Credit Risk and Disaster Risk

• 成果类型: Article
• 署名作者: Gourio, Francois
• 署名单位: Boston University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.3.1
• 发表日期: 2013
• 页码: 1-34
• 关键词: capital structure; rare disasters; spreads; premium; substitution; consumption; aversion; MARKETS; puzzles; crises

摘要

Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and cyclicality of credit spreads, and variation in the corporate bond risk premium amplifies macroeconomic fluctuations in investment, employment, and GDP.