Disclosures, rollover risk, and debt runs

Sylvain Carré

Journal of Banking & Finance, 2022, vol. 142, issue C

Abstract: 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.

Keywords: Dynamic debt runs; Opacity; Disclosure policy (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426622001480
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:142:y:2022:i:c:s0378426622001480

DOI: 10.1016/j.jbankfin.2022.106552

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().