High Inflation: Low Default Risk and Low Equity Valuations
构建了一个包含企业内生决策的资产定价模型，解释了通胀如何同时影响实际资产价格和企业违约风险，发现预期通胀上升会降低实际股票价格和信用利差，且对低杠杆公司影响更强。
Abstract We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease in expected inflation has opposite effects, with even larger magnitudes. In the cross-section, the model predicts that the negative impact of higher expected inflation on real equity values is stronger for low leverage firms. We find empirical support for the model’s predictions. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.