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Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market

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  • Ptak-Chmielewska Aneta

    (SGH Warsaw School of Economics, Warsaw, Poland)

  • Matuszyk Anna

    (SGH Warsaw School of Economics, Warsaw, Poland)

Abstract

The last financial crisis affected the SMEs sector in different countries at different levels and strength. SMEs represent the backbone of the economy of every country. Therefore, they need bankruptcy prediction models easily adaptable to their characteristics. In our analysis we verified hypothesis: including information about macroeconomic conditions significantly increases the effectiveness of the bankruptcy model. The data set used in our research contained information about 1,138 SMEs. All information was taken from the financial statements covering the period 2002-2010. The sample included enterprises from sectors: industry, trade and services. Selected financial ratios were used to build the model and the macroeconomic variables were added: GDP, inflation, and the unemployment rate. Logistic regression as the research method was applied. In our study we showed that the incorporation of the macro variables improved the prediction of the SMEs bankruptcy risk.

Suggested Citation

  • Ptak-Chmielewska Aneta & Matuszyk Anna, 2019. "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(3), pages 40-49, September.
    • Handle: RePEc:vrs:eaiada:v:23:y:2019:i:3:p:40-49:n:4
    DOI: 10.15611/eada.2019.3.04
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    References listed on IDEAS

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    More about this item

    Keywords

    bankruptcy risk model; logistic regression; macro variables;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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