Interest Rates and Credit Risk
用一个动态模型研究利率变动如何影响企业杠杆和违约风险，发现杠杆与违约风险的关联源于过度负债企业家维持企业生存的激励不足，且利率上升和下降的影响不对称、在不同企业间分布不均。
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.