商业周期中涉及信用违约掉期的金融决策

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control Pub Date : 2024-02-10 DOI:10.1016/j.jedc.2024.104830

Liu Gan , Zhaojun Yang

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引用次数: 0

摘要

我们提出了一种建模方法，以区分特异性冲击和总体冲击如何形成信用违约掉期（CDS）对 CDS 公司财务决策的影响。我们相对简洁的模型凸显了导致 CDS 顺周期性的新机制。我们的研究表明，CDS 会推迟债务重新谈判和风险投资。CDS 公司的杠杆率高于非 CDS 公司。CDS 企业的杠杆率和信用利差具有反周期性。CDS 企业的债务悬置不如非 CDS 企业严重。CDS 可以增加或减少 CDS 公司的价值，这取决于宏观经济条件、特异性风险和借款人的议价能力。实证研究验证了一些模型预测。

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Financial decisions involving credit default swaps over the business cycle

We propose a modeling approach to disentangle how idiosyncratic and aggregate shocks shape the impact of credit default swaps (CDSs) on CDS firms' financial decisions. Our relatively parsimonious model highlights a novel mechanism contributing to CDS procyclicality. We show that CDSs postpone debt renegotiation and risk-taking investment. CDS firms have higher leverage ratios than non-CDS firms. CDS firms' leverage and credit spreads are counter-cyclical. CDS firms' debt overhang is less significant than non-CDS firms. CDSs can increase or decrease CDS firms' value, depending on macroeconomic conditions, idiosyncratic risk, and borrowers' bargaining power. Empirical studies verify some model predictions.

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来源期刊

Journal of Economic Dynamics & Control ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

199

期刊介绍： The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.