Surges and instability: The maturity shortening channel

• 成果类型: Article
• 署名作者: Li, Xiang; Su, Dan
• 署名单位: Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Martin Luther University Halle Wittenberg
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103679
• 发表日期: 2022
• 关键词: Capital inflow surges; Corporate maturity structure; term structure; Systemic financial crisis

摘要

Capital inflow surges destabilize the economy through a maturity shortening mechanism. The underlying reason is that firms have incentives to redeem their debt on demand to accommo-date the potential liquidity needs of global investors, which makes international borrowing en-dogenously fragile. Based on a theoretical model and empirical evidence at both the firm and macro levels, our main findings are twofold. First, a significant association exists between surges and shortened corporate debt maturity, especially for firms with foreign bank relation-ships and higher redeployability. Second, the probability of a crisis following surges with a flat-tened yield curve is significantly higher than that following surges without one. Our study suggests that debt maturity is the key to understand the financial instability consequences of capital inflow bonanzas.(c) 2022 Elsevier B.V. All rights reserved.