Market Imperfections, Investment Flexibility, and Default Spreads
构建了一个结构模型，研究债务抵押品由借款人投资选择内生决定时，投资灵活性、激励问题和信贷约束如何影响违约利差，并基于写字楼和商业抵押贷款数据进行了数值模拟。
ABSTRACT This paper develops a structural model that determines default spreads in a setting where the debt's collateral is endogenously determined by the borrower's investment choice, and a demand variable with permanent and temporary components. We also consider the possibility that the borrower cannot commit to taking the value‐maximizing investment choice, and may, in addition, be constrained in its ability to raise external capital. Based on a model calibrated to data on office buildings and commercial mortgages, we present numerical simulations that quantify the extent to which investment flexibility, incentive problems, and credit constraints affect default spreads.