On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

• 成果类型: Article
• 署名作者: Chen, Long; Collin-Dufresne, Pierre; Goldstein, Robert S.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Michigan State University; Columbia University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn078
• 发表日期: 2009
• 页码: 3367
• 关键词: CORPORATE YIELD SPREADS; capital structure; term structure; monetary-policy; default risk; debt; returns; STOCK; SWAP; valuation

摘要

Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this credit spread puzzle can be resolved if one accounts for the fact that default rates and Sharpe ratios strongly covary; both are high during recessions and low during booms. As a specific example, we investigate credit spread implications of the Campbell and Cochrane (1999) pricing kernel calibrated to equity returns and aggregate consumption data. Identifying the historical surplus consumption ratio from aggregate consumption data, we find that the implied level and time variation of spreads match historical levels well.