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Wang, Jialan; Yang, Jeyul; Iverson, Benjamin; Kluender, … - 2020

We examine the impact of the COVID-19 economic crisis on business and consumer bankruptcies in the United States using real-time data on the universe of filings. Historically, bankruptcies have closely tracked the business cycle and contemporaneous unemployment rates. However, this relationship...

Persistent link: https://www.econbiz.de/10012511297

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

Bottom-up leading macroeconomic indicators : an application to non-financial corporate defaults using machine learning

Pike, Tyler; Sapriza, Horacio; Zimmermann, Tom - 2019

This paper constructs a leading macroeconomic indicator from microeconomic data using recent machine learning techniques. Using tree-based methods, we estimate probabilities of default for publicly traded non-financial firms in the United States. We then use the cross-section of out-of-sample...

Persistent link: https://www.econbiz.de/10012182392

Macroeconomic impact on expected default frequency

Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008

We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...

Persistent link: https://www.econbiz.de/10003618542

The COVID-19 insolvency gap : first-round effects of policy responses on SMEs

Dörr, Julian Oliver; Murmann, Simona; Licht, Georg - 2021

COVID-19 placed a special role to fiscal policy in rescuing companies short of liquidity from insolvency. In the first … focusing on firms’ pre-crisis financial standing, we estimate the extent to which the policy response induced an insolvency gap … measures being focused on smaller firms, we also examine whether this insolvency gap differs with respect to firm size. Based …

Persistent link: https://www.econbiz.de/10012434436

COVID-19 and SME failures

Gourinchas, Pierre-Olivier; Kalemli-Ozcan, Sebnem; … - 2020

We estimate the impact of the COVID-19 crisis on business failures among small and medium-size enterprises (SMEs) in seventeen countries using a large representative firm-level database. We use a simple model of firm cost minimization and measure each firm's liquidity shortfall during and after...

Persistent link: https://www.econbiz.de/10012392364

The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector

Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024

We analyse the impact of macroeconomic and monetary policy shocks on corporate credit risk as measured by firms' probabilities of default (PDs) for the four largest euro area countries. We estimate the impact of shocks on one-year PDs using local projections (LP). For the period 2014-19, we find...

Persistent link: https://www.econbiz.de/10014484468

Design, structure and implementation of a modern deposit insurance scheme

Bernet, Beat; Walter, Susanna - 2009

One of the important consequences to be drawn from the course of the financial crisis up to now is the insight that more attention must be paid in the future to the factors of liquidity, liquidity management and liquidity protection. That holds true for the protection of the stability of an...

Persistent link: https://www.econbiz.de/10011706099

Household balance sheets and economic crisis

Jakubík, Petr - 2011

financial system as well as for the macroeconomy. -- credit cycle ; households' distress ; insolvency ; household default …

Persistent link: https://www.econbiz.de/10009229365

The COVID-19 shock and equity shortfall : firm-level evidence from Italy

Carletti, Elena; Oliviero, Tommaso; Pagano, Marco; … - 2020

We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of about 10% of GDP, and 17% of sample firms, which employ 8.8% of the sample's...

Persistent link: https://www.econbiz.de/10012259870

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