Liang Guo Fitoussi a le plaisir de voir un de ses articles, écrit avec Catherine BRUNEAU, publié dans le numéro 5 de 2014 de la Revue d’Économie Politique. Il s’intitule: “Macroeconomic variables and default risk: an application of the FAVAR model”
REP Abstract: This paper studies the inuence of macroeconomic factors on credit risk. We apply the dynamic factor model (FAVAR type) proposed by Stock and Watson [2005]. We have two empirical applications, respectively in the United States and in the Euro area. In the two applications, the results suggest that the most important factor for explaining default rates is related to real activity. Furthermore, we are interested in the eect of monetary policy on default rates. The results suggest that default rates increase slightly after a rise in the interest rate and that speculative grade rms are more sensitive. However, the contribution of interest rate shocks to default rates is limited.
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