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E-book
Author Ivaschenko, Iryna V., author.

Title How much leverage is too much, or does corporate risk determine the severity of a recession? / Iryna Ivaschenko
Published [Washington, D.C.] : International Monetary Fund, ©2003

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Description 1 online resource (32 pages) : illustrations
Series IMF working paper, 2227-8885 ; WP/03/3
IMF working paper ; WP/03/3.
Summary Economic theory suggests that vulnerable financial conditions of the corporate sector can trigger or worsen an economy-wide recession. This paper proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) and analyses whether it can explain the probability and severity of recessions. The CVI is constructed as the default probability for the entire corporate sector, using the model of corporate debt by Anderson, Sundaresan, and Tychon (1996). The CVI is shown to be a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators. An increase in the CVI is also associated with an increase in the probability of a more severe and lengthy recession 3 to 6 quarters ahead
Bibliography Includes bibliographical references (pages 29-32)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
English
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Recessions -- Effect of corporate debt on -- Econometric models
Financial crises -- Forecasting -- Econometric models
Business cycles -- Forecasting -- Econometric models
Recessions -- Econometric models
Financial crises -- Econometric models
Financial crises -- Econometric models
Recessions -- Econometric models
Form Electronic book
Author International Monetary Fund. Western Hemisphere Department.
ISBN 1451890303
9781451890303
1281603244
9781281603241
9781451841923
1451841922
1462351123
9781462351121
1452759391
9781452759395
9786613783936
6613783935