We study a firm's debt-maturity policy. The firm, keeping book leverage constant, rolls over expiring debt by newly issuing short- or long-term bonds, which pay different coupons. In equilibrium, we always find two balanced issuance regimes, which are associated with one type of debt: In bad...

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...

Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...