Credit lines as monitored liquidity insurance: Theory and evidence

• 成果类型: Article
• 署名作者: Acharya, Viral; Almeida, Heitor; Ippolito, Filippo; Perez, Ander
• 署名单位: National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; Pompeu Fabra University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.02.001
• 发表日期: 2014
• 页码: 287-319
• 关键词: LIQUIDITY MANAGEMENT; Cash holdings; liquidity risk; hedging; covenants; Loan commitments; Credit line revocation

摘要

We propose a theory of credit lines provided by banks to firms as a form of monitored liquidity insurance. Bank monitoring and resulting revocations help control illiquidity-seeking behavior of firms insured by credit lines. The cost of credit lines is thus greater for firms with high liquidity risk, which in turn are likely to use cash instead of credit lines. We test this implication for corporate liquidity management by identifying exogenous shocks to liquidity risk of firms in corporate bond and equity markets. Firms experiencing increases in liquidity risk move out of credit lines and into cash holdings. (C) 2014 Elsevier B.V. All rights reserved.