Macroeconomic Fluctuations and Corporate Financial Fragility

Autor: O. de Bandt, Catherine Bruneau, W. El Amri
Přispěvatelé: Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Centre de recherche de la Banque de France, Banque de France
Rok vydání: 2008
Předmět:
Macroeconomics
JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices
Business Fluctuations
and Cycles/E.E3.E32 - Business Fluctuations • Cycles
jel:C41
Stress testing
Financial fragility
jel:D21
Macroeconomic shocks
0502 economics and business
Economics
Business cycle
050207 economics
050208 finance
05 social sciences
Corporate bankruptcies
Multi-period Logit model
jel:E32
JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G33 - Bankruptcy • Liquidation
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Second round effects
JEL: C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C41 - Duration Analysis • Optimal Timing Strategies
Large sample
jel:G33
Output gap
Bankruptcy
JEL: D - Microeconomics/D.D2 - Production and Organizations/D.D2.D21 - Firm Behavior: Theory
8. Economic growth
financial fragility
macroeconomic shocks
corporate bankruptcies
multi-period Logit model
stress testing
second round effects
General Economics
Econometrics and Finance
Finance
Zdroj: Journal of Financial Stability
Journal of Financial Stability, Elsevier, 2012, 8 (4), pp.219-235. ⟨10.1016/j.jfs.2012.02.002⟩
ISSN: 1572-3089
DOI: 10.1016/j.jfs.2012.02.002⟩
Popis: International audience; Using a large sample of accounting data for non-financial companies in France, this paper studies the interactions between macroeconomic shocks and companies' financial fragility. We consider links in both directions, namely whether firms' bankruptcies are affected by macroeconomic variables, and whether bankruptcies determine the business cycle. We estimate forecasting equations for firms' bankruptcy using Shumway's (2001) approach and study the joint dynamics of bankruptcies and macroeconomic variables within an exogenous VAR type model estimated at the sector level. We find evidence of reciprocal links between the bankruptcy rate and the output gap and highlight significant "second round effects" of shocks to the output gap on bankruptcies. We show how taking into account the dynamic transmission of macroeconomic shocks matters in stress testing exercises.
Databáze: OpenAIRE
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