Vanishing Contagion Spreads
研究多公司均衡中不完全信息下的违约，发现随着公司数量增加，其他公司冲击产生的内生波动和跳跃消失，信用利差仅取决于自身现金流风险，质疑了外生设定风险量并归因于传染的结论。
We study default in a multifirm equilibrium setting with incomplete information. Defaults are consistent with the firm’s balance sheet and aggregation. We show that the endogenous volatility and jump size of debt and equity generated by other firms’ shocks vanish as the number of firms in the economy increases. As a result, credit spreads depend asymptotically only on the firms’ own cash flow risk. Our vanishing contagion spread result calls into question recent findings based on production economies, in which quantities of risk (volatilities and jump sizes of securities) are specified exogenously, that attribute credit spreads mostly to contagion. This paper was accepted by Kay Giesecke, finance.