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1、DynamicCapitalStructureandStochasticInterestRates*ALINEJADMALAYERI*TheUniversityofNevada,Reno,MailStop028,Reno,NV89557-0206,Tel:(775)784-6993x306,Email:aliala@unr.edu.Thispaperisbasedonanessayofmydissertation.IwouldliketothankAlexandreBaptista,WalidBusaba,ChrisLamourreux,RaynoldePerriera,Ke
2、nnethRosekelly,JaimeZender,andtheseminarparticipantsintheUniversityofArizona,andtheUniversityofNevada,Renoforhelpfulcomments.Allerrorsaremysoleresponsibility.1DynamicCapitalStructureandStochasticInterestRatesABSTRACTThisstudydevelopsamodelofdynamiccapitalstructureinthepresenceofstochasticin
3、terestrates.Havingseparatedtheimpactoffirmcharacteristics,thepapershowsthattheoptimalleverageandmaturityarepositivelyrelatedtotheshort–terminterestratesandnegativelyassociatedwiththelong–terminterestrates.Thevolatilityofinterestratesaffectstheoptimalleveragenegatively.Theoptimalmaturityisre
4、latedtothevolatilitypositively(negatively)whentheyieldcurveisnormal(inverted).Theaforementionedareduetothechangesinthefirm’staxshields,bankruptcycostsandrecapitalizationcostscausedbyinterestratemovements.2I.IntroductionStudiesincorporatefinanceandassetpricingshowinterestratescanpertinentlya
5、ffectcorporateclaims,henceinfluencingtheoptimalcapitalstructure.Incorporatefinance,continuoustimestudiesofcapitalstructurefindthatchangesoftherisk-freeratedistortcorporatetaxshieldsanddistresscosts,affectingoptimalcapitalstructure.Bothanalyticalandempiricalstudiesinassetpricingfindthatshort
6、andlongratesaffectthecorporatebondprices,implyingchangesincapitalstructure.However,despitenumerousindicationsfrombothcorporatefinanceandassetpricingcampsonthepertinenceofinterestrateinvaluingcorporatebondsandhence,determiningoptimalcapitalstructure,weknowlittleaboutifandhowtheevolutionofthe
7、entireyieldcurve(i.e.,structuralcharacteristicsofthedynamicsofinterestrates)affectthecapitalstructurechoice.Currentcontinuous–timecapitalstructuremodelspostulatethatinterestratesaffectcapitalstructure[see,e.g.,Fischer,Heinkel,andZechner(1989),Leland(1994
