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来源类型Working Paper
规范类型报告
DOI10.3386/w25317
来源IDWorking Paper 25317
Low Inflation: High Default Risk AND High Equity Valuations
Harjoat S. Bhamra; Christian Dorion; Alexandre Jeanneret; Michael Weber
发表日期2018-12-03
出版年2018
语种英语
摘要We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two frictions result in higher real equity prices and credit spreads when inflation falls. An increase in inflation has opposite effects, but with smaller magnitudes. In the cross section, the model predicts the negative impact of inflation on real equity values is stronger for low leverage firms. We find empirical support for the model predictions.
主题Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance
URLhttps://www.nber.org/papers/w25317
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/582991
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Harjoat S. Bhamra,Christian Dorion,Alexandre Jeanneret,et al. Low Inflation: High Default Risk AND High Equity Valuations. 2018.
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