The Empirical Study On Pro-cyclical Effect Of The Listed Companies' Default Rate

Pro-cyclical effect is the major financial variables such as credit, interest rate, loan losses and real economic variables such as fluctuations in the economic cycle, the phenomenon of co-movement and to strengthen the economic cycle of positive feedback form the trend of increasing volatility of economic cycles. In the economic and financial system there are many pro-cyclical factors that act on the real economy increased the economic cycle, or even lead to financial crisis. The production of the U.S. subprime mortgage crisis on those closely related to cyclical factors. Governor Zhou Xiaochuan at the 2008 report of the meeting described the IRB, the external rating system and the fair value accounting standards in three cyclical factors, and gave details of how these three factors in the role of cyclical and produce along the real economy cycle effects. However, this cyclical effect must act on the micro-economic subjects can impact on the real economic output, so as to connect bank credit market and the real economy's enterprise itself a bridge to some extent also with the pro-cyclical features. This paper aims to study whether the breach of such enterprises cyclical effect of the enterprise as a micro-economic subjects placed in the breach against the background of macroeconomic research.In general, companies have chosen to default due to the lack of enterprise future source of repayment, and the corporate source of repayment, including:external loans may be the future cash flow from operations, capital goods and the price realization of collateral. As the bank credit market and the cyclical effects of fair value accounting standards and investment in the "herd behavior," the source company's future payments fluctuate with the economy, accordingly, the company's non-compliance will fluctuate with the economic cycle:In the economic downturn, when companies default, when more than the economy up, and the increase in corporate defaults will further promote the economy down; up when the economy, the situation is the opposite. Empirical corporate default rates to have a cyclical effect, the present data extraction from the cycle of GDP components and the use of KMV model to estimate default rates of the measurement analysis. Based on theoretical analysis and empirical proof, the paper concluded:default rates listed companies in China 1992-2000 years ago does not exist in significant pro-cyclical effect, in 2000-2008, this cyclical effect of significantly enhanced, and the social and economic life impact on listed companies were also significantly affect default rates.In research methods, this first use of BN decomposition method to the GDP data were decomposed. GDP data decomposition techniques using the highest technology is HP Filter. HP filter method is based on the assumption that GDP data series stationary, the data directly to filter out the certainty of GDP components, data access cycle components. But in fact, the empirical tests have proved that China's GDP for non-stationary process. This conclusion is fundamentally negates the HP filter method for the GDP data decomposition scientific. GDP data, the assumption of non-stationary, based on this decomposition method using BN GDP data is divided into deterministic components, random components and cycle components, and further, the article on the BN decomposition method has been tested scientifically.In addition, the paper uses the amended KMV model to estimate default rates listed companies in China when. KMV model used in our reality, there is the pricing of non-tradable shares, the historical default data was incomplete, firm value and equity simultaneous equation set point stability and issues such as breach of contract. To solve the above problems, the article in the empirical process, made the following changes:First, the net assets per share as the price of non-tradable shares;second, follow the model of the original assumption that the value of the assets subject to a continuous time diffusion process, normally distributed asset returns, has never settled the issue of incomplete data breach; Third, the use of Newton-Raphson iteration equation option of simultaneous equations. As the company's value and equity value of equality between the moment the establishment of a sudden change in stock price if the stock market will make such a relationship may make an instant of simultaneous equations to solve unknowns out there is error, the use of Newton-Raphson iterative equation can in large part to solve this problem; Fourth, we take into account short-term debt and long-term debt companies the reality of the situation, the default point is set to three-quarters of short-term liabilities and long-term obligations.