The Maturity Rat Race

• 成果类型: Article
• 署名作者: Brunnermeier, Markus K.; Oehmke, Martin
• 署名单位: Princeton University; National Bureau of Economic Research; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12005
• 发表日期: 2013
• 页码: 483-521
• 关键词: debt maturity; liquidity risk; COMPETITION; PROPERTY; priority

摘要

Why do some firms, especially financial institutions, finance themselves so short-term? We show that extreme reliance on short-term financing may be the outcome of a maturity rat race: a borrower may have an incentive to shorten the maturity of an individual creditor's debt contract because this dilutes other creditors. In response, other creditors opt for shorter maturity contracts as well. This dynamic toward short maturities is present whenever interim information is mostly about the probability of default rather than the recovery in default. For borrowers that cannot commit to a maturity structure, equilibrium financing is inefficiently short-term.