Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
构建了一个动态资本结构模型，展示预期增长率、经济不确定性和风险溢价的商业周期变化如何影响企业融资政策，并统一解释了信用利差之谜和低杠杆之谜。
ABSTRACT I build a dynamic capital structure model that demonstrates how business cycle variation in expected growth rates, economic uncertainty, and risk premia influences firms' financing policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise endogenously through firms' responses to macroeconomic conditions. These comovements generate large credit risk premia for investment grade firms, which helps address the credit spread puzzle and the under‐leverage puzzle in a unified framework. The model generates interesting dynamics for financing and defaults, including market timing in debt issuance and credit contagion. It also provides a novel procedure to estimate state‐dependent default losses.