EVIDENCE FOR RELATIONAL CONTRACTS IN SOVEREIGN BANK LENDING

• 成果类型: Article
• 署名作者: Benczur, Peter; Ilut, Cosmin L.
• 署名单位: Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12151
• 发表日期: 2016
• 页码: 375-404
• 关键词: default risk; developing-countries; emerging economies; empirical-analysis; debt; credit; INFORMATION; bonds; QUALITY; price

摘要

This paper presents direct evidence for relational contracts in sovereign bank lending. Unlike the existing empirical literature, its instrumental variables method allows for distinguishing a direct influence of past repayment problems on current spreads (a punishment effect in prices) from an indirect effect through higher expected future default probabilities (loss of reputation). Such a punishment provides positive surplus to lenders after a default and decreases the borrower's present discounted value of the net benefits of future borrowing, which create dynamic incentives. Using data on bank loans to developing countries for 1973-1981 and constructing continuous variables for credit history, we find evidence that most of the influence of past repayment problems is through the direct, punishment channel.