信用风险与经济周期  

Credit Risk and Business Cycles

作　　者：苗建军[1] 王鹏飞 MIAO Jianjun;WANG Pengfei(Boston University;Peking University HSBC Business School)

机构地区：[1]美国波士顿大学经济系 [2]广东省深圳市南山区北京大学汇丰商学院,518055

出　　处：《经济管理学刊》2022年第1期231-264,共34页Quarterly Journal of Economics and Management

基　　金：自然科学基金原创探索计划项目(72150003)的资助。

摘　　要：本文构建了一个包含可违约的长期公司债券和信用风险的动态随机一般均衡模型。在该模型中,信用风险会放大总技术冲击的作用。债务资本比率作为新的状态变量,其内生变动提供了冲击的传播机制。该模型不仅能匹配数据中观察到的产出增长的持续性和波动性,还能较好地匹配数据中的平均股权溢价和平均无风险利率。对该模型的分析表明,信用利差是逆周期的,其能通过托宾Q影响企业投资决策,进而预测未来经济状况。另外,信用利差还可以通过风险的市场价格的变动来预测未来股票回报。最后,该模型表明信贷市场的金融冲击可以通过托宾Q传导到实体经济。The text incorporates long-term defaultable corporate bonds and credit risk in a dynamic stochastic general equilibrium business cycle model.Credit risk amplifies aggregate technology shocks.The debt-capital ratio is a new state variable and its endogenous movements provide a propagation mechanism.The model can match the persistence and volatility of output growth as well as the mean equity premium and the mean risk-free rate as in the data.The model implied credit spreads are countercyclical and forecast future economic activities because they affect firm investment through Tobin's Q.They also forecast future stock returns through changes in the mar-ket price of risk.Finally,The model shows that financial shocks to the credit markets are trans-mitted to the real economy through Tobin's Q.

关 键 词：信用风险 信用利差 动态资本结构 股权溢价 经济周期 投资 Q理论 

分 类 号：F831[经济管理—金融学]