Estimating the Bankruptcy Probability of Manufacturing Companies Considering Macroeconomic Conditions

Оценка вероятности банкротства компаний обрабатывающей промышленности с учетом макроэкономической конъюнктуры

Olga A. Bekirova and Andrey V. Zubarev
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Olga A. Bekirova: Russian Presidential Academy of National Economy and Public Administration
Andrey V. Zubarev: Russian Presidential Academy of National Economy and Public Administration

Russian Economic Development, 2022, issue 12, 18-27

Abstract: The article presents the results of an econometric estimation of probabilistic default models on a sample of medium-sized manufacturing companies in Russia for the period from 2012 to 2020. Characteristics of the macroeconomic environment were included in the models. According to the results, the inclusion of the real effective exchange rate, the real key interest rate and the price of Brent oil in real terms increases the predictive power of the model. Using the estimators of the models with macroeconomic factors the effect of the moratorium on bankruptcy introduced during the coronavirus pandemic was assessed. The article was written on the basis of the RANEPA state assignment research programme.

Keywords: bankruptcy; moratorium on bankruptcy; Russian companies; probabilistic models; logistic regression; macroeconomic factors (search for similar items in EconPapers)
JEL-codes: C25 C51 G32 G33 G34 L60 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:gai:recdev:r22101

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