Interest Rate Risk Management in Uncertain Times
Tóm tắt
Từ khóa
Tài liệu tham khảo
Alfaro,, 2016, The finance-uncertainty multiplier.
Andrade,, 1998, How costly is financial (not economic) distress? Evidence from highly leveraged transactions that became distressed., Journal of Finance, 53, 1443, 10.1111/0022-1082.00062
Arellano,, 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations., Review of Economic Studies, 58, 277, 10.2307/2297968
Backus,, 2001, Bond pricing in discrete time. In, Advanced fixed-income valuation tools
Baker,, 2016, Measuring economic policy uncertainty., Quarterly Journal of Economics, 131, 1593, 10.1093/qje/qjw024
Begenau,, 2015, Firm financing over the business cycle.
Bhamra,, 2010, The levered equity risk premium and credit spreads: A unified framework., Review of Financial Studies, 23, 645, 10.1093/rfs/hhp082
Bhamra,, 2011, The aggregate dynamics of capital structure and macroeconomic risk., Review of Financial Studies, 23, 4187, 10.1093/rfs/hhq075
Bikbov,, 2009, Unspanned stochastic volatility in affine models: Evidence from eurodollar futures and options., Management Science, 55, 1292, 10.1287/mnsc.1090.1020
Bloom,, 2007, Uncertainty and firm dynamics., Review of Economic Studies, 74, 391, 10.1111/j.1467-937X.2007.00426.x
Bolton,, 2011, A unified theory of Tobin’s Q, corporate investment, financing and risk management., Journal of Finance, 66, 1545, 10.1111/j.1540-6261.2011.01681.x
Bolton,, 2012, Market timing, investment, and risk management., Journal of Financial Economics, 109, 40, 10.1016/j.jfineco.2013.02.006
Bolton,, 2015, Should derivatives be privileged in bankruptcy?, Journal of Finance, 70, 2353, 10.1111/jofi.12201
Chatterjee,, 2012, Maturity, indebtedness, and default risk., American Economic Review, 102, 2674, 10.1257/aer.102.6.2674
Chen,, 2010, Macroeconomic conditions and the puzzles of credit spreads and capital structure., Journal of Finance, 65, 2171, 10.1111/j.1540-6261.2010.01613.x
Chen,, 2009, On the relation between credit spread puzzles and the equity premium puzzle., Review of Financial Studies, 22, 3367, 10.1093/rfs/hhn078
Chernenko,, 2011, The two sides of derivatives usage: Hedging and speculating with interest rate swaps., Journal of Financial and Quantitative Analysis, 46, 1727, 10.1017/S0022109011000391
Collin-Dufresne,, 2009, Can interest rate volatility be extracted from the cross section of bond yields?, Journal of Financial Economics, 94, 47, 10.1016/j.jfineco.2008.06.007
Cooley,, 1995, Economic growth and business cycles. In, Frontiers of business cycle research, 1, 10.1515/9780691218052-005
Crouzet,, 2016, Default, debt maturity and investment dynamics.
Decamps,, 2017, Corporate policies with permanent and transitory shocks., Review of Financial Studies, 30, 162, 10.1093/rfs/hhw078
Deloitte, 2014, OTC derivatives: The new cost of trading.
Doshi,, 2015, Uncertainty, capital investment, and risk management., Management Science.
Eisfeldt,, 2016, Aggregate external financing and saving waves., Journal of Monetary Economics, 84, 116, 10.1016/j.jmoneco.2016.10.002
Froot,, 1993, Risk management: Coordinating corporate investment and financing policies., Journal of Finance, 48, 1629, 10.1111/j.1540-6261.1993.tb05123.x
Gamba,, 2008, The value of financial flexibility., Journal of Finance, 63, 2263, 10.1111/j.1540-6261.2008.01397.x
Gilchrist,, 2012, Credit spreads and business cycle fluctuations., American Economic Review, 102, 1692, 10.1257/aer.102.4.1692
Gomes,, Equilibrium asset pricing with leverage and default., Journal of Finance
Greenspan,, 2003, Monetary policy under uncertainty.
Gulen,, 2016, Policy uncertainty and corporate investment., Review of Financial Studies, 29, 523
Hadlock,, 2010, New evidence on measuring financial constraints: Moving beyond the KZ index., Review of Financial Studies, 23, 1909, 10.1093/rfs/hhq009
Haushalter,, 2000, Financing policy, basis risk, and corporate hedging: Evidence from oil and gas producers., Journal of Finance, 55, 107, 10.1111/0022-1082.00202
Hennessy,, 2004, Tobin’s Q, debt overhang, and investment., Journal of Finance, 59, 1717, 10.1111/j.1540-6261.2004.00677.x
Hennessy,, 2007, How costly is external financing? Evidence from a structural estimation., Journal of Finance, 62, 1705, 10.1111/j.1540-6261.2007.01255.x
Hoberg,, 2015, Redifining financial constraints: A text-based analysis., Review of Financial Studies, 28, 1312, 10.1093/rfs/hhu089
Hodrick,, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement., Review of Financial Studies, 5, 357, 10.1093/rfs/5.3.351
Hugonnier,, 2015, Capital supply uncertainty, cash holdings, and investment., Review of Financial Studies, 28, 391, 10.1093/rfs/hhu081
Ippolito,, 2015, The transmission of monetary policy through bank lending: The floating rate channel.
Jermann,, 2014, Interest rate swaps and corporate default.
Jovanovic,, 2014, Extensive and intensive investment over the business cycle., Journal of Political Economy, 122, 863, 10.1086/676405
Kaplan,, 1997, Do investment-cash flow sensitivities provide useful measures of financing constraints?, Quarterly Journal of Economics, 112, 169, 10.1162/003355397555163
Kelly,, 2016, The price of political uncertainty: Theory and evidence from the option market., Journal of Finance, 71, 2417, 10.1111/jofi.12406
Kim,, 2014, How uncertainty affects corporate investment: The asset redeployability channel.
Kuehn,, 2014, Investment-based corporate bond pricing., Journal of Finance, 69, 2741, 10.1111/jofi.12204
Kung,, 2016, Macroeconomic linkages between monetary policy and the term structure of interest rates., Journal of Financial Economics, 115, 42, 10.1016/j.jfineco.2014.09.006
Kurtzman,, 2017, The economy-wide gains from resolving debt overhang.
Leahy,, 1996, The effect of uncertainty on investment: Some stylized facts., Journal of Money, Credit, and Banking, 28, 64, 10.2307/2077967
Lin,, Investment, Tobin’s Q, and interest rates., Journal of Financial Economics
Lopez-Salido,, 2017, Credit-market sentiment and the business cycle., Quarterly Journal of Economics, 132, 1373, 10.1093/qje/qjx014
Ludvigson,, 2015, Uncertainty and business cycles: Exogenous impulse or endogenous response?, 10.3386/w21803
Newey,, 1987, A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix., Econometrica, 55, 703, 10.2307/1913610
Nikolov,, Dynamic corporate liquidity., Journal of Financial Economics
Nikolov,, 2014, Agency conflicts and cash: Estimates from a dynamic model., Journal of Finance, 69, 883, 10.1111/jofi.12183
Pástor,, 2012, Uncertainty about government policy and stock prices., Journal of Finance, 67, 1219, 10.1111/j.1540-6261.2012.01746.x
Pástor,, 2013, Political uncertainty and risk premia., Journal of Financial Economics, 110, 520, 10.1016/j.jfineco.2013.08.007
Rampini,, 2013, Dynamic risk management., Journal of Financial Economics, 111, 271, 10.1016/j.jfineco.2013.10.003
Rampini,, 2010, Collateral, risk management, and the distribution of debt capacity., Journal of Finance, 65, 2293, 10.1111/j.1540-6261.2010.01616.x
Rampini,, 2013, Collateral and capital structure., Journal of Financial Economics, 109, 466, 10.1016/j.jfineco.2013.03.002
Riddick,, 2009, The corporate propensity to save., Journal of Finance, 64, 1729, 10.1111/j.1540-6261.2009.01478.x
Strebulaev,, 2013, The mystery of zero-leverage firms., Journal of Financial Economics, 109, 1, 10.1016/j.jfineco.2013.02.001
van Binsbergen,, 2010, The cost of debt., Journal of Finance, 65, 2089, 10.1111/j.1540-6261.2010.01611.x
Vickery,, 2008, How and why do small firms manage interest rate risk?, Journal of Financial Economics, 87, 446, 10.1016/j.jfineco.2006.09.011
Vuillemey,, 2015, Derivatives and risk management by commercial banks.
