The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

• 成果类型: Article
• 署名作者: Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, Ilya A.
• 署名单位: University of British Columbia; Carnegie Mellon University; Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq075
• 发表日期: 2010
• 页码: 4187
• 关键词: market imperfections; STRUCTURE CHOICE; monetary-policy; credit spreads; equity premium; corporate-debt; asset returns; long-run; consumption; FIRMS

摘要

We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure for a cross-section of firms. Our structural-equilibrium framework embeds a contingent-claim corporate financing model within a consumption-based asset-pricing model. We investigate the effect of macroeconomic conditions on asset valuation and optimal corporate policies, and of preferences on capital structure. While capital structure is pro-cyclical at dates when firms re-lever, it is counter-cyclical in aggregate dynamics, consistent with empirical evidence. We also find that financially constrained firms choose more pro-cyclical policies and that leverage accounts for most of the macroeconomic risk relevant for predicting defaults, but is a poor measure of how preferences impact capital structure.