FIRM DEFAULT AND AGGREGATE FLUCTUATIONS
利用1990-2009年瑞典全部企业的面板数据，研究发现总体波动对企业违约有显著且稳定的影响，加入宏观因素的logit模型能很好解释银行危机期间的违约激增，且宏观效应在不同行业存在差异。
This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. By using a panel data set for virtually all incorporated Swedish businesses over 1990-2009, a period which includes a full-scale banking crisis, we find strong evidence for a substantial and stable impact from aggregate fluctuations on business defaults. A standard logit model with financial ratios augmented with macroeconomic factors can account surprisingly well for the outburst in business defaults during the banking crisis, as well as the subsequent fluctuations in default frequencies. Moreover, the effects ofmacroeconomic variables differ across industries in an economically intuitiveway. Out-of- sample evaluations show that our approach is superior to models that exclude macro information and standard well-fitting time-series models. Our analysis shows that firm-specific factors are useful in ranking firms' relative riskiness, but that macroeconomic factors are necessary to understand fluctuations in the absolute risk level.