Di Pietro, FilippoLusignani, GiuseppeOliver Alfonso, María Dolores2021-02-032021-02-032012Di Pietro, F., Lusignani, G. y Oliver Alfonso, M.D. (2012). Business Cycle and the Riskiness of Italian Firm: An Empirical Analysis. Journal of Modern Accounting and Auditing, 8 (1), 66-76.1548-6583https://hdl.handle.net/11441/104548Given the importance of the relationship between default rates and business cycles, we examine the ability of macroeconomic variables, explaining changes on the default rate of Italian companies. Via a VAR (vector autoregressive) model and an analysis of individual equations, we find a significant influence of short-term interest rates, and the growth rate of gross domestic product (GDP) in the euro area, on the default rate of Italian companies in the period 1985-2004. Using the selected macroeconomic variables, we build a credit cycle index (CCI) in order to infer the state of credit in the Italian market in future periods. The construction of this “credit cycle index” is based on a robust econometric structure with a minimum number of parameters and a minimum number of required data.application/pdf11 p.engAttribution-NonCommercial-NoDerivatives 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/Credit riskBusiness cycleEconometricsEndogenousEstimationOrdinary least squaresinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess