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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,Kenneth
2、Rosekelly,JaimeZender,andtheseminarparticipantsintheUniversityofArizona,andtheUniversityofNevada,Renoforhelpfulcomments.Allerrorsaremysoleresponsibility.1DynamicCapitalStructureandStochasticInterestRatesABSTRACTThisstudydevelopsamodelofdynamiccapitalstructureinthepresenceofstochasticinterestrate
3、s.Havingseparatedtheimpactoffirmcharacteristics,thepapershowsthattheoptimalleverageandmaturityarepositivelyrelatedtotheshort–terminterestratesandnegativelyassociatedwiththelong–terminterestrates.Thevolatilityofinterestratesaffectstheoptimalleveragenegatively.Theoptimalmaturityisrelatedtothevolat
4、ilitypositively(negatively)whentheyieldcurveisnormal(inverted).Theaforementionedareduetothechangesinthefirm’staxshields,bankruptcycostsandrecapitalizationcostscausedbyinterestratemovements.2I.IntroductionStudiesincorporatefinanceandassetpricingshowinterestratescanpertinentlyaffectcorporateclaims
5、,henceinfluencingtheoptimalcapitalstructure.Incorporatefinance,continuoustimestudiesofcapitalstructurefindthatchangesoftherisk-freeratedistortcorporatetaxshieldsanddistresscosts,affectingoptimalcapitalstructure.Bothanalyticalandempiricalstudiesinassetpricingfindthatshortandlongratesaffectthecorp
6、oratebondprices,implyingchangesincapitalstructure.However,despitenumerousindicationsfrombothcorporatefinanceandassetpricingcampsonthepertinenceofinterestrateinvaluingcorporatebondsandhence,determiningoptimalcapitalstructure,weknowlittleaboutifandhowtheevolutionoftheentireyieldcurve(i.e.,structur
7、alcharacteristicsofthedynamicsofinterestrates)affectthecapitalstructurechoice.Currentcontinuous–timecapitalstructuremodelspostulatethatinterestratesaffectcapitalstructure[see,e.g.,Fischer,Heinkel,andZechner(1989),Leland(1994
