Dynamic Debt Maturity

• 成果类型: Article
• 署名作者: He, Zhiguo; Milbradt, Konstantin
• 署名单位: University of Chicago; National Bureau of Economic Research; Northwestern University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw039
• 发表日期: 2016
• 页码: 2677
• 关键词: optimal capital structure; credit spreads; liquidity risk; banking; bonds

摘要

A firm chooses its debt maturity structure and default timing dynamically, both without commitment. Via the fraction of newly issued short-term bonds, equity holders control the maturity structure, which affects their endogenous default decision. A shortening equilibrium with accelerated default emerges when cash flows deteriorate over time so that debt recovery is higher if default occurs earlier. Self-enforcing shortening and lengthening equilibria may coexist, with the latter possibly Pareto dominating the former. The inability to commit to issuance policies can worsen the Leland problem of the inability to commit to a default policy-a self-fulfilling shortening spiral and adverse default policy may arise. (JEL G32, C37)