Systematic risk, debt maturity, and the term structure of credit spreads

• 成果类型: Article
• 署名作者: Chen, Hui; Xu, Yu; Yang, Jun
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Delaware; Bank of Canada
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.09.002
• 发表日期: 2021
• 页码: 770-799
• 关键词: credit risk; term structure; business cycle; Maturity dynamics; liquidity

摘要

We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical, (2) higher-beta firms tend to have longer maturity, and (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We present a dynamic capital structure model that explains these facts. In the model, leverage and maturity choices are interdependent, which reflect the tradeoffs of liquidity discounts of long-term debt, repayment risks of short-term debt, and the benefit of short-term debt as a commitment device for timely leverage adjustments. Additionally, the model helps quantify the effects of maturity dynamics on the term structure of credit spreads. (C) 2020 Elsevier B.V. All rights reserved.