Endogenous debt maturity and rollover risk

Optimal Debt Maturity Structure, Rollover Risk and Strategic Uncertainty

This paper analyzes debt maturity structure for a borrower in a setting where creditors are faced with strategic uncertainty. In contrast to the existing literature, I examine the e¤ects of strategic uncertainty on the issuance of debt in an environment where face values of debt are determined endogenously and directly a¤ect investors’ rollover decisions. I …nd that strategic uncertainty has a ...

Risk aversion and debt maturity structure

We study the relationship of risk aversion and debt maturity structure. In a model in which adverse selection in financial markets creates a role for the use of short-term debt, we allow the possibility of borrowers being risk-averse. This creates a trade-off between reduced expected financing costs and higher risk and allows for the study of the effect of risk aversion on optimal maturity stru...

Rollover risk and the maturity transformation function of banks

Optimal Government Debt Maturity

This paper develops a model of optimal government debt maturity in which the government cannot issue state-contingent bonds and cannot commit to fiscal policy. If the government can perfectly commit, it fully insulates the economy against government spending shocks by purchasing short-term assets and issuing long-term debt. These positions are quantitatively very large relative to GDP and do no...

Corporate Debt Maturity Profiles ∗

We study a novel aspect of a firm’s capital structure, namely the profile of its debt maturity dates. In a simple theoretical framework we show that the dispersion of debt maturities constitutes an important dimension of capital structure choice, driven by firm characteristics and debt rollover risk. Guided by these results we establish two main empirical results. First, using an exogenous shoc...