Adverse selection, lemons shocks and business cycles

• 成果类型: Article
• 署名作者: Ikeda, Daisuke
• 署名单位: Bank of Japan
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.05.005
• 发表日期: 2020
• 页码: 94-112
• 关键词: Adverse selection; mechanism design approach; Separating contract

摘要

Asymmetric information is crucial for understanding disruptions in the supply of credit. This paper studies a dynamic economy featuring asymmetric information and resulting adverse selection in credit markets. Entrepreneurs seek loans from banks for projects, but asymmetric information about entrepreneurs' riskiness causes a lemons problem: relatively safe entrepreneurs do not get funded. An increase in the riskiness of some entrepreneurs raises interest rate spreads, aggravates adverse selection, and shrinks the supply of bank credit. The model calibrated to the U.S. economy generates significant business fluctuations including severe recessions comparable to the Great Recession of 2007-09. (c) 2019 Elsevier B.V. All rights reserved.