 10.1016/j.econmod.2019.01.020 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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