Liquidity risk and maturity management over the credit cycle

• 成果类型: Article
• 署名作者: Mian, Atif; Santos, Joao A. C.
• 署名单位: Princeton University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.12.006
• 发表日期: 2018
• 页码: 264-284
• 关键词: LIQUIDITY RISK; maturity management; Loan refinancing

摘要

We show that firm demand-side factors are strong drivers of procyclical refinancing behavior over the credit cycle using novel data from the Shared National Credit program. Firms are more likely to refinance early when credit conditions are good to keep the effective maturity of their loans long and hedge against having to refinance in tight credit conditions. High credit quality firms are better able to hedge, making their refinancing propensity more sensitive to credit cycles than less creditworthy firms. There is a strong relationship between refinancing a loan, and subsequent growth in capital expenditure, especially when a loan is refinanced early. (C) 2017 Elsevier B.V. All rights reserved.