We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease in expected inflation has opposite effects, with even larger magnitudes. In the cross-section, the model predicts that the negative impact of higher expected inflation on real equity values is stronger for low leverage firms. We find empirical support for the model’s predictions.

中文翻译：

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高通胀：低违约风险和低股票估值

我们开发了一个具有内生公司政策的资产定价模型，该模型解释了通货膨胀如何共同影响实际资产价格和公司违约风险。我们的模型包括两个根据经验建立的名义刚性：固定名义债务息票（粘性杠杆）和粘性现金流。当预期通胀上升时，这两个摩擦导致实际股票价格和信用利差下降。预期通胀的下降会产生相反的影响，幅度甚至更大。在横截面中，该模型预测，对于低杠杆公司而言，较高的预期通胀对实际股票价值的负面影响更大。我们为模型的预测找到了经验支持。