Inflation Risk in Corporate Bonds

• 成果类型: Article
• 署名作者: Kang, Johnny; Pflueger, Carolin E.
• 署名单位: University of British Columbia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12195
• 发表日期: 2015
• 页码: 115-162
• 关键词: consistent covariance-matrix; OPTIMAL CAPITAL STRUCTURE; credit spreads; term structure; AGENCY COSTS; equity premium; interest-rates; Rollover risk; long-run; debt

摘要

We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice, more uncertain or procyclical inflation leads to quantitatively important increases in corporate log yields in excess of default-free log yields. A panel of credit spread indexes from six developed countries shows that credit spreads rise by 14 basis points if inflation volatility or the inflation-stock correlation increases by one standard deviation.