Capital Structure and the Yield Curve
构建了一个利率随收益率曲线三个因子（水平、斜率、曲率）随机变动的动态资本结构模型，发现这些因子显著影响企业杠杆和债务期限，并通过两阶段最小二乘法验证了模型预测。
Abstract We develop a dynamic capital structure model in which interest rates are stochastic and driven by three state variables: level, slope, and curvature of the yield curve in an arbitrage-free Nelson-Siegel model. Our analysis suggests that the yield-curve factors are critical determinants of the capital structure of firms and that an increase in any of the three factors is followed by an increase of the firm’s leverage and a shortening of its debt maturity. We perform a two-stage least squares system of equations that accounts for the joint determination of leverage and debt maturity and confirms our model’s predictions.