关键词: 内生信贷约束, 债务能力, 流动性, 资本结构, 风险管理

Abstract:

Under the framework of the contract theory, this paper establishes a theoretical model with endogenous credit constraints to study optimal policies of the debt capacity, liquidity demand, and risk management of the firm. Endogenous credit constraint condition unifies the moral hazard caused by the entrepreneur’s limited commitment on debt repayment at maturity and the recovery rate of the asset value of the firm, which are internal and external factors that affect the debt financing ability of the firm respectively, within a theoretical framework. The theoretical results of the model show that in the case of liquidity shock, the debt capacity of the firm tradeoffs the cost of debt repayment default and the opportunity cost of abandoning the investment. The explicit formulae of the optimal solution for the model indicate that the marginal debt capacity of the recovery of the asset, the return rate, and the success probability of investment project of the firm are all increasing. Considering that the firm expects the maximum return of income, the entrepreneur should hold the liquid assets in advance to insure that the potential liquidity demand is the best strategy, and the optimal amount of holding liquid assets increase as the volatility of liquidity shock increases. Moreover, for the uncertainty of the short-term income, to overexpose the firm to this idiosyncratic risk with nonzero hedging costs is the optimal risk management strategy which would maximize the expected return of the firm.

Key words: endogenous credit constraints, debt capacity, liquidity, capital structure, risk management