Do Credit Spreads Reflect Stationary Leverage Ratios?
提出一个包含随机利率和杠杆均值回归的结构化违约模型，发现该模型产生的信用利差对低杠杆公司更大、对公司价值变化更不敏感，且投机级债务的期限结构可向上倾斜，更符合实证发现。
ABSTRACT Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean‐reverting leverage ratios. We propose a structural model of default with stochastic interest rates that captures this mean reversion. Our model generates credit spreads that are larger for low‐leverage firms, and less sensitive to changes in firm value, both of which are more consistent with empirical findings than predictions of extant models. Further, the term structure of credit spreads can be upward sloping for speculative‐grade debt, consistent with recent empirical findings.