Roll-over Risk and the Dynamics of Liquidity, Leverage and Maturity of Debt

  • Chaderina, Maria (Projektleitung)



I study the joint dynamics of leverage, maturity and liquidity choices of a firm. Long-term debt limits the firm’s exposure to roll-over losses driven by credit-spread risk, but short-term debt gives firms more flexibility in reducing leverage. Firms optimally have positive cash and debt balances, firms close to default prefer short-term debt, the relation between leverage and maturity is positive, and maturity dates are non-evenly spread-out. Higher volatility of cash flows makes firms opt for shorter-maturity debt, while the higher volatility of credit spreads makes firms chose longer-term borrowing and higher cash balances.
Tatsächlicher Beginn/ -es Ende1/01/1311/01/18