Credit markets with imperfect information: Risk-aversion versus pessimism

Jean Louis Arcand; Stuart McDonald

doi:10.1016/j.econlet.2018.01.029

Credit markets with imperfect information: Risk-aversion versus pessimism

Jean Louis Arcand, Stuart McDonald

Centre for Decision Research and Experimental Economics China

Research output: Journal Publication › Article › peer-review

3 Citations (Scopus)

Abstract

Stiglitz and Weiss (1981) credit rationing is embedded within rank dependent expected utility theory. Our results show that sufficient pessimism or sufficient risk-aversion by borrowers may eliminate adverse selection. Moreover, lender optimism may eliminate credit rationing even when adverse selection exists.

Original language	English
Pages (from-to)	35-38
Number of pages	4
Journal	Economics Letters
Volume	165
DOIs	https://doi.org/10.1016/j.econlet.2018.01.029
Publication status	Published - Apr 2018

Keywords

Credit rationing
Increasing risk
Rank-dependent expected utility
Risk-aversion

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2018.01.029

Cite this

@article{3dcdb74522e24f8e803376bd5a837dd1,

title = "Credit markets with imperfect information: Risk-aversion versus pessimism",

abstract = "Stiglitz and Weiss (1981) credit rationing is embedded within rank dependent expected utility theory. Our results show that sufficient pessimism or sufficient risk-aversion by borrowers may eliminate adverse selection. Moreover, lender optimism may eliminate credit rationing even when adverse selection exists.",

keywords = "Credit rationing, Increasing risk, Rank-dependent expected utility, Risk-aversion",

author = "Arcand, {Jean Louis} and Stuart McDonald",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2018",

month = apr,

doi = "10.1016/j.econlet.2018.01.029",

language = "English",

volume = "165",

pages = "35--38",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

}

TY - JOUR

T1 - Credit markets with imperfect information

T2 - Risk-aversion versus pessimism

AU - Arcand, Jean Louis

AU - McDonald, Stuart

PY - 2018/4

Y1 - 2018/4

N2 - Stiglitz and Weiss (1981) credit rationing is embedded within rank dependent expected utility theory. Our results show that sufficient pessimism or sufficient risk-aversion by borrowers may eliminate adverse selection. Moreover, lender optimism may eliminate credit rationing even when adverse selection exists.

AB - Stiglitz and Weiss (1981) credit rationing is embedded within rank dependent expected utility theory. Our results show that sufficient pessimism or sufficient risk-aversion by borrowers may eliminate adverse selection. Moreover, lender optimism may eliminate credit rationing even when adverse selection exists.

KW - Credit rationing

KW - Increasing risk

KW - Rank-dependent expected utility

KW - Risk-aversion

UR - http://www.scopus.com/inward/record.url?scp=85044304783&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2018.01.029

DO - 10.1016/j.econlet.2018.01.029

M3 - Article

AN - SCOPUS:85044304783

SN - 0165-1765

VL - 165

SP - 35

EP - 38

JO - Economics Letters

JF - Economics Letters

ER -

Credit markets with imperfect information: Risk-aversion versus pessimism

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this