English, Article, Journal or magazine article edition: Firm default and aggregate fluctuations Tor Jacobson; Rikard Kindell; Jesper Linde; ...

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Bookmark: http://trove.nla.gov.au/version/75102
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Firm default and aggregate fluctuations
Author
  • Tor Jacobson
  • Rikard Kindell
  • Jesper Linde
  • Kasper Roszbach
Physical Description
  • preprint
Notes
  • 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.
  • Business failures
  • RePEc:fip:fedpwp:08-21
Language
  • English
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