کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100333 1377213 2016 48 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
چکیده انگلیسی
We develop a class of Poisson autoregressive models with exogenous covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used in the analysis of the asymptotic properties of the maximum-likelihood estimators of the models. The PARX class of models is used to analyze the time series properties of monthly corporate defaults in the US in the period 1982-2011 using financial and economic variables as exogenous covariates. Results show that our model is able to capture the time series dynamics of corporate defaults well, including the well-known default counts clustering found in data. Moreover, we find that while in general current defaults do indeed affect the probability of other firms defaulting in the future, in recent years economic and financial factors at the macro level are capable to explain a large portion of the correlation of US firm defaults over time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 38, Part B, September 2016, Pages 640-663
نویسندگان
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