公司债务结构与全球信贷周期

Nina Boyarchenko|Leonardo Elias Corporate Debt Structure over the Global Credit CycleNina Boyarchenko and Leonardo Elias Federal Reserve Bank of New York Staff Reports, no.1139December2024https://doi.org/10.59576/sr.1139 Abstract We study the determinants of active debt management through issuance andrefinancing decisions forfirms around the world. Weleverage instrument-leveldata to create a comprehensive picture of thematurity, currency, and securitytype composition offirms' debt for a large cross-section of countries. Attheinstrument level, we estimate a predictive model of prepayment as a function ofinterest costs savingsand maturity lengthening motives. We document that thereis substantial heterogeneity in prepaymentacross bonds and loans and acrossfirms, depending on their reliance on bank lending. While debtprepaymentisgenerally successful at extending average maturities and lowering interest ratecosts at thefirm level, these benefits appear smaller for issuers in emerging marketeconomies. Tight global creditconditions reduce both the ability to prepay debtearly and the effectiveness of debt refinancing inreducing interest costs androllover risk. Put together, our results show that the impact of global creditconditions onfirms' debt structure can be traced back to how instrument-levelprepayment incentiveschange over the global credit cycle. JEL classification:G32, G15, F30, F44Keywords:debt structure, active debt management, global credit cycle, prepayment This paper presents preliminary findings and is being distributed to economists and other interestedreaders solely to stimulate discussion and elicit comments. The views expressed in this paper are those ofthe author(s) and do not necessarily reflect theposition of the Federal Reserve Bank of New York or theFederal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visithttps://www.newyorkfed.org/research/staff_reports/sr1139.html. 1Introduction The corporate finance literature has long understood that firms’ capital structure affects amultitude of firm and aggregate-level outcomes. While a number of papers have explored avariety of different dimensions of capital structure, we know surprisingly little about the de-terminants of the overall structure of debt, and the interplay between choices along differentdimensions of debt characteristics. Furthermore, firms makeactivedecisions to adjust thestructure of their debt, choosing when and what to issue, and when and what instrumentsto prepay ahead of maturity, tailoring the composition of debt to both their own needs butalso to the (potentially time-varying) demands of lenders both domestically and abroad. Inthis paper, we study the structure of firms’ debt – on a granular level – as an outcome ofactive debt prepayment. We view prepayment as a crucial mechanism through which firms manage their interest costsand their rollover risk. As such, we model prepayment as a function of interest cost savingand maturity lengthening motives. A key innovation of our study is the use of comprehensiveinstrument-level data on firms’ debt liabilities. This allows us to fully map how prepaymentactivity varies across different security types, denomination currencies, and original maturityfor a large cross-section of firms across the world. In particular, we exploit the rich nature ofthese data to explore how prepayment motives, and the interactions between them, dependon security type – bond vs.loans – security currency, and firm characteristics to morethoroughly understand how non-financial corporations manage their debt structure throughprepayment.Furthermore, we study the role of the global credit cycle in driving firms’ability to capitalize on prepayment incentives and, thereby, their ability to manage theirdebt structure. We document three facts related to how firms manage their debt structure. First, we showthat, on average, firms prepay a substantial share of their instruments before their con-tractual maturity. For both bonds and fixed coupon loans, debt prepayment occurs for both maturity lengthening and interest cost reducing motives. However, bond prepayment is moresensitive to the interest costs savings incentive than loan prepayment, while loan prepaymentis more sensitive to the maturity lengthening incentive. Figure 1 plots average propensitiesto prepay for bonds and fixed coupon loans as a function of the interest costs savings andmaturity lengthening incentives, illustrating the sensitivity differences across the two typesof instruments. Comparing prepayment sensitivities across firm types – grouping firms intoloan-only issuers, bond-only issuers, and firms that access both bond and loan markets – wefind that loan-only issuers are the most sensitive to the maturity incentive, and bond-onlyissuers are the least sensitive to the interest cost incentive, suggesting that the sensitivity toboth types of incentives decreases w