全球智库信息集成服务系统(G2TT): Endogenous Liquidity and Defaultable Bonds

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18408
来源ID	Working Paper 18408
	Endogenous Liquidity and Defaultable Bonds
	Zhiguo He; Konstantin Milbradt
发表日期	2012-09-21
出版年	2012
语种	英语
摘要	This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn leads to earlier endogenous default. Besides characterizing in closed form the full inter-dependence between liquidity premium and default premium for credit spreads, we also study the optimal maturity implied by the model based on the tradeoff between liquidity provision and inefficient default.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w18408
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/576084
推荐引用方式 GB/T 7714	Zhiguo He,Konstantin Milbradt. Endogenous Liquidity and Defaultable Bonds. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w18408.pdf（769KB）	智库出版物		限制开放	CC BY-NC-SA	浏览