Interest Rates and Credit Risk

• Autores: Carlos González Aguado, Javier Suárez
• Localización: Documentos de trabajo ( CNMV ), ISSN 2172-6337, Nº. 46 (junio), 2011, págs. 1-49
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Este Documento de Trabajo indaga en los efectos de los cambios de los tipos de interés sobre el apalancamiento y el impago corporativo. Se desarrolla un modelo dinámico en el cual la relación entre las empresas y sus inversionistas se ve afectada por un problema de riesgo moral y la riqueza inicial del empresario es escasa. El vínculo endógeno entre apalancamiento y riesgo de incumplimiento proviene de los bajos incentivos que los empresarios sobreendeudados tienen para garantizar la supervivencia de sus empresas. La respuesta dinámica del apalancamiento y el incumplimiento a los recortes y las subidas de los tipos de interés es asimétrica y, al mismo tiempo, se distribuye de forma heterogénea entre las empresas.

  • English

    This paper explores the effects of shifts in interest rates on corporate leverage and default. We develop a dynamic model in which the relationship between firms and their outside financiers is affected by a moral hazard problem and entrepreneurs� initial wealth is scarce. The endogenous link between leverage and default risk comes from the lower incentives of overindebted entrepreneurs to guarantee the survival of their firms. Firms start up with leverage typically higher than some state-contingent target leverage ratio, and adjust gradually to it through earnings retention. The dynamic response of leverage and default to cuts and rises in interest rates is both asymmetric (since it is easier to adjust to a higher target leverage than to a lower one) and heterogeneously distributed across firms (since interest rates affect the burden of outstanding leverage, which differs across firms). We find that both interest rate rises and interest rate cuts increase the aggregate default rate in the short-run. Instead, higher rates produce lower default rates in the longer run since they induce lower target leverage across all firms. These results help rationalize some of the empirical evidence regarding the so-called risk-taking channel of monetary policy.