| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11493 |
| 来源ID | Working Paper 11493 |
| Global Business Cycles and Credit Risk | |
| M. Hashem Pesaran; Til Schuermann; Björn-Jakob Treutler | |
| 发表日期 | 2005-07-18 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogenous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w11493 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569135 |
| 推荐引用方式 GB/T 7714 | M. Hashem Pesaran,Til Schuermann,Björn-Jakob Treutler. Global Business Cycles and Credit Risk. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11493.pdf（779KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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