Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81924
Authors: 
Jacobson, Tor
Kindell, Rikard
Lindé, Jesper
Roszbach, Kasper
Year of Publication: 
2008
Series/Report no.: 
Sveriges Riksbank Working Paper Series 226
Abstract: 
This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we find strong evidence for a substantial and stable impact of aggregate fluctuations. Macroeffects differ across industries in an economically intuitive way. Out-of-sample evaluations show our approach is superior to both models that exclude macro information and best fitting naive forecasting models. While firm-specific factors are useful in ranking firms' relative riskiness, macroeconomic factors capture fluctuations in the absolute risk level.
Subjects: 
default
default-risk model
business cycles
aggregate fluctuations
microdata
logit
firm-specific variables
macroeconomic variables
JEL: 
C35
C41
C52
E44
G21
G33
Document Type: 
Working Paper

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