| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w18367
|
| 来源ID | Working Paper 18367
|
| Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads |
| Hui Chen; Yu Xu; Jun Yang
|
| 发表日期 | 2012-09-06
|
| 出版年 | 2012
|
| 语种 | 英语
|
| 摘要 | We build a dynamic capital structure model to study the link between firms' systematic risk exposures and their time-varying debt maturity choices, as well as its implications for the term structure of credit spreads. Compared to short-term debt, long-term debt helps reduce rollover risks, but its illiquidity raises the costs of financing. With both default risk and liquidity costs changing over the business cycle, our calibrated model implies that debt maturity is pro-cyclical, firms with high systematic risk favor longer debt maturity, and that these firms will have more stable maturity structures over the cycle. Moreover, pro-cyclical maturity variation can significantly amplify the impact of aggregate shocks on the term structure of credit spreads, especially for firms with high beta, high leverage, or a lumpy maturity structure. We provide empirical evidence for the model predictions on both debt maturity and credit spreads. |
| 主题 | Macroeconomics
; Business Cycles
; Financial Economics
; Corporate Finance
|
| URL | https://www.nber.org/papers/w18367
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576043
|
推荐引用方式
GB/T 7714 |
Hui Chen,Yu Xu,Jun Yang. Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads. 2012.
|
|
文件名：
|
w18367.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
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。
