We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage produce realistic asset return dynamics. Countercyclical leverage drives predictable variation in risk premia, and debt‐financed growth generates a high value premium. Endogenous default produces countercyclical aggregate volatility and credit spread movements that are propagated to the real economy through their effects on investment and output.

中文翻译：

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具有杠杆和违约的均衡资产定价

我们开发了一个一般均衡模型，将股票和公司债券的定价与公司杠杆和总波动率的内生性波动联系在一起。该模型的特征是异类公司做出最佳的投资和融资决策，并将宏观经济数量和资产价格的波动与公司横截面的变动联系起来。凭经验来看，杠杆的合理变动会产生现实的资产收益动态。反周期杠杆驱动风险溢价的可预测变化，而债务融资型增长产生了高价值溢价。内生性违约产生反周期的总波动率和信贷利差变动，这些变动通过对投资和产出的影响传播到实体经济中。