Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression
We argue that geopolitical uncertainty affects market leverage and debt maturity and develop three hypotheses for this purpose. Using a mixed frequency dataset that consists of a new monthly index of geopolitical uncertainty and annual data of market leverage and debt maturity structure, we employ M...
| Main Authors: | , |
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| Format: | Conference Paper |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/77318 |
| _version_ | 1848763837750181888 |
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| author | Khoo, Joye Cheung, Adrian |
| author_facet | Khoo, Joye Cheung, Adrian |
| author_sort | Khoo, Joye |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | We argue that geopolitical uncertainty affects market leverage and debt maturity and develop three hypotheses for this purpose. Using a mixed frequency dataset that consists of a new monthly index of geopolitical uncertainty and annual data of market leverage and debt maturity structure, we employ Mixed Data Sampling (MIDAS) regression and find evidence consistent with our argument. In particular, the immediate impact of geopolitical uncertainty on market leverage is negative but its overall impact is positive. In addition, firms tend to shorten their debt maturity structure in the presence of geopolitical uncertainty. |
| first_indexed | 2025-11-14T11:09:49Z |
| format | Conference Paper |
| id | curtin-20.500.11937-77318 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:09:49Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-773182020-05-08T00:53:42Z Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression Khoo, Joye Cheung, Adrian We argue that geopolitical uncertainty affects market leverage and debt maturity and develop three hypotheses for this purpose. Using a mixed frequency dataset that consists of a new monthly index of geopolitical uncertainty and annual data of market leverage and debt maturity structure, we employ Mixed Data Sampling (MIDAS) regression and find evidence consistent with our argument. In particular, the immediate impact of geopolitical uncertainty on market leverage is negative but its overall impact is positive. In addition, firms tend to shorten their debt maturity structure in the presence of geopolitical uncertainty. 2019 Conference Paper http://hdl.handle.net/20.500.11937/77318 restricted |
| spellingShingle | Khoo, Joye Cheung, Adrian Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title | Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title_full | Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title_fullStr | Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title_full_unstemmed | Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title_short | Does geopolitical uncertainty affect leverage and debt maturity?: evidence from MIDAS regression |
| title_sort | does geopolitical uncertainty affect leverage and debt maturity?: evidence from midas regression |
| url | http://hdl.handle.net/20.500.11937/77318 |