| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7103 |
| DP7103 International Trade Integration: A Disaggregated Approach | |
| Natalie Chen; Dennis Novy | |
| 发表日期 | 2008-12-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | 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 multiperiod 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. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Default Default-risk model Logit model Macroeconomic variables Micro-data |
| URL | https://cepr.org/publications/dp7103 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535940 |
| 推荐引用方式 GB/T 7714 | Natalie Chen,Dennis Novy. DP7103 International Trade Integration: A Disaggregated Approach. 2008. |
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