Rollover Risk and Credit Risk

• 成果类型: Article
• 署名作者: He, Zhiguo; Xiong, Wei
• 署名单位: University of Chicago; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01721.x
• 发表日期: 2012
• 页码: 391-429
• 关键词: optimal capital structure; corporate-debt; liquidity; MARKET; determinants; spreads; INVESTMENT; maturity; default; COSTS

摘要

Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate interaction between the liquidity premium and default premium and highlights the role of short-term debt in exacerbating rollover risk.