宏观经济指标对破产预测模型的影响:以葡萄牙建筑业为例

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2022-01-01 DOI:10.3934/qfe.2022018
Ana Sousa, A. Braga, Jorge Cunha
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引用次数: 3

摘要

宏观经济指标对破产预测模型表现的重要性一直是一个有争议的问题,部分原因是缺乏经验证据。大多数指标主要围绕公司的内部环境,忽视了经济周期对公司地位的影响。这项研究使人们认识到微观经济和宏观经济因素的结合。为此,将基于逻辑回归的新模型与主成分分析相结合,以确定最能解释所研究数据集中变化的指标。使用的样本包括2009年至2019年1832家葡萄牙建筑公司的数据。实证结果表明,直到破产前三年,平均准确率为90%。具有统计学意义的微观指标分别为流动性比率、偿付能力比率和财务自主权比率。在宏观经济指标方面,国内生产总值和企业出生率被证明比仅使用微观经济因素更能提高破产预测的准确性。研究结果的实际意义是,建筑公司以及投资者、政府机构和银行都可以将该模型用作决策支持系统。此外,持续使用可以通过发现早期预警指标有效地防止破产。
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Impact of macroeconomic indicators on bankruptcy prediction models: Case of the Portuguese construction sector
The importance of macroeconomic indicators on the performance of bankruptcy prediction models has been a contentious issue, due in part to a lack of empirical evidence. Most indicators are primarily centered around a company's internal environment, overlooking the impact of the economic cycle on the status of the company. This research brings awareness about the combination of microeconomic and macroeconomic factors. To do this, a new model based on logistic regression was combined with principal component analysis to determine the indicators that best explained the variations in the dataset studied. The sample used comprised data from 1,832 Portuguese construction companies from 2009 to 2019. The empirical results demonstrated an average accuracy rate of 90% up until three years before the bankruptcy. The microeconomic indicators with statistical significance fell within the category of liquidity ratios, solvency and financial autonomy ratios. Regarding the macroeconomic indicators, the gross domestic product and birth rate of enterprises proved to increase the accuracy of bankruptcy prediction more than using only microeconomic factors. A practical implication of the results obtained is that construction companies, as well as investors, government agencies and banks, can use the suggested model as a decision-support system. Furthermore, consistent use can lead to an effective method of preventing bankruptcy by spotting early warning indicators.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
期刊最新文献
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