Arnold, Lutz G. and Reeder, Johannes and Trepl, Stefanie (2014) Single-name Credit Risk, Portfolio Risk and Credit Rationing. ECONOMICA, 81 (322). pp. 311-328. ISSN 0013-0427, 1468-0335
Full text not available from this repository.Abstract
In the Stiglitz-Weiss (1981) adverse selection model, pure credit rationing cannot arise in equilibrium. We show that this is due to the fact that single-name risks are independent and a well-diversified portfolio contains no risk. We introduce non-diversifiable macroeconomic risk to the model and show that risk-averse lenders possibly ration credit. Welfare analysis shows that an interest rate ceiling is potentially welfare enhancing and that equilibrium overinvestment can occur.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | STIGLITZ-WEISS MODEL; IMPERFECT INFORMATION; BUSINESS-CYCLE; MARKETS; MANAGEMENT; EQUILIBRIUM; INVESTMENT; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Theoretische Volkswirtschaft (Prof. Dr. Lutz Arnold) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 15 Nov 2019 11:39 |
| Last Modified: | 15 Nov 2019 11:39 |
| URI: | https://pred.uni-regensburg.de/id/eprint/10416 |
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