Asset quality, debt maturity, and market liquidity

被引：2
|
作者：
Gong, Yaxian [1 ]
Wei, Xu [2 ]
机构：
[1] Cent Univ Finance & Econ, Sch Econ, Beijing, Peoples R China
[2] Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2019年 / 31卷
基金：
中国国家自然科学基金;
关键词：
Debt maturity; Market discipline; Asset quality; Market liquidity; ROLLOVER RISK;
D O I：
10.1016/j.frl.2018.11.015
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We construct a model that endogenizes both the debt maturity choices of financial institutions and the liquidity of the asset market in a Rational Expectations Equilibrium. And we find that the decrease in asset quality can cause over-reliance on short-term debt and also lower market liquidity at the same time. Our result provides a new mechanism of market freeze and sheds light on unifiedy understanding the maturity mismatch and liquidity dry-ups of the asset market during the recent global financial crisis.
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页码：285 / 293
页数：9
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