Journal of Political Economy Macroeconomics · 2026 · Kyle Dempsey、Felicia Anamaria Ionescu
中文摘要
行政数据显示,美国无担保信贷市场存在可观的利差:其平均水平较高,且随违约风险上升的幅度比标准模型的预测更为平缓。我们构建了一个通过纳入长期债务、多种违约选择和放贷成本来复现这一实证模式的框架,并利用该框架分解贷款价格与违约风险之间均衡关系的关键驱动因素。我们发现,债务的长期属性与放贷人的中介成本推高了利差水平,而不同违约选择下回收率的差异则导致价格—风险关系的斜率较为平坦。
Abstract
Administrative data reveal substantial spreads in the US unsecured credit market that are large on average and increase with default risk less steeply than predicted by standard models. We develop a framework that replicates this empirical pattern by incorporating long-term debt, multiple default options, and lending costs, using it to decompose the key drivers of the equilibrium relationship between loan prices and default risk. We find that the long-term nature of debt and lenders’ intermediation costs drive the high level of spreads, while variation in recovery across default options drives the flat slope of the price-risk relationship.