Risk Management with Variable Capital Utilization and Time-Varying Collateral Capacity
构建了一个包含可变资本利用和时变抵押能力的风险管理模型，发现资本利用率与公司流动性负相关，而套期保值与流动性和预期盈利正相关，并用油气生产商数据验证了预测。
We build a risk management model that incorporates variable capital utilization and time-varying collateral capacity. The former lets firms optimally choose capital utilization, and hence production, which affects capital depreciation and risk exposure. The latter means firms’ ability to borrow and hedge increases with expected earnings and thus utilization. Calibrated solutions show both ingredients matter for firm value. We test the novel model predictions using a new data set of oil and gas producers. Consistent with model predictions, we find utilization is negatively correlated with firm liquidity, while hedging is positively correlated with liquidity and expected profitability. This paper was accepted by Lukas Schmid, finance. Funding: Lu and Vij acknowledge financial support from the Terry-Sanford Research Award, University of Georgia. Supplemental Material: The online appendices and data files are available at https://doi.org/10.1287/mnsc.2022.00415 .