Economics at your fingertips  

Macroeconomic Modelling of a Firm's Default

Michal Řičař

Acta Oeconomica Pragensia, 2014, vol. 2014, issue 1, 27-40

Abstract: Enormous development of firm valuation from many aspects can be seen in the recent period. One of the main fields is scoring, which provides a probability verdict about the future development of a firm: its probability of default. This article focuses on introducing macroeconomic modelling using VEC models to predict the future level of default in the Czech economy. Our results have proven a general connection between corporate defaults and the macroeconomic condition of the economy, which is going through a convergence process. The specific findings are new and have not been observed yet. A connection between the GDP and defaults revealed a positive relationship, which is probably a consequence of the convergence process, a development of the economy in many new fields. We have also found a long-term equilibrium among unemployment, loans, price of oil and defaults. We have revealed a higher level of defaults can be expected in 2013, which is connected with the economic contraction in the prediction period.

Keywords: scoring; econometric modelling; VEC; corporate default (search for similar items in EconPapers)
JEL-codes: C32 C53 E17 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (text/html) (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
Redakce Acta Oeconomica Pragensia, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3

Access Statistics for this article

Acta Oeconomica Pragensia is currently edited by Klára Šimůnková

More articles in Acta Oeconomica Pragensia from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().

Page updated 2020-10-05
Handle: RePEc:prg:jnlaop:v:2014:y:2014:i:1:id:424:p:27-40