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A synthetic indicator of financial pressure for spanish firms


  • Andrew Benito

    () (Bank of England)

  • Francisco Javier Delgado

    () (Banco de España)

  • Jorge Martínez Pagés

    () (Banco de España)


In this paper, we construct a firm-level estimate of the probability of default for a large sample of Spanish firms that can be interpreted as a composite measure of individual corporate financial pressure. By combining firms' accounting data from the Central Balance Sheet Data Office of the Banco de España with credit data from the Spanish Central Credit Register, we obtain a large data set (80,701 observations) covering a significantly longer time period (1985-2001) than is usual in the literature. Our results point to the importance of income leverage (together with other relatively standard financial ratios) for the financial pressure on firms, but also to the relevance of non-linearities and the inability of purely firm-level variables to capture completely the temporal behaviour of aggregate firm default rates. Thus, the real GDP growth rate and an average interest cost of debt are significant additional predictors of a firm's probability of default.

Suggested Citation

  • Andrew Benito & Francisco Javier Delgado & Jorge Martínez Pagés, 2004. "A synthetic indicator of financial pressure for spanish firms," Working Papers 0411, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:0411

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    Cited by:

    1. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
    2. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
    3. Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
    4. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
    5. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, vol. 8(4), pages 219-235.
    6. Daniel Law & Shaun K. Roache, 2015. "Assessing Default Risks for Chinese Firms; A Lost Cause?," IMF Working Papers 15/140, International Monetary Fund.
    7. Javier Gutiérrez Rueda, 2010. "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," VNIVERSITAS ECONÓMICA 008291, UNIVERSIDAD JAVERIANA - BOGOTÁ.
    8. Maria Clara Soares, 2006. "Modelling of an Indicator for Credit Scoring of Non-Financial Corporations – a Preliminary Research Based on Discriminant Analysis," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    9. Adela Luque, 2005. "Skill mix and technology in Spain: evidence from firm level data," Working Papers 0513, Banco de España;Working Papers Homepage.

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