Imperfect information transmission from banks to investors: Macroeconomic implications

• 成果类型: Article
• 署名作者: Figueroa, Nicolas; Leukhina, Oksana; Ramirez, Carlos
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.12.002
• 发表日期: 2021
• 页码: 87-98
• 关键词: Credit misallocation; Screening effort; information asymmetry; Information production; Strategic rating; Rating agencies; Mandatory rating; Mandatory ratings disclosure

摘要

Our goal is to elucidate the interaction of banks' screening effort and strategic information production in loan-backed asset markets using a general equilibrium framework. Asset quality is unobserved by investors, but banks may purchase error-prone ratings. The premium paid on highly rated assets emerges as the main determinant of banks' screening effort. The fact that rating strategies reflect banks' private information about asset quality helps keep this premium high. Conventional regulatory policies interfere with this decision margin, thereby reducing signaling value of high ratings and exacerbating the credit misallocation problem. We propose a tax/subsidy scheme that induces efficiency.