A Study on the Relation between Expected Default Rate of the Construction Industry and Construction Business Cycle Index

2016 ◽  
Vol 30 (1) ◽  
pp. 203-238
Author(s):  
Dong Phill Suh ◽  
SANG-BUM PARK
Keyword(s):  
Business Cycle ◽  
Construction Industry ◽  
Cycle Index ◽  
Default Rate ◽  
Business Cycle Index

BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX

2006 ◽  
Vol 10 (5) ◽  
pp. 573-594 ◽  
Author(s):  
MICHAEL DUEKER ◽  
CHARLES R. NELSON
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Data Series ◽  
Cycle Index ◽  
Federal Funds ◽  
Price Inflation ◽  
Federal Funds Rate ◽  
Vector Autoregressive ◽  
The Business Cycle ◽  
Business Cycle Index

We use Markov chain Monte Carlo methods to augment, via a novel multimove sampling scheme, a vector autoregressive (VAR) system with a latent business-cycle index that is negative during recessions and positive during expansions. We then sample counterfactual values of the macroeconomic variables in the case where the latent business-cycle index is held constant. These counterfactual values represent posterior beliefs about how the economy would have evolved absent business-cycle fluctuations. One advantage is that a VAR framework provides model-consistent counterfactual values in the same way that VARs provide model-consistent forecasts, so data series are not filtered in isolation from each other. We apply these methods to estimate the business-cycle components of industrial production, consumer price inflation, the federal funds rate, and the spread between long-term and short-term interest rates. These decompositions provide an explicitly counterfactual approach to isolating the effects of the business cycle and to deriving empirical business-cycle facts.

scholarly journals Decomposition of the Business Cycle Shock and the Default Rate of SMEs in Korea

2019 ◽  
Vol 27 (4) ◽  
pp. 401-423
Author(s):  
Jaesung James Park ◽  
Joonkyo Hong ◽  
Sumi Na
Keyword(s):  
Business Cycle ◽  
Capital Accumulation ◽  
Structural Var ◽  
Technology Shocks ◽  
Empirical Results ◽  
Long Run ◽  
Default Rate ◽  
Technology Shock ◽  
The Business Cycle ◽  
The Impact

This paper, through a structural VAR identified by a long-run restriction which is imposed by a neoclassical growth model, decomposes the real price index of capital accumulation (= deflator for fixed capital accumulations/consumption expenditure deflator), labor productivity (= real GDP/total employee hours), and total employee hours into three business cycle shocks: (i) investment-specific technology shock, (ii) neutral technology shock, and (iii) non-technology shock, and explores which shock has played a significant role in contributing to decreases in the default rate of SMEs. Empirical results drawn from Korean data spanning from 2000:Q1 to 2016:Q2 indicate that when the two technology shocks arise by 1%p, the default rate decreases by 0.03%p to 0.05%p permanently. In contrast, the impact of the non-technology shock on the default rate is highly transitory : the default rate decreases by 0.02%p in response to the 1%p increment in non-technology shock but turns back to its initial level after about three quarters. These imply the technology shocks could account for the most of variations in the default rate of SMEs. Our empirical results, therefore, deliver the policy implication that SME financing should focus on innovative firms with aggressive funding.

Why is the Default Rate So Low? How Economic Conditions and Public Policies Have Shaped Mortgage and Auto Delinquencies During the COVID-19 Pandemic

FEDS Notes ◽  
2021 ◽  
Vol 2021 (2854) ◽  
Author(s):  
Lisa Dettling ◽  
◽  
Lauren Lambie-Hanson ◽  
Keyword(s):  
Business Cycle ◽  
Public Policies ◽  
Economic Conditions ◽  
Household Debt ◽  
Family Finances ◽  
Default Rate ◽  
Debt Repayment ◽  
The Business Cycle

Delinquencies and defaults on household debt typically closely follow the business cycle. As economic conditions deteriorate, falling employment and incomes put a strain on family finances, leading to a rise in missed debt payments and defaults. Yet, against the backdrop of a historic rise in unemployment associated with the COVID-19 pandemic, delinquencies have fallen. This FEDS Note documents trends in delinquency on mortgages and auto loans during the COVID-19 pandemic, and unpacks how changes in economic conditions and public policies have been associated with borrowers’ debt repayment behavior.

Safety Management And Safety Culture In The U.S. Construction Industry

2017 ◽  
Author(s):  
Xiuwen Sue Dong ◽  
Xuanwen Wang ◽  
Rebecca Katz
Keyword(s):  
Construction Industry ◽  
Safety Culture ◽  
Safety Management ◽  
The U.S
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