Footnote:
In: Journal of Money, Credit and Banking, Volume 49, Issue 5, August 2017, Pages 1059-1072
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 6, 2016 erstellt
Description:
We reexamine Stiglitz Weiss (1981) credit rationing by simultaneously considering adverse selection and moral hazard. If returns of the projects are ranked by first-order stochastic dominance, neither adverse selection nor moral hazard exists. If the projects have equalized expected returns, moral hazard does not exist, and credit rationing due to adverse selection occurs under extreme conditions. If the projects are ranked by second-order stochastic dominance (SSD), adverse selection and moral hazard may coexist, logically restoring credit rationing, but SSD imposes strict limitations on lenders' ability to classify borrowers. In general, our results do not support significance of credit rationing