论文标题
均衡违约公司债务和投资
Equilibrium Defaultable Corporate Debt and Investment
论文作者
论文摘要
在具有投资者收支平衡状况的动态资本结构模型中，公司的钟声方程可能不会产生收缩映射，因此不适用标准存在和独特条件。首先，我们提供了一个示例，显示了经典的权衡模型中的问题。该公司可以发行一期违约债务，投资资本并支付股息。如果公司无法满足所需的债务付款，则将清算。其次，我们展示了如何将双重问题用于原始问题和度量的变化，以便可以证明存在和独特性。在独特的马尔可夫完美平衡中，公司的决策反映了国家依赖的资本和债务目标。我们的方法可能对具有投资者收支平衡状况的其他动态企业模型有用。
In dynamic capital structure models with an investor break-even condition, the firm's Bellman equation may not generate a contraction mapping, so the standard existence and uniqueness conditions do not apply. First, we provide an example showing the problem in a classical trade-off model. The firm can issue one-period defaultable debt, invest in capital and pay a dividend. If the firm cannot meet the required debt payment, it is liquidated. Second, we show how to use a dual to the original problem and a change of measure, such that existence and uniqueness can be proved. In the unique Markov-perfect equilibrium, firm decisions reflect state-dependent capital and debt targets. Our approach may be useful for other dynamic firm models that have an investor break-even condition.
