<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Xu Wei</style></author><author><style face="normal" font="default" size="100%">Xiao Xiao</style></author><author><style face="normal" font="default" size="100%">Yi Zhou</style></author><author><style face="normal" font="default" size="100%">Yimin Zhou</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Spillover Effects between Liquidity Risks through Endogenous Debt Maturity</style></title><secondary-title><style face="normal" font="default" size="100%">Journal of Financial Markets</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2023</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://www.sciencedirect.com/science/article/pii/S1386418123000125</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">64</style></volume><pages><style face="normal" font="default" size="100%">100814</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">We construct a model of debt maturity structure and show how a firm trades off between&amp;nbsp;the costs of market liquidity risk and rollover risk. On one hand, the issuance of long-term debt&amp;nbsp;reduces market liquidity because it increases the supply in the secondary debt market, which&amp;nbsp;increases the cost the firm bears for long-term debt (i.e., the cost of market liquidity risk).&amp;nbsp;On the other hand, the use of short-term debt increases the likelihood of early liquidation,&amp;nbsp;which raises the cost of short-term debt for the firm (i.e., the cost of rollover risk). We&amp;nbsp;show that market liquidity risk and rollover risk the firm is exposed to are connected through&amp;nbsp;endogenously determined debt maturity structure. An exogenous shock (e.g., shrinkage of&amp;nbsp;market depth or an increase in risk-free interest rate) that directly increases one type of&amp;nbsp;liquidity risk would induce the firm to alter debt maturity structure and partially offset the&amp;nbsp;impact of the shock by raising its exposure to the other type of risk (i.e., spillover effects&amp;nbsp;exist). We also show that the spillover from market liquidity risk (rollover risk) to rollover risk&amp;nbsp;(market liquidity risk) is more (less) pronounced during economic recessions or in the case of&amp;nbsp;competitive firms.</style></abstract></record></records></xml>