Sector-specific variables more relevant than thought in determining default risk
Econometric results find evidence supporting a greater role for sector-specific variables in determining default risk in the European corporate sector, rather than a direct impact from macro-financial variables, according to a recent European Central Bank working paper.
In A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area, Martín Saldías argues the findings challenge much of the literature that focuses mainly on macroeconomic risk drivers and tends to ignore
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