The Effect of Firm Level Data and Macroeconomic Conditions on Credit Risk of Industrial Tunisian Firms

Abstract

The main purpose of our study is to identify the main factors causing the corporate credit risk. Indeed we evaluate the effect of firm level data as internal factors and or macroeconomic conditions as external factors on credit risk of industrial Tunisian firms. Thus, we use Explanatory Factor Analysis to identify the measures of credit risk. Moreover, we estimate four empirical models which take into account firm specific data and macroeconomic variables. Our results provide a number of important insights. The results obtained suggest that the Tunisian corporate credit risk measured by debt and liquidity level is influenced by firm-specific characteristic. Indeed, we find that the turnovers, total liabilities / total assets and need working capital affect significantly the credit risk of Tunisian industrial firms. In addition, we find an important result that turnovers and Total Liabilities/Total Assets are a key factors comparing with other factors which affect corporate credit risk of Tunisian firms since Tunisian firms are characterized by small and medium firms. Moreover, our results indicate that the corporate credit risk of industrial firms depends on macroeconomic conditions.