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Макроэкономические Факторы Банкротства Компаний Обрабатывающей Отрасли В Российской Федерации
[Macroeconomic Factors of Corporate Bankruptcy in the Manufacturing Sector in the Russian Federation]

Author

Listed:
  • Bekirova, Olga
  • Zubarev, Andrey

Abstract

The paper presents the results of an econometric assessment of probabilistic default models on a sample of medium-sized manufacturing companies in Russia for the period from 2012 to 2020. Characteristics of the macroeconomic environment were included in the models. The inclusion of the real effective exchange rate, the growth rate of the exchange rate, the key interest rate or the price of Brent oil in real terms lead to an increase in the forecast power of the base model with internal factors only. The growth in the key interest rate and the price of oil increases the probability of a corporate default.

Suggested Citation

  • Bekirova, Olga & Zubarev, Andrey, 2022. "Макроэкономические Факторы Банкротства Компаний Обрабатывающей Отрасли В Российской Федерации [Macroeconomic Factors of Corporate Bankruptcy in the Manufacturing Sector in the Russian Federation]," MPRA Paper 114968, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:114968
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    File URL: https://mpra.ub.uni-muenchen.de/114968/1/MPRA_paper_114968.pdf
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    References listed on IDEAS

    as
    1. Демешев Борис Борисович & Тихонова Анна Сергеевна, 2014. "Прогнозирование Банкротства Российских Компаний: Межотраслевое Сравнение," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 18(3), pages 359-386.
    2. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    3. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure - Reply," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 123-127.
    4. Christian Lohmann & Thorsten Ohliger, 2019. "Using accounting‐based information on young firms to predict bankruptcy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(8), pages 803-819, December.
    5. Natalia Nehrebecka, 2021. "COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 283-319, June.
    6. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 71-111.
    7. repec:zbw:bofrdp:2004_018 is not listed on IDEAS
    8. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    9. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    bankruptcies; probabilistic models; logistic regression; macroeconomic environment; external factors;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General

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