Interest Rate Swaps and Corporate Default
Copyright policy )Interest Rate Swaps and Corporate Default
This paper studies firms' usage of interest rate swaps to manage risk in a model economy driven by aggregate productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence, firms in the model are fixed-rate payers, and swap positions are negatively correlated with the term spread. In the model, swaps affect firms' investment decisions and debt pricing very moderately, and the availability of swaps generates only small economic gains for the typical firm.
- Federal Reserve Board of Governors United States
- Emory University United States
- National Bureau of Economic Research United States
- University of Pennsylvania United States
- Federal Reserve United States
ddc:330, firm borrowing and investment, interest rate swaps, debt pricing, risk management, Inflation, corporate default, Interest rate swaps, swap position, Schock, derivative usage, Produktivitätsentwicklung, E44, Unternehmensfinanzierung, corporate default, debt pricing, Interest rate swaps, risk management, swap position, G12, USA, Interest rates, asset pricing, etc. (stochastic models), Zinsderivat, Corporate finance (dividends, real options, etc.)
ddc:330, firm borrowing and investment, interest rate swaps, debt pricing, risk management, Inflation, corporate default, Interest rate swaps, swap position, Schock, derivative usage, Produktivitätsentwicklung, E44, Unternehmensfinanzierung, corporate default, debt pricing, Interest rate swaps, risk management, swap position, G12, USA, Interest rates, asset pricing, etc. (stochastic models), Zinsderivat, Corporate finance (dividends, real options, etc.)
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