Collateral and asymmetric information in lending markets *

• 成果类型: Article
• 署名作者: Ioannidou, Vasso; Pavanini, Nicola; Peng, Yushi
• 署名单位: University of London; Centre for Economic Policy Research - UK; Tilburg University; Hunan University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.12.010
• 发表日期: 2022
• 页码: 93-121
• 关键词: Asymmetric information; structural estimation; credit markets; collateral

摘要

We study the benefits and costs of collateral requirements in bank lending markets with asymmetric information. We estimate a structural model of firms' credit demand for secured and unsecured loans, banks' contract offering and pricing, and firm default using credit registry data in a setting where asymmetric information problems are pervasive. We provide evidence that collateral mitigates adverse selection and moral hazard. With counterfactual experiments, we quantify how an adverse shock to collateral values propagates to credit supply, credit allocation, interest rates, default, bank profits, and document the relative importance of banks' pricing and rationing in response to this shock. (c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )