Uncertainty, Credit Spreads, and Investment Dynamics
Uncertainty, Credit Spreads, and Investment Dynamics
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不确定性、信用利差和投资动态
DOI：
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发表时间：
2009
期刊：
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通讯作者：
Egon Zakrajÿsek
中科院分区：
文献类型：
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作者：
Simon Gilchrist;J. Sim;Egon Zakrajÿsek
在标准债券定价框架中（例如，Merton [1974]），风险公司债券持有人的收益函数是公司随机收益的凹函数，这意味着均值保持价差与债券风险溢价的增加有关。标准债务契约的这一特征对不确定性和投资之间的关系有两个重要的影响。首先，在一定程度上，企业面临着信贷市场的重大摩擦，债券风险溢价的上升意味着资本成本的增加，从而减少投资;在这种环境中，不确定性可以有一个重大影响的投资动态没有任何投资的不可逆性或管理风险规避。第二，如果信贷市场摩擦是不确定性影响投资的重要机制，那么将债券风险溢价纳入实证投资规范应该会减弱不确定性对投资的直接影响。使用总的时间序列和公司层面的数据，我们测试这两个假设，并找到强有力的支持，认为不确定性和投资之间的关系的影响，重要的信贷市场摩擦的存在。然后，我们开发了一个易于处理的一般均衡模型，在该模型中，企业在不完善的资本市场上发行风险债券和股票，为投资项目融资。我们校准的不确定性过程中，使用公司层面的冲击，以公司的利润估计，并表明该模型成功地解释了横截面和时间序列的债券风险溢价及其与不确定性和总投资的共动属性。
In the standard bond-pricing framework (e.g., Merton [1974]), the return function of holders of risky corporate debt is a concave function of the firm’s stochastic return, implying that a mean-preserving spread is associated with an increase in the bond risk premium. This feature of the standard debt contract has two important implications for the relationship between uncertainty and investment. First, to the extent that firms face significant frictions in credit markets, the rise in the bond risk premium implies an increase in the cost of capital and hence a reduction in investment; in such environment, uncertainty can have a significant effect on investment dynamics absent any investment irreversibility or managerial risk aversion. Second, if credit market frictions are an important mechanism through which uncertainty affects investment, then the inclusion of the bond risk premium in an empirical investment specification should attenuate the direct impact of uncertainty on investment. Using both the aggregate time-series and firm-level data, we test these two hypotheses and find strong support for the view that the relationship between uncertainty and investment is influenced importantly by the presence of credit market frictions. We then develop a tractable general equilibrium model in which firms issue risky bonds and equity in imperfect capital markets to finance investment projects. We calibrate the uncertainty process using firm-level estimates of shocks to the firms’ profits and show that the model successfully explains the cross-sectional and time-series properties of bond risk premiums and their comovement with uncertainty and aggregate investment.