Endogenous Leverage and Advantageous Selection in Credit Markets

• 成果类型: Article
• 署名作者: Nenov, Plamen T.
• 署名单位: BI Norwegian Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw077
• 发表日期: 2017
• 页码: 3888
• 关键词: Asymmetric information; adverse selection; Lending standards; financial intermediation; collateral constraints; competitive equilibria; imperfect information; signaling games; business-cycle; liquidity

摘要

I study asset price amplification in an asymmetric information model. Entrepreneurs issue debt to finance investments in a physical asset. They have private information about their success probabilities. For a given debt level, higher asset prices require entrepreneurs to invest more of their own funds. This makes bad entrepreneurs more reluctant to mimic good ones; as a result, good entrepreneurs increase their equilibrium leverage and invest more, and this amplifies the initial asset price increase. This model generates predictions about the credit market that are qualitatively consistent with existing evidence.