Credit Risk Migration Analysis of Illinois Farm Business: Possible Impacts of Farm Business Cycle
AbstractThis study uses the cohort approach to estimate the credit risk migration probability of farm business. Using data from the Farm Business and Farm Management, this study rates the credit risk into 10 risk levels plus a default level, defines a farm business cycle with peak, normal and trough periods and evaluates the effect on farm financial performance of the farm business booms and slumps. The results show that the farms with low credit risk are more likely to stay in the same risk level but the farms with high credit risk have the trend to improve their risk situation and move upwards. The results also show that the credit risk ratings are more likely to move upgrade during farm business cycle peaks.
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Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2005 Annual meeting, July 24-27, Providence, RI with number 19292.
Date of creation: 2005
Date of revision:
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- Ralph Bierlen & Allen M. Featherstone, 1998. "Fundamental q, Cash Flow, and Investment: Evidence from Farm Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 427-435, August.
- Katchova, Ani L. & Barry, Peter J., 2003. "Credit Risk Models: An Application to Agricultural Lending," Proceedings: 2003 Regional Committee NCT-194, October 6-7, 2003; Kansas City, Missouri 132519, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001.
"Stability of ratings transitions,"
Bank of England working papers
133, Bank of England.
- Yusuf Jafry & Til Schuermann, 2003. "Metrics for Comparing Credit Migration Matrices," Center for Financial Institutions Working Papers 03-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Deng, Xiaohui & Escalante, Cesar L. & Barry, Peter J. & Yu, Yingzhuo, 2004. "Discrete And Continuous Time Models For Farm Credit Migration Analysis," 2004 Annual meeting, August 1-4, Denver, CO 20062, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Anil Bangia & Francis X. Diebold & Til Schuermann, 2000.
"Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing,"
Center for Financial Institutions Working Papers
00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
- Escalante, Cesar L. & Barry, Peter J. & Park, Timothy A. & Demir, Ebru, 2004. "Farm-Level And Macroeconomic Determinants Of Farm Credit Migration Rates," 2004 Annual meeting, August 1-4, Denver, CO 20227, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
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