Unbounded returns and the possibility of credit rationing: A note on the Stiglitz-Weiss and Arnold-Riley models

doi:10.1016/j.jmateco.2017.12.009

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	Unbounded returns and the possibility of credit rationing: A note on the Stiglitz-Weiss and Arnold-Riley models
	Lu, Hengheng 1; Rong, Kang 2
刊名	JOURNAL OF MATHEMATICAL ECONOMICS
	2018-03
卷号	75 页码:67-70
关键词	Credit rationing Unbounded returns Adverse selection
ISSN号	0304-4068
DOI	10.1016/j.jmateco.2017.12.009
英文摘要	Arnold and Riley (2009) find that in the credit rationing model of Stiglitz and Weiss (1981), the expected revenue of a lender as a function of the loan rate cannot be globally hump-shaped, and thus credit rationing is hard to explain using the Stiglitz-Weiss model. However, Arnold and Riley base their analysis on the assumption that there is an upper bound of the returns of borrowers' projects. We find that if unbounded returns of borrowers' projects are allowed, then a lender's expected revenue in the Stiglitz-Weiss model can in fact be globally hump-shaped. This also implies that credit rationing (with one equilibrium loan rate) can only arise in markets where the returns from investment are highly volatile. (C) 2018 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000428599400006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/679]
专题	上海财经大学
通讯作者	Rong, Kang
作者单位	1.Stanford Univ, Dept Econ, Stanford, CA 94305 USA; 2.Shanghai Univ Finance & Econ, Sch Econ, Key Lab Math Econ SUFE, Minist Educ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Lu, Hengheng,Rong, Kang. Unbounded returns and the possibility of credit rationing: A note on the Stiglitz-Weiss and Arnold-Riley models[J]. JOURNAL OF MATHEMATICAL ECONOMICS,2018,75:67-70.
APA	Lu, Hengheng,&Rong, Kang.(2018).Unbounded returns and the possibility of credit rationing: A note on the Stiglitz-Weiss and Arnold-Riley models.JOURNAL OF MATHEMATICAL ECONOMICS,75,67-70.
MLA	Lu, Hengheng,et al."Unbounded returns and the possibility of credit rationing: A note on the Stiglitz-Weiss and Arnold-Riley models".JOURNAL OF MATHEMATICAL ECONOMICS 75(2018):67-70.