Firm and Guarantor Risk, Risk Contagion, and the Interfirm Spread among Insured Deposits
构建了第三方担保债务模型，发现利率溢价与企业及担保人风险呈乘数关系。应用于1987年FSLIC担保的存单数据，表明担保人风险上升而非企业风险变化导致利差扩大，未发现普遍风险传染。
We develop a model of third party guaranteed debt and show that interest rate premiums are multiplicatively related to firm and guarantor risk. We apply the model to thrifts issuing CDs guaranteed by the FSLIC and then estimate firm probabilities of insolvency and guarantor risk across 20 observed months. This time period spans the insolvency of the guarantor followed by two recapitalizations. The relative stability in firm risk across time offers no evidence of generalized risk contagion among firms. We attribute elevated CD premiums and rate spreads to increases in guarantor risk rather than changes in firm risk. On third party guaranteed debt, the risk of both the issuing firm and guarantor determines the interest rate. We show that the interest premium above the riskless Treasury rate for guaranteed debt is multiplicatively related to two factors: the probability of firm insolvency, and the expected cost of an incomplete guarantor payoff. We demonstrate that the presence of the guarantor obscures firm risk. Despite this, our model provides the basis for measuring firm risk as well as guarantor risk. We explain how different rates can exist on different firms' debt with the same guarantor and how spreads among the different firms' rates widen when the guarantor becomes riskier. Only a riskless guarantor causes the spreads to disappear. Our model fits nicely the case where savings and loans issue certificates of deposit (CDs) and the guarantor is the government's deposit insuring agency, the Federal Savings and Loan Insurance Corporation (FSLIC). In this case, the debt instrument, the guarantor, and the guarantee are the same for all the firms. We apply the model over a 20-month period beginning in January 1987 when, fol? lowing hundreds of thrift failures, the FSLIC announced its own insolvency. The