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Klassische Kreditrationierung unter Moral Hazard

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Kürsten, W. Klassische Kreditrationierung unter Moral Hazard. . Zur Bedeutung der Opportunitätsmenge risiko- und ertragsdifferenzierter Investitionsprojekte. Journal of Contextual Economics – Schmollers Jahrbuch, 118(3), 425-461. https://doi.org/10.3790/schm.118.3.425
Kürsten, Wolfgang "Klassische Kreditrationierung unter Moral Hazard. Zur Bedeutung der Opportunitätsmenge risiko- und ertragsdifferenzierter Investitionsprojekte. " Journal of Contextual Economics – Schmollers Jahrbuch 118.3, 1998, 425-461. https://doi.org/10.3790/schm.118.3.425
Kürsten, Wolfgang (1998): Klassische Kreditrationierung unter Moral Hazard, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 118, iss. 3, 425-461, [online] https://doi.org/10.3790/schm.118.3.425

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Klassische Kreditrationierung unter Moral Hazard

Zur Bedeutung der Opportunitätsmenge risiko- und ertragsdifferenzierter Investitionsprojekte

Kürsten, Wolfgang

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 118 (1998), Iss. 3 : pp. 425–461

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Kürsten, Wolfgang

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)).