Persistent Crises and Levered Asset Prices
发现标准灾难风险模型无法解释危机期间股市波动与信用利差的变化，通过引入持续性宏观经济危机，构建结构信用风险模型，成功捕捉了消费、杠杆与资产市场风险的联合动态，并估计出模型能复现企业隐含波动率曲线及其与违约风险的关系。
Abstract This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while crises endure. We structurally estimate the model and show that it replicates the firm-level implied volatility curve and its cross-sectional relation with observable proxies of default risk.