Price Rigidities and Credit Risk
构建资本结构模型，发现价格调整能力弱的企业更易受冲击，表现为杠杆率低、债务期限短、成本高、契约严、现金持有多；实证证实货币政策冲击和雷曼破产后其信用利差上升更大。
Abstract We develop a capital structure model in which firms differ in their ability to adjust output prices. Firms with inflexible prices are more exposed to nominal and real shocks, leading to lower leverage, shorter debt maturity, higher cost of debt, tighter covenants, and greater precautionary cash holdings. Shocks to cash flow volatility raise the cost of debt more for firms with less pricing flexibility. We empirically confirm these predictions: Firms with inflexible prices experience significantly larger increases in credit spreads following monetary policy shocks and the 2008 Lehman Brothers bankruptcy, especially when they face high preshock rollover risk.