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.
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 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:
Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org
More information through EDIRC
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.:
- Pamela Nickell & William Perraudin & Simone Varotto, 2001.
"Stability of ratings transitions,"
Bank of England working papers
133, Bank of England.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.