| The study of the bankruptcy phenomenon has been a long-standing interest of both the academic and nonacademic world. The following four research categories---bankruptcy costs, bankruptcy causes, bankruptcy prediction, and aggregate macroeconomic influences on bankruptcy---constitute majority of the work that has been done. This dissertation falls into the fourth research category---research on aggregate macroeconomic influences on bankruptcy---and contains mainly three parts. Part one of the dissertation provides analysis on the bankruptcy trend and on the evolution of bankruptcy process in the United States, and a literature review on the bankruptcy topic and the major findings in this line of research. Part two studies the interaction between the bankruptcy variables and other important macro variables---national output, money supply, interest rate, and price level---in the United States from 1870 to 1994. The study is done in a time series framework, using time series techniques such as unit root, cointegration, and Granger-causality tests, as well as impulse response graphs. It is found that the state of the macroeconomy has profound impact on the bankruptcy phenomenon in the United States during the sample period under examination. It is also found that the bankruptcy variables have important impacts on various interest rates considered. Part three looks at the impact of "uncertainty" on aggregate economic activity, and investigates the impact of interest rates uncertainty on the mean value of the bankruptcy variable and the impact of bankruptcy uncertainty on the prevailing interest rates with post World-War-II United States data. With empirical evidence from bivariate GARCH-M model, it is shown that higher interest rate uncertainty invariably leads to more bankruptcies. On the other hand, however, the impact of bankruptcy uncertainty on the prevailing interest rates is negligible. |
