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Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression

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  • Khoo, Joye
  • Cheung, Adrian (Wai Kong)

Abstract

This paper investigates the effect of geopolitical uncertainty on (market) leverage ratio, debt maturity, and choice of debt source. Using a new monthly index of geopolitical uncertainty and annual data for corporate financing variables, we find that under geopolitical uncertainty firms tend to reduce debt and increase market leverage. We argue that this increase is driven by asymmetrical reductions in the numerator (total debt) and the denominator (total debt and equity) of the leverage ratio. Under geopolitical uncertainty, firms tend to shorten their debt maturity structure and—especially those firms with lower credit quality—to substitute bank debt for public debt.

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  • Khoo, Joye & Cheung, Adrian (Wai Kong), 2021. "Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression," Global Finance Journal, Elsevier, vol. 47(C).
    • Handle: RePEc:eee:glofin:v:47:y:2021:i:c:s1044028320300053
    DOI: 10.1016/j.gfj.2020.100519
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    More about this item

    Keywords

    Geopolitical uncertainty; Market leverage; Debt maturity; MIDAS;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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