Exploring the Link between Idiosyncratic and Fundamental Indicators. Evidence on CEE Corporate Segment
AbstractThis paper explores the link between idiosyncratic and fundamental dimensions of the corporate finance within CEE countries. We elaborate a Vector Error Correction Model integrating both idiosyncratic and macro related indicators. We expect idiosyncratic variables to be closely related to the macro fudamentals and we anticipate the sign of the relation. Conclusions regarding the long term relationship between these variables differ by country from the perspective of the way the macro related variables enter the cointegration equations. The impact is different according to the peculiarities of the macroeconomic architecture.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.
Volume (Year): 01 (2009)
Issue (Month): 1 (December)
Contact details of provider:
Postal: Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania
Web page: http://www.fin.ase.ro/
More information through EDIRC
idiosyncratic variables; macroeconomic;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006.
"Macroeconomic Dynamics and Credit Risk: A Global Perspective,"
Journal of Money, Credit and Banking, Blackwell Publishing,
Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0330, Faculty of Economics, University of Cambridge.
- Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series 995, CESifo Group Munich.
- Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2005.
"Exploring interactions between real activity and the financial stance,"
Journal of Financial Stability, Elsevier,
Elsevier, vol. 1(3), pages 308-341, April.
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2005. "Exploring Interactions between Real Activity and the Financial Stance," Working Paper Series 184, Sveriges Riksbank (Central Bank of Sweden).
- Jonathan B. Berk & Richard Stanton & Josef Zechner, 2010.
"Human Capital, Bankruptcy, and Capital Structure,"
Journal of Finance, American Finance Association,
American Finance Association, vol. 65(3), pages 891-926, 06.
- Jorge A. Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities: A Survey," IMF Working Papers 06/149, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tatu Lucian).
If references are entirely missing, you can add them using this form.