Subject. This article discusses the issues related to companies’ financial stability, financial indicators, and external macroeconomic factors. Objectives. The article aims to assess the impact of external factors and Economic Policy Uncertainty (EPU) Index on the risk of deterioration of the financial condition of companies, and build a model for predicting the bankruptcy of enterprises of two industries, namely the construction and manufacturing ones. Methods. For the study, we used the binary choice methodology. Results. The article presents the author-developed models to predict the probability of bankruptcy of enterprises and identifies external macroeconomic factors and EPU indices affecting the deterioration of the financial condition of companies. Conclusions and Relevance. Monitoring the identified indicators in conjunction with the analysis of the enterprise’s internal financial condition can help managers and shareholders promptly identify signs of destabilization of the company's financial stability. The developed bankruptcy forecasting models can be used in practice to assess the risk of financial distress of companies.
Iqbal U., Gan C., Nadeem M., Economic policy uncertainty and firm performance. Applied Economics Letters, 2020, vol. 27, iss. 10, pp. 765–770. DOI: 10.1080/13504851.2019.1645272
Stolbov M., Shchepeleva M. Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. Research in International Business and Finance, 2020, vol. 52, 101172. DOI: 10.1016/j.ribaf.2019.101172
Jory S.R., Khieu H.D., Ngo T.N., Phan H.V. The influence of economic policy uncertainty on corporate trade credit and firm value. Journal of Corporate Finance, 2020, vol. 64, 101671. DOI: 10.1016/j.jcorpfin.2020.101671
Beaver W.H., Financial ratios as predictors of failure. Journal of Accounting Research, 1966, vol. 4, pp. 71–111. DOI: 10.2307/2490171
Altman E.I. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 1968, vol. 23, no. 4, pp. 589–609. DOI: 10.2307/2978933
Ohlson J.A. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 1980, vol. 18, no. 1, pp. 109–131. DOI: 10.2307/2490395
Vasil'eva N.K., Ivanyuk A.Yu., Butakova K.V. [Assessment of the potential for bankruptcy of an organization based on the analysis of solvency and liquidity indicators]. Estestvenno-gumanitarnye issledovaniya = Natural-Humanitarian Studies, 2022, no. 40, pp. 348–356. (In Russ.) EDN: YVONPD
Tian S., Yu Y., Guo H. Variable selection and corporate bankruptcy forecasts. Journal of Banking & Finance, 2015, vol. 52, pp. 89–100. DOI: 10.1016/j.jbankfin.2014.12.003
Mikitukho A.A. [Analytical indicators of liquidity and solvency in the system of financial analysis of bankruptcy of a company]. Fundamental'nye issledovaniya = Fundamental Research, 2014, no. 6-2, pp. 309–313. (In Russ.) EDN: SWOCHB
Fedorova E.A., Lazarev M.P., Fedin A.V. [Forecasting bankruptcy of an enterprise taking into account environmental factors]. Finansovaya analitika: problemy i resheniya = Financial Analytics: Science and Experience, 2016, no. 42, pp. 2–12. (In Russ.) EDN: WYPSJB
Almamy J., Aston J., Ngwa L.N. An evaluation of Altman's Z-score using cash flow ratio to predict corporate failure amid the recent financial crisis: Evidence from the UK. Journal of Corporate Finance, 2016, vol. 36, pp. 278–285. DOI: 10.1016/j.jcorpfin.2015.12.009
Xing K., Luo D., Liu L. Macroeconomic conditions, corporate default, and default clustering. Economic Modelling, 2023, vol. 118. DOI: 10.1016/j.econmod.2022.106079
Tinoco M.H., Holmes P., Wilson N. Polytomous response financial distress models: The role of accounting, market and macroeconomic variables. International Review of Financial Analysis, 2018, vol. 59, pp. 276–289. DOI: 10.1016/j.irfa.2018.03.017
Fedorova E.A., Musienko S.O., Fedorov F.Yu. [Analysis of the influence of external factors on forecasting the financial insolvency of Russian companies]. Vestnik Sankt-Peterburgskogo universiteta. Ekonomika = St Petersburg University Journal of Economic Studies, 2020, vol. 36, no. 1, pp. 117–133. (In Russ.) DOI: 10.21638/spbu05.2020.106
Kochugueva M.N., Kiseleva N.N., Anpilov S.M. [Analysis of external and internal factors of bankruptcy on the example of Russian companies (part 1)]. Vestnik Samarskogo gosudarstvennogo universiteta. Ekonomika i upravlenie = Vestnik of Samara University. Economics and Management, 2013, no. 10, pp. 41–46. (In Russ.) EDN: RYCXFX
Hol S. The influence of the business cycle on bankruptcy probability. International Transactions in Operational Research, 2007, vol. 14, iss. 1, pp. 75–90. DOI: 10.1111/j.1475-3995.2006.00576.x
Baker S.R., Bloom N., Davis S.J. Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 2016, vol. 131, iss. 4, pp. 1593–1636. DOI: 10.1093/qje/qjw024
Istiak K., Serletis A. Economic policy uncertainty and real output: evidence from the G7 countries. Applied Economics, 2018, vol. 50, iss. 39, pp. 4222–4233. DOI: 10.1080/00036846.2018.1441520
Belke A., Dubova I., Osowski T. Policy uncertainty and international financial markets: the case of Brexit. Applied Economics, 2018, vol. 50, iss. 34-35, pp. 3752–3770. DOI: 10.1080/00036846.2018.1436152
Karnizova L., Li J. Economic policy uncertainty, financial markets and probability of US recessions. Economics Letters, 2014, vol. 125, iss. 2, pp. 261–265. DOI: 10.1016/j.econlet.2014.09.018
Istrefi K., Piloiu A. Economic Policy Uncertainty and Inflation Expectations. Banque de France Working Paper, 2014, no. 511. DOI: 10.2139/ssrn.2510829
Lin B., Bai R. Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. Research in International Business and Finance, 2021, vol. 56, 101357. DOI: 10.1016/j.ribaf.2020.101357
Fedorova E., Ledyaeva S., Drogovoz P., Nevredinov A., Economic policy uncertainty and bankruptcy filings. International Review of Financial Analysis, 2022, vol. 82, 102174. DOI: 10.1016/j.irfa.2022.102174
Althaus S.L., Edy J.A., Phalen P.F. Using Substitutes for Full-Text News Stories in Content Analysis: Which Text is Best? American Journal of Political Science, 2001, vol. 45, no. 3, pp. 707–723. DOI: 10.2307/2669247
Nassirtoussi A.K., Aghabozorgi S., Wah T.Y., Ngo T.C.L. Text mining of news-headlines for FOREX market prediction: A Multi-layer Dimension Reduction Algorithm with semantics and sentiment. Expert Systems with Applications, 2015, vol. 42, iss. 1, pp. 306–324. DOI: 10.1016/j.eswa.2014.08.004
Bonyadi A., Samuel M. Headlines in Newspaper Editorials: A Contrastive Study. Sage Open, 2013, vol. 3, pp. 1–10. DOI: 10.1177/2158244013494863
Santoro E., Gaffeo E. Business failures, macroeconomic risk and the effect of recessions on long-run growth: A panel cointegration approach. Journal of Economics and Business, 2009, vol. 61, iss. 6, pp. 435–452. DOI: 10.1016/j.jeconbus.2009.05.001
Hudson J. Company bankruptcies and births matter. Applied Economics, 1997, vol. 29, iss. 5, pp. 647–654. DOI: 10.1080/000368497326840
Khoja L., Chipulu M., Jayasekera R. Analysis of financial distress cross countries: Using macroeconomic, industrial indicators and accounting data. International Review of Financial Analysis, 2019, vol. 66, 101379. DOI: 10.1016/j.irfa.2019.101379
Dzikevičius A., Šaranda S. Establishing a set of macroeconomic factors explaining variation over time of performance in business sectors. Business: Theory and Practice, 2016, vol. 17, no. 2, pp. 159–166. DOI: 10.3846/btp.2016.629
