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Disclosures, Rollover Risk and Debt Runs

Carré, Sylvain (2022), Disclosures, Rollover Risk and Debt Runs, Journal of Banking and Finance, 142, p. 1-18. https://doi.org/10.1016/j.jbankfin.2022.106552

Type
Article accepté pour publication ou publié
Date
2022-09
Journal name
Journal of Banking and Finance
Volume
142
Publisher
Elsevier
Pages
1-18
Publication identifier
https://doi.org/10.1016/j.jbankfin.2022.106552
Metadata
Show full item record
Author(s)
Carré, Sylvain
Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)
How do opacity and disclosure policies impact short-term debt financing costs and the likelihood and cost of debt runs? I construct a dynamic model where debt yields are endogenous and mapped explicitly to the degree of transparency, the regulatory disclosure regime and the state of the economy. Different disclosure policies generate sharp differences in the rich debt and beliefs dynamics that I obtain. Short-term yields may remain low while bank’s asset quality deteriorates, and a disclosure regime might consistently induce better beliefs but imply larger financing costs. At the policy level, my model predicts that the regulator should commit to disclose except at large levels of opacity.
Subjects / Keywords
Dynamic debt runs; Opacity; Disclosure policy
JEL
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G28 - Government Policy and Regulation

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