That's how we roll: An experiment on rollover risk
Journal of Economic Behavior & Organization, 2018, vol. 145, issue C, 495-510
We design a continuous-time experiment to study how different short-term credit maturities interact with the state of the economy. We find that, when the economy is in a boom, long maturities stabilize the credit market. Yet, when in a downturn, such maturities increase the likelihood of credit freezes. This result has important regulatory implications, as it suggests that a policy aimed at reducing maturity mismatch in short-term credit markets might backfire during a recession.
Keywords: Experiment; Financial crisis; Continuous-time; Short-term credit (search for similar items in EconPapers)
JEL-codes: C92 C91 G01 G21 (search for similar items in EconPapers)
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Working Paper: That's how we roll: an experiment on rollover risk (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:145:y:2018:i:c:p:495-510
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