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学术讲座:Uncertain Interest Rate and Debt Maturity Structure

UIBE-SBF金融学双周论坛

讲座题目:Uncertain Interest Rate and Debt Maturity Structure不确定利率与债券期限结构

主讲人:魏旭

讲座时间:2018年5月30日下午12:20-13:20

讲座地点:博学楼925

讲座摘要:

This paper studies the influence of uncertain interest rate on the debt maturity structure of financial institutions(e.g. banks)in our model,the banker optimally chooses the proportion of short-term and long-term debt use,facing the trade-off between avoiding early liquidation and alleviating agency cost. Based on this framework,we introduce well defined interest rate structure and find that risk-free short-term interest rate is irrelevant if there is no interest rate uncertainty. However,if the future risk-free interest rate is uncertain,the relationship between current risk-free short-term interest rate and the proportion of short-term debt is not monotonic: there exists a cutoff point,if current short-term interest rate is lower(higher)than this point,then the use of short-term debt decreases(increases)with short-term interest rate. So when short-term interest rate is high enough,the further increase in short-term interest rate will lead to more use of short-term debt. This result provides an explanation for the fact that the banking sector in U.S. used more short-term debt as the short-term interest rate increases before the financial crisis 2007-2009. Our result also has new empirical implications on the relationship between debt maturity and term spread.

主讲人简介:

魏旭,中央财经大学金融学院副教授,2013年毕业于北京大学国家发展研究院(中国经济研究中心)。研究领域包括公司金融理论、行为金融理论和金融监管理论。曾在《Journal of Banking and Finance》、《Journal of Environmental Economics and Management》、《Economics Letters》发表过多篇论文。