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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Sveriges Riksbank Working Paper Series No. 226
Verlag: 
Sveriges Riksbank, Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
default
default-risk model
business cycles
aggregate fluctuations
microdata
logit
firm-specific variables
macroeconomic variables
JEL: 
C35
C41
C52
E44
G21
G33
Dokumentart: 
Working Paper
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