期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We investigate the dynamic properties of systematic default risk conditions for rms indifferent countries, industries and rating groups. We use a high-dimensional nonlinearnon-Gaussian state space model to estimate common components in corporate defaultsin a 41 country sample between 1980Q1{2014Q4, covering both the global nancialcrisis and euro area sovereign debt crisis. We nd that macro and default-speci cworld factors are a primary source of default clustering across countries. Defaultscluster more than what shared exposures to macro factors imply, indicating that otherfactors also play a signi cant role. For all rms, deviations of systematic default riskfrom macro fundamentals are correlated with net tightening bank lending standards,suggesting that bank credit supply and systematic default risk are inversely related.
