Dynamic Debt Runs

• 成果类型: Article
• 署名作者: He, Zhiguo; Xiong, Wei
• 署名单位: Princeton University; University of Chicago; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs004
• 发表日期: 2012
• 页码: 1799
• 关键词: Bank runs; RISK-MANAGEMENT; Rollover risk; global games; panics; INFORMATION; liquidity

摘要

This article analyzes the dynamic coordination problem among creditors of a firm with a time-varying fundamental and a staggered debt structure. In deciding whether to roll over his debt, each maturing creditor is concerned about the rollover decisions of other creditors whose debt matures during his next contract period. We derive a unique threshold equilibrium and characterize the roles of fundamental volatility, credit lines, and debt maturity in driving runs. In particular, we show that when fundamental volatility is sufficiently high, commonly used measures such as temporarily keeping the firm alive under runs and increasing debt maturity can exacerbate rather than mitigate runs.