Оценка вероятности банкротства компаний обрабатывающей промышленности с учетом макроэкономической конъюнктуры (Estimating the Bankruptcy Probability of Manufacturing Companies Considering Macroeconomic Conditions)

The article presents the results of an econometric estimation of probabilistic default models on a sample of medium-sized manufacturing companies in Russia for the period from 2012 to 2020. Characteristics of the macroeconomic environment were included in the models. According to the results, the inclusion of the real effective exchange rate, the real key interest rate and the price of Brent oil in real terms increases the predictive power of the model. Using the estimators of the models with macroeconomic factors the effect of the moratorium on bankruptcy introduced during the coronavirus pandemic was assessed.The article was written on the basis of the RANEPA state assignment research programme