Abstract

The paper deals with the predictions of the classical Stiglitz/ Weiss (1981)-model on equilibrium credit rationing in credit markets with imperfect information. It is argued that the wide-spread two-state version of the Stiglitz / Weiss-model exhibits a specific, and partly inadequate, operationalization of rationing under moral hazard with respect to investments of different risk. A more general model which stands in line with a former version in their Theorem 8 shows that the conditions for rationing are far more restrictive than the Stiglitz/Weiss-model suggests. Credit rationing may occur only if (1) a certain monotonicity property between the default probability of investment projects and their riskiness in terms of second order stochastic dominance is guaranteed, and (2) the expected project value is a strictly decreasing function of investment risk. In summary, rationing equilibria appear as rather unrobust or theoretically „delicate things" (Chan/Thakor (1987)).