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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
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