Interest Rate Risk Management in Uncertain Times

• 成果类型: Article
• 署名作者: Bretscher, Lorenzo; Schmid, Lukas; Vedolin, Andrea
• 署名单位: University of London; London School Economics & Political Science; Duke University; Boston University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy039
• 发表日期: 2018
• 页码: 3019
• 关键词: Financial constraints; credit spreads; political uncertainty; corporate-investment; TOBINS Q; premium; POLICY

摘要

We revisit evidence of real effects of uncertainty shocks in the context of interest rate uncertainty. We document that adverse movements in interest rate uncertainty predict significant slowdowns in real activity, both at the aggregate and at the firm levels. To understand how firms cope with interest rate uncertainty, we develop a dynamic model of corporate investment, financing, and risk management and test it using a rich data set on corporate swap usage. We find that interest rate uncertainty depresses financially constrained firms' investments in spite of hedging opportunities, because risk management by means of swaps is effectively risky.