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That's how we roll: An experiment on rollover risk

Ciril Bosch-Rosa

Journal of Economic Behavior & Organization, 2018, vol. 145, issue C, 495-510

Abstract: 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)
Date: 2018
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Working Paper: That's how we roll: an experiment on rollover risk (2014) Downloads
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DOI: 10.1016/j.jebo.2017.11.005

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