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Purpose This study aims to examine how crude palm oil (CPO) price impacts corporate default risk (CDR) of agricultural firms in Indonesia’s palm oil industry. Design/methodology/approach By applying a dynamic panel regression on listed CPO-based firms, the authors find that CPO price fluctuations are insignificant in explaining CDR. Findings The main determinants of CDR are internal factors, namely, excess stock market returns and return on assets. External factors do not play any role in influencing the CDR in the case of Indonesia. The results highlight the importance of completing risk analysis at the macro level with firm-specific factors. Research limitations/implications The contributions aside, an important limitation of this study is that there is a small sample of listed firms. Most of these firms have the ability to mitigate risks. Therefore, further studies are needed to identify the default predictions for non-listed firms. Practical implications In the context of macro prudential policy in Indonesia, the findings imply that financial stability surveillance needs to be carried out in two areas: macroeconomic indicators and firm-specific indicators. Given the lack of listed CPO firms in Indonesia, the object of surveillance should focus on not only listed firms but also non-listed firms with large bank loans. Originality/value This study highlights the importance of completing risk analysis at the macro level with firm-specific factors in Indonesia as commodity exporting country.