Macroeconomic Fluctuations and Corporate Financial Fragility

46 Pages Posted: 16 Sep 2010 Last revised: 24 Apr 2012

See all articles by Catherine Bruneau

Catherine Bruneau

Université Paris X Nanterre; Université Paris I Panthéon-Sorbonne

Olivier de Bandt

Banque de France - Economic Study and Research Division

Widad El Amri

Banque de France

Date Written: December 1, 2011

Abstract

Using a large sample of accounting data for non financial companies in France on the period 1990-2004, the paper studies the interactions between macroeconomic shocks and companies financial fragility. We consider links in both directions, namely whether .rms. bankruptcies are affected by macroeconomic variables, and, conversely, whether bankruptcies determine the business cycle. We estimate forecasting equations for firms' bankruptcy using Schumway's (2001) approach and study the joint dynamics of defaults and macroeconomic variables, in order to measure the so-called "second round" effects. We illustrate how the model can be used for stress testing.

Keywords: Financial fragility, Macroeconomic Shocks, Corporate Bankruptcies, Duration model, Stress Testing

JEL Classification: G3, C33, E44

Suggested Citation

Bruneau, Catherine and de Bandt, Olivier and El Amri, Widad, Macroeconomic Fluctuations and Corporate Financial Fragility (December 1, 2011). Banque de France Working Paper No. NER-R 226, Available at SSRN: https://ssrn.com/abstract=1677956 or http://dx.doi.org/10.2139/ssrn.1677956

Catherine Bruneau (Contact Author)

Université Paris X Nanterre ( email )

Room G301, Building G
92001 Nanterre Cedex, 92001
France

Université Paris I Panthéon-Sorbonne ( email )

17, rue de la Sorbonne
Paris, IL 75005
France

Olivier De Bandt

Banque de France - Economic Study and Research Division ( email )

31, rue Croix des Petits Champs
75049 Paris Cedex 01
FRANCE
(33 1) 42 92 28 80 (Phone)
(33 1) 42 92 27 66 (Fax)

Widad El Amri

Banque de France ( email )

Paris
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
98
Abstract Views
1,023
Rank
486,005
PlumX Metrics