Cross-Subsidization of Bad Credit in a Lending Crisis

• 成果类型: Article
• 署名作者: Artavanis, Nikolaos; Lee, Brian Jonghwan; Panageas, Stavros; Tsoutsoura, Margarita
• 署名单位: Louisiana State University System; Louisiana State University; Emory University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae074
• 发表日期: 2025
• 页码: 1464
• 关键词: Asymmetric information; adverse selection; BANK BAILOUTS; insurance; misallocation; incentives; RIGIDITY; CHOICE; loans

摘要

We study the corporate-loan pricing decisions of a major, systemic bank during the Greek financial crisis. A unique aspect of our data set is that we observe both the actual interest rate and the break-even rate (BE rate) of each loan, as computed by the bank's own loan-pricing department (in effect, the loan's marginal cost). We document that low-BE-rate (safer) borrowers are charged significant markups, whereas high-BE-rate (riskier) borrowers are charged smaller and even negative markups. We rationalize this de facto cross-subsidization through the lens of a dynamic model featuring depressed collateral values, impaired capital-market access, and limit pricing.