Macroeconomic Fluctuations and Corporate Financial Fragility
نویسندگان
چکیده
Using a large sample of accounting data for non nancial companies in France on the period 1990-2004, the paper studies the interactions between macroeconomic shocks and companies nancial fragility. We consider links in both directions, namely whether rmsbankruptcies are a¤ected by macroeconomic variables, and whether bankruptcies determine the business cycle. We estimate forecasting equations for rmsbankruptcy using Schumways (2001) approach and study the joint dynamics of defaults and macroeconomic variables. We provide evidence of signi cant "second round" e¤ects, with a persistent impact of the output gap on defaults and a feedback e¤ects of defaults on the output gap in a Panel-VAR framework. We illustrate how the model can be used for stress testing. Key words : nancial fragility, macroeconomic shocks, corporate bankruptcies, duration model, stress testing JEL : G33, E32, D21, C41
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