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

摘要：

在合约理论框架下建立一个带有内生信贷约束条件的模型，量化研究随机流动性冲击下的企业债务能力、流动性需求及风险管理最优策略。内生信贷约束条件将企业家对偿还贷款有限承诺所导致的道德风险与企业资产回收率这两个影响债务融资能力的内外因素自洽地统一在一个理论框架中。研究结论表明：考虑到随机流动性冲击，债务能力权衡了企业的还款违约成本与投资不足的机会成本，由推导得到的模型最优解的显性表达式可知，关于资产回收率、投资项目收益率和成功概率的边际债务能力均是递增的；从企业期望收益最大化出发，企业家提前持有流动性资产对潜在的流动性需求提供保障是最优策略，并且当流动性冲击风险在可控范围内时，流动性资产的最优持有规模随着流动性冲击波动率的增加而增加；当短期收入不确定且对冲该异质性风险有成本时，适当暴露于该风险是企业的最优风险管理策略。

关键词: 内生信贷约束, 债务能力, 流动性, 资本结构, 风险管理