Risk modeling of macroeconomic shocks and their effects on foreign debt of Russian companies

Abstract

The article examines the possible consequences of the new “Great Lockdown” crisis and their impact on the stability of the corporate sector in terms of external obligations. The author examines the trends in the dynamics of external debt and formulates the main threats to macroeconomic stability (sanctions, world recession, low oil prices), describes the scenario of shock propagation and its impact on companies’ solvency. Based on a sample for the period from 2006Q1 to 2020Q1 (57 observations) using the least squares method, three theoretical regression models (for the entire period, shock and “quiet” quarters) were constructed to explain the change in the level of debt burden of the corporate sector from a number of macroeconomic variables: capital outflow, foreign assets, oil prices, LIBOR rates, credit bond spread, etc. The results obtained can be used in the implementation of debt and prudential policies.