Disclosures, Rollover Risk, and Debt Runs

47 Pages Posted: 13 Dec 2015 Last revised: 11 Apr 2021

See all articles by Sylvain Carre

Sylvain Carre

Université Paris Dauphine; LEDa

Date Written: April 11, 2021

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 risk builds up, 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

JEL Classification: G21, G28

Suggested Citation

Carre, Sylvain, Disclosures, Rollover Risk, and Debt Runs (April 11, 2021). Available at SSRN: https://ssrn.com/abstract=2702688 or http://dx.doi.org/10.2139/ssrn.2702688

Sylvain Carre (Contact Author)

Université Paris Dauphine ( email )

Place du Maréchal de Tassigny
Paris, Cedex 16 75775
France

LEDa ( email )

Place du Maréchal de Tassigny
Paris, Cedex 16 75775
France

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