南方科技大学知识苑(SUSTech KC): GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK

题名	GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK
作者	Luo, Pengfei 1; Yang, Zhaojun2
通讯作者	Yang, Zhaojun
发表日期	2019-09
DOI	10.1017/S1365100517000682
发表期刊	MACROECONOMIC DYNAMICS 影响因子和分区
ISSN	1365-1005
EISSN	1469-8056
卷号	23 期号:6页码:2250-2268
摘要	We consider a firm with assets-in-place and a growth option. There is a funding gap for the expansion investment, which is covered by entering into an equity-for-guarantee swap or fee-for-guarantee swap. We explicitly derive all contingent claim prices with the pricing and timing of the growth option taking business cycle and debt maturity into account. For short-term loan, we produce an explanation why Chinese government suggests that guarantee fee rate should be approximately the fraction 50% of the interest rate of bank loans with the same maturity, but for long-term debt, we show this fraction is too small.
关键词	Growth Option Equity Default Swaps Business Cycle
相关链接	[来源记录]
收录类别	SSCI
语种	英语
学校署名	通讯
资助项目	China Scholarship Fund for Studying Abroad[201706130059]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000475861600005
出版者	CAMBRIDGE UNIV PRESS
ESI学科分类	ECONOMICS BUSINESS
来源库	Web of Science
引用统计	被引频次[WOS]：10
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/25226
专题	南方科技大学商学院_金融系
作者单位	1.Hunan Univ, Changsha, Hunan, Peoples R China 2.Southern Univ Sci & Technol, Shenzhen, Peoples R China
通讯作者单位	南方科技大学
推荐引用方式 GB/T 7714	Luo, Pengfei,Yang, Zhaojun. GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK[J]. MACROECONOMIC DYNAMICS,2019,23(6):2250-2268.
APA	Luo, Pengfei,&Yang, Zhaojun.(2019).GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK.MACROECONOMIC DYNAMICS,23(6),2250-2268.
MLA	Luo, Pengfei,et al."GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK".MACROECONOMIC DYNAMICS 23.6(2019):2250-2268.