Interest Rates and Credit Risk

被引：9

作者：

Gonzalez-Aguado, Carlos

Suarez, Javier ^{[1
,2
]}

机构：

[1] CEMFI, Finance, Madrid, Spain

[2] CEPR, Washington, DC USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2015年 / 47卷 / 2-3期

关键词：

interest rates; short-term debt; search for yield; credit risk; firm dynamics; CAPITAL STRUCTURE; MONETARY-POLICY; FIRM; DECISIONS; SURVIVAL; DEFAULT; FINANCE; MODEL; DEBT;

D O I：

10.1111/jmcb.12182

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper explores the effects of shifts in interest rates on corporate leverage and default in the context of a dynamic model in which the link between leverage and default risk comes from the lower incentives of overindebted entrepreneurs to guarantee firm survival. The need to finance new investment pushes firms' leverage ratio above some state-contingent target toward which firms gradually adjust through earnings retention. The response to interest rate rises and cuts is both asymmetric and heterogeneously distributed across firms. Our results help rationalize some of the evidence regarding the risk-taking channel of monetary policy.

引用

页码：445 / 480

页数：36

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