Acta Oeconomica Pragensia 2014, 22(1):27-40 | DOI: 10.18267/j.aop.424

Macroeconomic Modelling of a Firm's Default

Michal Řičař
University of Economics, Prague, Faculty of Informatics and Statistics (michal.ricar@vse.cz).

Enormous development of firm valuation from many aspects can be seen in the recent period. One of the main fields is scoring, which provides a probability verdict about the future development of a firm: its probability of default. This article focuses on introducing macroeconomic modelling using VEC models to predict the future level of default in the Czech economy. Our results have proven a general connection between corporate defaults and the macroeconomic condition of the economy, which is going through a convergence process. The specific findings are new and have not been observed yet. A connection between the GDP and defaults revealed a positive relationship, which is probably a consequence of the convergence process, a development of the economy in many new fields. We have also found a long-term equilibrium among unemployment, loans, price of oil and defaults. We have revealed a higher level of defaults can be expected in 2013, which is connected with the economic contraction in the prediction period.

Keywords: scoring, econometric modelling, VEC, corporate default
JEL classification: C32, C53, E17

Published: February 1, 2014  Show citation

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Řičař, M. (2014). Macroeconomic Modelling of a Firm's Default. Acta Oeconomica Pragensia, 22(1), 27-40. doi: 10.18267/j.aop.424
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