We study the impact of labor market frictions on credit risk. Our central finding is that labor market variables are the first-order effect in driving both of the aggregate time series and the cross sectional variations of credit risk. Recent studies have highlighted a link between credit risk and macroeconomic/firm-level variables such as investment growth, financial leverage, volatility, etc. We show that labor market variables (wage growth or labor share) can forecast the aggregate credit spread as well as or better than alternative predictors. Furthermore, firm-level labor expense growth rates and labor share can predict Moody-KMV expected default frequency (EDF) in the cross-section across a wide range of countries. A model with wage rigidity and endogenous long-term defaultable debt can explain these links as well as produce large credit spreads despite realistically low default probabilities (credit spread puzzle). This is because pre-committed payments to labor make other committed payments (such as debt) riskier; for this reason variables related to pre-committed labor payments have explanatory power for credit risk.

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会议室里的大象：劳动义务对信贷市场的影响

我们研究了劳动力市场摩擦对信用风险的影响。我们的主要发现是，劳动力市场变量是驱动总时间序列和信用风险的横截面变化的一阶效应。最近的研究强调了信用风险与宏观经济/公司水平变量之间的联系，例如投资增长，财务杠杆，波动性等。我们表明，劳动力市场变量（工资增长或劳动份额）可以预测总信用利差以及或比其他预测指标更好。此外，公司层面的劳务费用增长率和劳务份额可以在许多国家的横截面上预测穆迪-KMV预期的违约频率（EDF）。尽管实际上违约概率极低，但具有工资刚性和内生长期可拖欠债务的模型可以解释这些联系，并产生较大的信用利差（信用利差难题）。这是因为预先承诺的劳动付款使其他承诺的付款（例如债务）风险更大；因此，与预先承诺的劳动报酬相关的变量具有解释信用风险的能力。