Global Credit Risk: World, Country and Industry Factors
研究了1980年至2014年间41个国家的企业违约数据，发现宏观和违约特有的世界因素是跨国违约聚集的主要来源，且违约聚集程度超过宏观因素所能解释的范围，银行信贷供给与系统性违约风险呈反向关系。
Summary We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high‐dimensional nonlinear non‐Gaussian state‐space model to estimate common components in corporate defaults in a 41 country samples between 1980:Q1 and s2014:Q4, covering both the global financial crisis and euro area sovereign debt crisis. We find that macro and default‐specific world factors are a primary source of default clustering across countries. Defaults cluster more than what shared exposures to macro factors imply, indicating that other factors also play a significant role. For all firms, deviations of systematic default risk from macro fundamentals are correlated with net tightening bank lending standards, suggesting that bank credit supply and systematic default risk are inversely related. Copyright © 2016 John Wiley & Sons, Ltd.