Capital Structure, Debt Maturity, and Stochastic Interest Rates
Capital Structure, Debt Maturity, and Stochastic Interest Rates
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资本结构、债务期限和随机利率
DOI：
10.2139/ssrn.687498
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发表时间：
2004
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通讯作者：
Ou
中科院分区：
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作者：
Nengjiu Ju;Ou
本文建立了一个随机利率环境下最优资本结构和债务期限共同确定的模型。该模型得出的杠杆率在精神上与经验观察一致。一个最优发行的债务的最优期限和信用利差被发现是小于观察值。利率的长期均值是决定最优资本结构和债务期限的关键变量。此外，利率的波动性以及利率与企业资产价值的相关性在决定债务期限方面也起着重要的作用。
This article develops a model in which optimal capital structure and debt maturity are jointly determined in a stochastic interest rate environment. The model yields leverage ratios that are consistent in spirit with empirical observations. The optimal maturity and credit spread of an optimally issued debt are found to be smaller than observed values. The long-run mean of the interest rate is found to be a key variable in determining optimal capital structure and debt maturity. Furthermore, the interest rate volatility and the correlation between the interest rate and the firm's asset value play important roles in determining debt maturity.
小松 H.；Y.Emoto；K.Tawada：(1989)
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