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Оценка Вероятности Банкротства Компаний Обрабатывающей Промышленности С Учетом Макроэкономической Конъюнктуры

Author

Listed:
  • Olga A. Bekirova

    (Russian Presidential Academy of National Economy and Public Administration)

  • Andrey V. Zubarev

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

В статье приведены результаты эконометрической оценки вероятностных моделей дефолта на выборке средних по размеру компаний обрабатывающей промышленности в России за период с 2012 по 2020 гг. Рассмотрены модели с включением характеристик макроэкономического окружения. Получен результат, в соответствии с которым включение в модели таких показателей, как реальный эффективный обменный курс, реальная ключевая процентная ставка и цена на нефть марки Brent в реальном выражении, приводит к росту прогнозной силы. Кроме того, с помощью построенных моделей получена оценка эффекта моратория на банкротство, введенного во время пандемии коронавирусной инфекции. Статья подготовлена в рамках выполнения научно-исследовательской работы государственного задания РАНХиГС при Президенте Российской Федерации.

Suggested Citation

  • 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.
    • Handle: RePEc:gai:ruserr:r22101
    as

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    References listed on IDEAS

    as
    1. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    2. Демешев Борис Борисович & Тихонова Анна Сергеевна, 2014. "Прогнозирование Банкротства Российских Компаний: Межотраслевое Сравнение," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 18(3), pages 359-386.
    3. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    4. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    5. Christian Lohmann & Thorsten Ohliger, 2019. "Using accounting‐based information on young firms to predict bankruptcy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(8), pages 803-819, December.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    банкротство; мораторий на банкротство; российские компании; вероятностные модели; логистическая регрессия; макроэкономические факторы;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General

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