Abstract
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.
Original language | English |
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Pages (from-to) | 93-121 |
Journal | Journal of Financial Economics |
Volume | 144 |
Issue number | 1 |
DOIs | |
Publication status | Published - Apr 2022 |
Keywords
- asymmetric information
- structural estimation
- credit markets
- collateral
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FINEC-D-21-00382_Ioannidou-Pavanini-Peng_Collateral-and-Asymmetric-Information-in-Lending-Markets
Ioannidou, V. (Contributor), Pavanini, N. (Creator) & Peng, Y. (Contributor), Mendeley Data, 6 Dec 2021
DOI: 10.17632/pzwmh2c9pk.1, https://data.mendeley.com/datasets/pzwmh2c9pk
Dataset