Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

• 成果类型: Article
• 署名作者: Chen, Hui
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01613.x
• 发表日期: 2010
• 页码: 2171-2212
• 关键词: STRUCTURE CHOICE; term structure; AGENCY COSTS; long-run; RISK; consumption; distress; debt; transactions; RESOLUTION

摘要

I build a dynamic capital structure model that demonstrates how business cycle variation in expected growth rates, economic uncertainty, and risk premia influences firms' financing policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise endogenously through firms' responses to macroeconomic conditions. These comovements generate large credit risk premia for investment grade firms, which helps address the credit spread puzzle and the under-leverage puzzle in a unified framework. The model generates interesting dynamics for financing and defaults, including market timing in debt issuance and credit contagion. It also provides a novel procedure to estimate state-dependent default losses.