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Global macro-financial shocks and expected default frequencies in the euro area
Castrén, Olli; Dées, Stéphane; Zaher, Fadi - 2008
Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and constructing a linking satellite equation for the firm-level...
Persistent link: https://www.econbiz.de/10011604921
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Limited Liability, Strategic Default and Bargaining Power
Balatti, Mirco; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on … liability plays a key role in agents' strategies. We then use Fannie Mae loan performance data to test the predictions of the … in regulation around the borders of States. As predicted by the model, we find that limited liability results in higher …
Persistent link: https://www.econbiz.de/10013243789
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Monetary Policy and the Financing of Firms
De Fiore, Fiorella - 2012
How should monetary policy respond to changes in financial conditions? In this paper we consider a simple model where firms are subject to idiosyncratic shocks which may force them to default on their debt. Firms' assets and liabilities are denominated in nominal terms and predetermined when...
Persistent link: https://www.econbiz.de/10013116576
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2012
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10011605490
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Credit Risk in General Equilibrium
Eichberger, Jürgen - 2012
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10013105310
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Bank-Firm Relationships and the Survival of Non-Financial Firms During the Financial Crisis 2008-2009
Abildgren, Kim - 2013
Utilising a unique data set with annual accounts from around 37,000 Danish non-financial firms spanning almost one and a half decade, we offer microeconometric evidence on bankfirm relationships and the survival of firms during the financial crisis 2008-9. Within the framework of...
Persistent link: https://www.econbiz.de/10013086885
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Debt Overhang, Rollover Risk, and Corporate Investment : Evidence from the European Crisis
Kalemli-Ozcan, Sebnem - 2019
We quantify the role of financial factors behind the sluggish post-crisis performance of European firms. We use a firm-bank-sovereign matched database to identify separate roles for firm and bank balance sheet weaknesses arising from changes in sovereign risk and aggregate demand conditions. We...
Persistent link: https://www.econbiz.de/10012892581
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The Real Effects of Credit Constraints : Evidence from Discouraged Borrowers in the Euro Area
Ferrando, Annalisa - 2015
This paper uses a new survey-based data set and a model with strong theoretical under-pinnings to explain the characteristics and behaviour of discouraged borrowers in the euro area. The results show that more borrowers are discouraged when the average interest rate charged by banks in a country...
Persistent link: https://www.econbiz.de/10013016941
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Assessing the Financial and Financing Conditions of Firms in Europe : The Financial Module in CompNet
Ferrando, Annalisa - 2015
This paper provides an encompassing description of the various indicators compiled in the financial module of CompNet using balance sheet information of European firms. We investigate whether and to which extent the heterogeneous financial positions of firms have affected firms' investment...
Persistent link: https://www.econbiz.de/10013018000
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Financial Constraints and Productivity : Evidence from Euro Area Companies
Ferrando, Annalisa - 2015
We study the relation between firms financial structure, access to external finance and labor productivity using a unique dataset of firm-level data for several euro area countries during the period 1995-2011. The empirical strategy is twofold. First we build a synthetic indicator of financial...
Persistent link: https://www.econbiz.de/10013019618