| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP8201
|
| DP8201 Credit Risk and Disaster Risk |
| Francois Gourio
|
| 发表日期 | 2011-01-17
|
| 出版年 | 2011
|
| 语种 | 英语
|
| 摘要 | Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread puzzle"). This paper introduces a parsimonious real business cycle model where firms issue defaultable debt and equity to finance investment. The mix between debt and equity is determined by a trade-off between tax savings and bankruptcy costs. By their very nature, corporate bonds, while safe in normal times, are highly exposed to the risk of economic depression. This motivates introducing a small, time-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well as novel business cycle implications. An increase in disaster risk makes default more systematic, leading to higher risk premia, and higher expected discounted bankruptcy costs, hence worsening ?nancial frictions. This leads to a reduction in investment, output, and leverage. Financial frictions amplify significantly the effects of disaster risk: the response of investment and output is about three times larger than in the frictionless model. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Financial frictions
Financial accelerator
Systematic risk
Asset pricing
Credit spread puzzle
Business cycles
Equity premium
Time-varying risk premium
Disasters
Rare events
|
| URL | https://cepr.org/publications/dp8201
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537037
|
推荐引用方式
GB/T 7714 |
Francois Gourio. DP8201 Credit Risk and Disaster Risk. 2011.
|
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