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Default, recovery, and the macroeconomy.

Waller, William.

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Default, recovery, and the macroeconomy.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Default, recovery, and the macroeconomy./
作者:	Waller, William.
面頁冊數:	52 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.
Contained By:	Dissertation Abstracts International76-09A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3703982
ISBN:	9781321761221

Default, recovery, and the macroeconomy.
Waller, William.

Default, recovery, and the macroeconomy. - 52 p.

Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2015.

While recent theoretical research has highlighted the importance of time-series variation in the cost of financial distress in explaining well-document corporate debt puzzles, empirical research has found that estimates of firm recovery rates are unrelated to overall market conditions. This paper answers the question: do default costs vary across the business cycle or are aggregate measures of default costs simply picking up differences in asset quality? Specifically by jointly estimating a model of ex-ante recovery rates and default probabilities, I find that a one standard deviation increase in the level of interest rates is associated with a 0.3% increase in the cost of default (decrease in recovery rate) and with firms liquidated 13 months earlier than the case of no change in interest rates. Moreover, a one standard deviation increase in the slope of interest rates is associated with a 0.7% decrease in the cost of default (increase in recovery rate) and with firms delaying the default decision 45 months than in the case of no change in interest rates.

ISBN: 9781321761221Subjects--Topical Terms:

542899
Finance.

Default, recovery, and the macroeconomy.
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520 $a While recent theoretical research has highlighted the importance of time-series variation in the cost of financial distress in explaining well-document corporate debt puzzles, empirical research has found that estimates of firm recovery rates are unrelated to overall market conditions. This paper answers the question: do default costs vary across the business cycle or are aggregate measures of default costs simply picking up differences in asset quality? Specifically by jointly estimating a model of ex-ante recovery rates and default probabilities, I find that a one standard deviation increase in the level of interest rates is associated with a 0.3% increase in the cost of default (decrease in recovery rate) and with firms liquidated 13 months earlier than the case of no change in interest rates. Moreover, a one standard deviation increase in the slope of interest rates is associated with a 0.7% decrease in the cost of default (increase in recovery rate) and with firms delaying the default decision 45 months than in the case of no change in interest rates.
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