| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w17026
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| 来源ID | Working Paper 17026
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| Credit Risk and Disaster Risk |
| Francois Gourio
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| 发表日期 | 2011-05-05
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| 出版年 | 2011
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| 语种 | 英语
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| 摘要 | Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that corporate debt, while safe in normal times, is exposed to the risk of economic depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with 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. In particular, financial frictions substantially amplify the effect of shocks to the disaster probability. |
| 主题 | Macroeconomics
; Consumption and Investment
; Business Cycles
; Money and Interest Rates
; Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w17026
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574700
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推荐引用方式
GB/T 7714 |
Francois Gourio. Credit Risk and Disaster Risk. 2011.
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文件名：
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w17026.pdf
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格式：
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Adobe PDF
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