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The role of macroeconomic conditions and business inter-linkages in corporate default correlation

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Abstract: The paper investigates when and why UK corporate defaults tend to occur at the same time. Default correlation may be caused by either common dependence on macroeconomic (systematic) risk factors or to other, possibly unobservable, factors arising from business inter-connections (such as input-output linkages or trade credit contracts). The paper presents findings that macroeconomic conditions have a large impact on corporate default risk, but that the residual correlation between the error terms of the macro model’s equations shows that not all sectoral interdependence is explained by macroeconomic conditions.

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