Rollover Risk and Credit Spreads: Evidence from International Corporate Bonds
利用新兴和发达借款人在国际市场上发行的公司债券新数据集，发现短期债务比例高会加剧债务市场流动性不足对公司债券利差的影响，且该效应在金融稳定和危机时期均存在。
Abstract Using a new dataset on corporate bonds placed in international markets by emerging and developed borrowers, this article demonstrates that a high proportion of short-term debt exacerbates the effect of debt market illiquidity on corporate bond spreads. This effect is present during both periods of financial stability and of financial distress, and it is smaller in the banking sector than in other sectors. The article’s major finding is robust when controlling for potential endogeneity. Moreover, the results are consistent with the predictions of structural credit risk models that argue that a higher proportion of short-term debt increases a firm’s exposure to debt market illiquidity through a “rollover risk” channel.