| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8913 |
| DP8913 Aggregate Risk and the Choice between Cash and Lines of Credit | |
| Viral Acharya; Heitor Almeida; Murillo Campello | |
| 发表日期 | 2012-03-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We model corporate liquidity policy and show that aggregate risk exposure is a key determinant of how firms choose between cash and bank credit lines. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get credit lines and opt for cash in spite of higher opportunity costs and liquidity premium. Likewise, in times when aggregate risk is high, firms rely more on cash than on credit lines. We verify these predictions empirically. Cross-sectional analyses show that firms with high exposure to systematic risk have a higher ratio of cash to credit lines and face higher spreads on their lines. Time-series analyses show that firms' cash reserves rise in times of high aggregate volatility and in such times credit lines initiations fall, their spreads widen, and maturities shorten. Also consistent with the mechanism in the model, we find that exposure to undrawn credit lines increases bank-specific risks in times of high aggregate volatility. |
| 主题 | Financial Economics |
| 关键词 | Bank lines of credit Cash holdings Liquidity management Systemic risk Loan spreads Loan maturity Asset beta |
| URL | https://cepr.org/publications/dp8913 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537743 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Heitor Almeida,Murillo Campello. DP8913 Aggregate Risk and the Choice between Cash and Lines of Credit. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
