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浙江大学经济学院 2022-06-09


NO.364  报告人：魏旭

Uncertain Interest Rate and Debt Maturity Structure

报告人：魏旭  副教授  中央财经大学金融学院

主持人：杜立民  教授  浙江大学民营经济研究中心

时间：2022年3月3日（星期四）下午13:30-15:00

地点：腾讯会议（会议 ID：732-616-591；本次会议对外开放，请加入会议者将个人姓名备注为 真实姓名+单位）


摘要:  This paper investigates the impact of term spread of risk-free interest rates on corporate debt maturity, both theoretically and empirically. We first establish a theoretical framework endogenizing firm's debt maturity with uncertain interest rates. We find that when the current short-term interest rate decreases compared with long-term rate (term spread increases), the expected future short-term rate increases. Hence, the relative cost of borrowing in short term increases at the current date but decreases at the rollover date. With these two opposite effects, the relationship between firm's optimal debt maturity and term spread can be hump-shaped. Then we use panel data of US firms from 1981-2018 to test our theoretical prediction. We regress firms’ debt maturity on term spread and term spread square. It is found that the coefficient of term spread (term spread square) is positive (negative) and significant, which implies a hump-shaped pattern consistent with our theoretical prediction. Robustness tests show that this empirical result is not driven by data pattern changes at different periods.
简介： 魏旭，北京大学金融学博士，中央财经大学金融学院副教授，龙马青年学者，金融安全工程与监管科技实验中心主任。研究领域包括金融监管理论，公司金融理论、应用微观理论等。在《经济研究》、《经济学（季刊）》、《管理科学学报》、Journal of Banking & Finance, Journal of Environmental Economics & Management, Auditing: A Journal of Practice & Theory, Economics Letters 等国内外期刊发表论文数篇，主持国家自然科学基金课题两项。

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