Impact of Macroeconomic Indicators on Corporate Credit Risk in Emerging Markets

📌 Overview

This project investigates how macroeconomic indicators influence corporate credit risk in emerging markets. Using publicly available datasets, the study examines relationships between economic conditions and corporate default risks.

📂 Table of Contents

• Research Question
• Dataset Information
• File Location & Path
• Variables Description
• Descriptive Statistics
• References

🎯 Research Question

How do macroeconomic indicators impact corporate credit risk in emerging markets?

📊 Dataset Information

The datasets used in this research are collected from reputable sources:

• Macroeconomic Indicators:

  • IMF DataMapper (IMF DataMapper)
  • World Bank Global Economic Monitor (World Bank GEM)

• Corporate Credit Risk:

  • Global Emerging Markets Risk Database Consortium (GEMs) (GEMs Risk Database)
  • S&P Global Ratings (S&P Global Ratings)

📂 File Location & Path

Data Type	Location	File Name	Path
Macroeconomic Data	./DATA/macro/	WEO_data.csv	./DATA/macro/WEO_data.csv
Corporate Credit Risk	./DATA/credit/	credit_risk.csv	./DATA/credit/credit_risk.csv

🔑 Variables Description

Variable Name	Description	Type
country	Name of the country	Categorical
year	Year of the observation	Temporal
gdp_growth	Annual GDP growth rate (%)	Continuous
inflation_rate	Annual inflation rate (%)	Continuous
interest_rate	Central bank policy interest rate (%)	Continuous
exchange_rate_volatility	Standard deviation of exchange rate fluctuations (%)	Continuous
unemployment_rate	National unemployment rate (%)	Continuous
public_debt_gdp	Public debt as a percentage of GDP (%)	Continuous
fdi_inflows	Foreign direct investment inflows (USD billions)	Continuous
credit_rating	Sovereign credit rating (e.g., AAA, AA, A, BBB, etc.)	Categorical
default_rate	Corporate default rate (%)	Continuous
non_performing_loans	Percentage of non-performing loans in the banking sector (%)	Continuous

📈 Descriptive Statistics

Variable	Mean	Standard Deviation	Minimum	Maximum
gdp_growth (%)	4.2	2.5	-3.0	10.5
inflation_rate (%)	5.8	3.2	0.5	15.0
interest_rate (%)	6.0	2.8	1.0	12.5
unemployment_rate (%)	7.5	3.0	2.0	15.0
default_rate (%)	2.1	1.5	0.1	7.0

📚 References

• IMF DataMapper: IMF DataMapper
• World Bank Global Economic Monitor: World Bank GEM
• Global Emerging Markets Risk Database Consortium (GEMs): GEMs Risk Database
• S&P Global Ratings: S&P Global Ratings

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