學(xué)術(shù)講座：Uncertain Interest Rate and Debt Maturity Structure

UIBE-SBF金融學(xué)雙周論壇

講座題目：Uncertain Interest Rate and Debt Maturity Structure不確定利率與債券期限結(jié)構(gòu)

主講人：魏旭

講座時間：2018年5月30日下午12:20-13:20

講座地點：博學(xué)樓925

講座摘要：

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.

主講人簡介：

魏旭，中央財經(jīng)大學(xué)金融學(xué)院副教授，2013年畢業(yè)于北京大學(xué)國家發(fā)展研究院（中國經(jīng)濟(jì)研究中心）。研究領(lǐng)域包括公司金融理論、行為金融理論和金融監(jiān)管理論。曾在《Journal of Banking and Finance》、《Journal of Environmental Economics and Management》、《Economics Letters》發(fā)表過多篇論文。