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COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland

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  • Natalia Nehrebecka

    (Warsaw University
    National Bank of Poland)

Abstract

The main purpose of this article is to detail and supply a stress-testing framework at the individual level that investigates the impact of COVID-19 scenarios on non-financial firms’ probability of default as regards domestic and foreign-currency debt (a so-called new micro stress-test). The test addresses both the uniform and the asymmetrical transmission of shocks, in relation to sizes of firms and sectors of their activity. To allow for the running of micro stress-tests of this kind, a general model was constructed using a two-step approach comprising a microeconomic model and a macroeconomic module. Accompanying empirical analysis was based on individual data from different sources (relating to the years 2007–2020), i.e. prudential reporting, business registration, financial and behavioral data and balances of payments. In line with the factor of company size, the quality of loan portfolios is shown to deteriorate on the balance sheets of banks in all segments in the case of a negative scenario (for large and medium-sized enterprises the probability of default increases 1.5-fold, for small ones over threefold). While almost all industries will experience the impact of COVID-19, sections being hit particularly hard will involve services that, due to the ban on gatherings of people and the recommendation to avoid crowds, will lose most of their revenue and will fail to make up for this loss in the future.

Suggested Citation

  • Natalia Nehrebecka, 2021. "COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 283-319, June.
    • Handle: RePEc:spr:eurase:v:11:y:2021:i:2:d:10.1007_s40822-020-00163-0
    DOI: 10.1007/s40822-020-00163-0
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    References listed on IDEAS

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    Cited by:

    1. Beata Bieszk-Stolorz & Iwona Markowicz, 2021. "Risk of Decline in Share Prices of Energy and Fuel Sector on the Warsaw Stock Exchange During the Two Waves of the COVID-19 Pandemic," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 977-996.
    2. Olga A. Bekirova & Andrey V. Zubarev, 2022. "Оценка Вероятности Банкротства Компаний Обрабатывающей Промышленности С Учетом Макроэкономической Конъюнктуры," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 12, pages 18-27, December.
    3. Natalia Nehrebecka, 2021. "Internal Credit Risk Models and Digital Transformation: What to Prepare for? An Application to Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 719-736.
    4. Bekirova, Olga & Zubarev, Andrey, 2022. "Макроэкономические Факторы Банкротства Компаний Обрабатывающей Отрасли В Российской Федерации [Macroeconomic Factors of Corporate Bankruptcy in the Manufacturing Sector in the Russian Federation]," MPRA Paper 114968, University Library of Munich, Germany.
    5. Natalia Nehrebecka, 2021. "Climate Risk with Particular Emphasis on the Relationship with Credit-Risk Assessment: What We Learn from Poland," Energies, MDPI, vol. 14(23), pages 1-14, December.
    6. Olga A. Bekirova & Andrey V. Zubarev, 2022. "Estimating the Bankruptcy Probability of Manufacturing Companies Considering Macroeconomic Conditions [Оценка Вероятности Банкротства Компаний Обрабатывающей Промышленности С Учетом Макроэкономичес," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 18-27, December.
    7. Bekirova, Olga & Zubarev, Andrey, 2022. "Эконометрический Анализ Факторов Банкротств Российских Компаний В Обрабатывающем Секторе [Econometric Analysis of Bankruptcy Factors for Russian Companies in the Manufacturing Industry]," MPRA Paper 114969, University Library of Munich, Germany.
    8. Jessica Birkholz & Jarina Kühn & Mariia Shkolnykova, 2022. "Exploration or Exploitation: Innovation Behavior of SMEs and Large Firms during the COVID-19 Crisis," Bremen Papers on Economics & Innovation 2203, University of Bremen, Faculty of Business Studies and Economics.

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