Inflation Risk in Corporate Bonds
研究发现公司债券收益率反映了对债务通缩的担忧，通胀不确定性或顺周期性会显著提高信用利差，对投资者和央行有参考价值。
ABSTRACT We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice, more uncertain or procyclical inflation leads to quantitatively important increases in corporate log yields in excess of default‐free log yields. A panel of credit spread indexes from six developed countries shows that credit spreads rise by 14 basis points if inflation volatility or the inflation‐stock correlation increases by one standard deviation.