How much leverage is too much, or does corporate risk determine the severity of a recession? /

How much leverage is too much, or does corporate risk determine the severity of a recession? /

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Bibliographic Details
Author / Creator:	Ivaschenko, Iryna V., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2003.
Description:	1 online resource (32 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/03/3 IMF working paper ; WP/03/3.
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.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496315

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Western Hemisphere Department.
ISBN:	1451890303 9781451890303 1281603244 9781281603241 9781451841923 1451841922 1462351123 9781462351121 1452759391 9781452759395 9786613783936 6613783935
Notes:	Includes bibliographical references (pages 29-32). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. 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 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
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.
Other form:	Print version: Ivaschenko, Iryna V. How much leverage is too much, or does corporate risk determine the severity of a recession?. [Washington, D.C.] : International Monetary Fund, ©2003
Standard no.:	10.5089/9781451890303.001

Description
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.
Physical Description:	1 online resource (32 pages) : illustrations
Format:	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.
Bibliography:	Includes bibliographical references (pages 29-32).
ISBN:	1451890303 9781451890303 1281603244 9781281603241 9781451841923 1451841922 1462351123 9781462351121 1452759391 9781452759395 9786613783936 6613783935
ISSN:	2227-8885 ;