债务市场流动性与企业违约预测

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2014-10-01 DOI:10.2139/SSRN.2146852

Deming Wu, Suning Zhang

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引用次数: 1

摘要

最近对次贷危机和展期风险的研究表明，债务市场流动性是影响违约风险的主要因素。这意味着严重依赖短期债务(如商业票据)的公司面临更大的违约风险。债务市场的流动性不足会降低企业的价值，从而影响企业的杠杆率，这是预测违约的主要因素。我们用一个考虑企业杠杆测量误差的离散时间动态风险模型来估计债务市场条件对违约概率的影响。我们的研究结果表明，展期风险是导致违约的重要因素，但在2000-2001年左右，非金融企业的风险较高，而进入次贷危机的风险要小得多。

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Debt Market Liquidity and Corporate Default Prediction

Recent research on the subprime crisis and rollover risk suggests that debt market liquidity is a major factor affecting the risk of default. This implies that firms that rely heavily on short-term debt, such as commercial paper (CP), are at greater risk of default. Debt market illiquidity could reduce the value of the firm and thus impact the firm's leverage, which is a major factor in predicting default. We estimate the effect of debt market conditions on the probability of default with a discrete-time dynamic hazard model that takes into account measurement error in firm leverage. Our results indicate that rollover risk is a significant factor in causing default, but the risk was higher for nonfinancial firms around 2000–2001 and considerably less entering the subprime crisis.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.