流动性风险通过内生债务到期的溢出效应

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2023.100814

Xu Wei , Xiao Xiao , Yi Zhou , Yimin Zhou

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引用次数: 3

摘要

我们构建了一个债务期限结构模型，并展示了企业如何在市场流动性风险成本和展期风险成本之间进行权衡。我们发现，直接增加一种流动性风险的外生冲击会促使企业改变其债务期限结构，并通过增加其对另一种风险的敞口来部分抵消冲击的影响(即存在溢出效应)。我们还表明，从市场流动性风险(展期风险)到展期风险(市场流动性风险)的溢出效应在衰退或竞争市场中更为明显(不那么明显)。

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Spillover effects between liquidity risks through endogenous debt maturity

We construct a model of debt maturity structure and show how a firm trades off between the costs of market liquidity risk and rollover risk. We show that an exogenous shock that directly increases one type of liquidity risk would induce the firm to alter its debt maturity structure and partially offset the impact of the shock by raising its exposure to the other type of risk (i.e., spillover effects exist). We also show that the spillover from market liquidity risk (rollover risk) to rollover risk (market liquidity risk) is more (less) pronounced during recessions or in competitive markets.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.