On the County-Level Credit Outcome Beta

In their pioneering work, Musto and Souleles (Journal of Monetary Economics 53(1):59–84, 2006) apply portfolio theory to consumer lending. This paper extends their work by analyzing three county-level credit outcome betas. We use the probability of default calibrated from the credit score, the actual default rate, and the actual bankruptcy rate to compute ‘score’, ‘default’, and ‘bankruptcy’ betas for each U.S. county. The correlation between default and bankruptcy betas is quite low. Counties in states in which a borrower has a right to take action against aggressive collection practices tend to have higher default betas but lower bankruptcy betas. These findings suggest the possibility of an ‘informal bankruptcy’ option for consumers. The effects of county score, default, and bankruptcy betas on the county average revolving credit line per borrower are negative. For small lenders that do not have access to the detailed historical credit files on individual consumers, the county-level beta approach of this paper might be helpful for diversifying portfolios geographically and managing risk on existing accounts.     

Credit Markets in Northern Nigeria: Credit as Insurance in a Rural Economy

This article addresses the issues of incomplete markets andimperfect information in the context of credit markets in ruralnorthern Nigeria. In much recent theoretical literature, theproblems of moral hazard and adverse selection are assumed tobe decisive for the organization of agrarian institutions. Incontrast, it is found that in the four villages surveyed credittransactions take advantage of the free flow of informationwithin rural communities. Information asymmetries between borrowerand lender are unimportant, and their institutional consequences—theuse of collateral and interlinked contracts—are absent.Credit transactions play a direct role in pooling risk betweenhouseholds through the use of contracts in which the repaymentowed by the borrower depends on the realization of random productionshocks by both the borrower and the lender.     

Sovereign Defaults,Credit to the Private Sector,and Domestic Credit Market Institutions

Sovereign defaults are associated with declines in foreign and domestic credit to the domestic private sector. This paper analyzes theoretically whether sovereign defaults can lead to this decline, even if domestic agents do not hold sovereign debt. It also studies whether the quality of domestic financial institutions affect the magnitude of this effect. In order to address these issues, the paper embeds the traditional sovereign borrower/foreign creditors relationship of the sovereign debt literature in a macromodel where widespread individual financial constraints limit a country's ability to reallocate resources. The paper finds that sovereign defaults can indeed generate a decline in foreign and domestic credit even if domestic agents do not hold sovereign debt, and that stronger domestic financial institutions can amplify this effect. These findings constitute a new step toward understanding the costs of sovereign defaults.     

个人信用保证机制的征信制度和诉讼制度比较研究

征信体系通过建立一种声誉制度,促进人类合作、提高群体成员效用和福利。个人信用保证机制的征信制度和诉讼制度哪个成本更低、相对价值更高需要客观分析。在完全竞争的信贷市场研究场景下,声誉机制有引致合作行为的能力;扩展博弈下,诉讼制度的威胁使得借贷者施加一个高的努力程度,提高了社会总剩余。基于现代信息技术的声誉机制出现以后,存在于每个银行内部的声誉就变成了一个统一、全范围扩展的声誉机制,所以声誉制度比诉讼制度可以获得更高的社会总剩余。     

Competition and Strategic Information Acquisition in Credit Markets

We investigate the interaction between banks’ use of informationacquisition as a strategic tool and their role in promotingthe efficiency of credit markets when a bank’s abilityto gather information varies with its distance to the borrower.We show that banks acquire proprietary information both to softenlending competition and to extend their market share. As competitionincreases, investments in information acquisition fall, leadingto lower interest rates but also to less efficient lending decisions.Consistent with the recent wave of bank acquisitions, we alsofind that merging for informational reasons with a competitoris an optimal response to industry consolidation.     

Credit Rationing and Credit View: Empirical Evidence from an Ethical Bank in Italy

Attempts have been made in the empirical literature to identify credit rationing and its determinants using balance sheet data or evidence from corporate surveys. However, observational equivalence, identification problems, and interview biases are serious problems in these studies. We analyze directly the determinants of credit rationing in credit files by examining the difference between the amounts demanded by and supplied to each borrower, as shown by official bank records. Our findings provide microeconomic evidence that supports the credit view hypothesis by showing that the European Central Bank refinancing rate is significantly and positively related to partial (but not total) credit rationing. This finding is consistent with the hypothesis that this variable affects the total volume of bank loans.     

Credit evaluation,information production,and financial intermediation

Financial intermediaries such as banks, saving and loan institutions, and insurance companies play a large and important role in highly developed economies. The economic significance of financial intermediaries results from their making arrangements between borrowers and lenders more efficiently than if these agents had to trade directly. The intent of this article is to provide a better understanding of the advantage that a financial institution has over an individual lender. This research treats intermediaries as producers of information in the credit evaluation process. The lender produces borrower information that revises the expected profit of the credit decision. Though the production of credit itself holds no economic advantage for institutions over individuals. The opportunity to produce information will provide economies of scale in lending and will help to explain the existence of financial intermediaries.     

Foreclosure Delay and Consumer Credit Performance

The deep housing market recession from 2008 through 2010 was characterized by a steep rise in number of foreclosures. The average length of time from onset of delinquency through the end of the foreclosure process also expanded dramatically. Although most individuals undergoing foreclosure were experiencing serious financial stress, the extended foreclosure timelines enabled them to live in their homes without making mortgage payments until the end of the foreclosure process, thus providing temporary income and liquidity benefits from lower housing costs. This paper investigates the impact of extended foreclosure timelines on borrower performance with credit card debt. Our results indicate that a longer period of nonpayment of mortgage expenses results in higher cure rates on delinquent credit cards and reduced credit card balances. Thus, foreclosure process delays may have mitigated the impact of the economic downturn on credit card default—suggesting that improvement in credit card performance during the post-crisis period would likely be slowed by the removal of the temporary liquidity benefits as foreclosures reach completion.     

信用货币制度下对货币创造和货币本质的再认识

主流经济学认为货币主要作为一种交易媒介而存在,并且是外生可控的,因此货币当局可以通过控制货币数量来影响经济运行以实现其政策目的。但在信用货币制度下,货币的本质是一种债权-债务关系,商业银行是货币的唯一创造主体,中央银行需要适时提供基础货币来满足跨行之间的交易结算。通过分析信用货币制度下商业银行创造货币的理论逻辑,并讨论与之相关的一些实际问题,最后提出研究的结论及思考。     

信贷配给对货币政策有效性的影响

商业银行在货币政策传导机制中处于枢纽地位,其信贷配给行为的发生,一方面形成了巨额的超额准备金,另一方面造成了信贷市场的分割,其结果降低了货币政策的有效性.这在我国表现为:一方面,商业银行的信贷配给所形成的"惜贷现象"阻断了货币政策向融资企业的传导;另一方面,民营企业难以成为提高货币政策有效性的主体.从而造成了我国货币政策效果较差的后果.解决此问题的根本方法在于降低商业银行贷款风险,缓解信贷配给.具体措施:一是建立商业银行进行信息搜寻的激励机制,二是建立融资企业的融资担保体系,使商业银行的贷款风险得以转嫁.     

Optimal Monetary Policy in a Model of Money and Credit

We investigate the extent to which monetary policy can enhance the functioning of the private credit system. Specifically, we characterize the optimal return on money in the presence of credit arrangements. There is a dual role for credit: it allows buyers to trade without fiat money and also permits them to borrow against future income. However, not all traders have access to credit. As a result, there is a social role for fiat money because it allows agents to self‐insure against the risk of not being able to use credit in some transactions. We consider a (nonlinear) monetary mechanism that is designed to enhance the credit system. An active monetary policy is sufficient for relaxing credit constraints. Finally, we characterize the optimal monetary policy and show that it necessarily entails a positive inflation rate.     

The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market

Credit underwriting is a dynamic process involving multiple interactions between borrower and lender. During this process, lenders have the opportunity to obtain hard and soft information from the borrower. We analyze more than 108,000 home equity loans and lines‐of‐credit applications to study the role of soft and hard information during underwriting. Our data set allows us to distinguish lender actions that are based strictly on hard information from decisions that involve the collection of soft information. Our analysis confirms the importance of soft information and suggests that its use can be effective in reducing overall portfolio credit losses ex post.     

Loan Commitment Contracts,Terms of Lending,and Credit Allocation

This paper analyzes the structure of loan commitment contracts and the interrelationships among their component parameters. Lenders offer borrowers a set of loan “packages,” from which the latter may choose that “package” found to be most appealing. Borrowers may “trade off” changes in any loan parameter in exchange for other adjustments. The borrower, at this time, may “purchase” a larger credit ration for a price. Supporting empirical evidence is presented.     

Credit Markets and the Propagation of Monetary Policy Shocks

This paper analyzes the propagation of monetary policy shocks through the creation of credit in an economy. Models of the monetary transmission mechanism typically feature responses that last for a few quarters contrary to what the empirical evidence suggests. To propagate the impact of monetary shocks over time, these models introduce adjustment costs by which agents find it optimal to change their decisions slowly. This paper presents another explanation that does not rely on any sort of adjustment costs or stickiness. In our economy, agents own assets and make occupational choices. Banks intermediate between agents demanding and supplying assets. Our interpretation is based on the way banks create credit and how the monetary authority affects the process of financial intermediation through its monetary policy. As the central bank lowers the interest rate by buying government bonds in exchange for reserves, high productive entrepreneurs are able to borrow more resources from low-productivity agents. We show that this movement of capital among agents sets in motion a response of the economy that resembles an expansionary phase of the cycle.     

信息不对称下信贷市场的惜贷与挤出效应

通过收集和处理借贷平台日常运行中形成的真实数据,本文发现信息不对称条件下信贷市场逆向选择会导致市场萎缩的两类效应;其一为"惜贷"效应:随着信息不对称程度的加深,借贷双方最终达成的合约额度降低和交易匹配时间延长,市场的有效供给萎缩;其二为"挤出"效应:随着信息不对称程度的恶化,借贷双方合约的利率将会升高、期限缩短,市场的...     

Access to Institutional Finance and the Use of Trade Credit

I develop a conceptual framework for analyzing the effect of the availability of institutional loans on firms' demand for supplier (trade) finance. I test for the existence of credit constraints and their effect on corporate financing policies. My empirical results support the hypothesis that trade credit is taken up by firms as a substitute for institutional finance at the margin when they are credit constrained. Further, in line with studies on the credit channel of monetary policy transmission, I find an increased reliance on trade credit by financially constrained firms during periods of tight money.     

银行理财产品快速发展对货币信贷政策影响探析——基于吉林省的调查与思考

近年来,我国银行理财产品业务快速发展,跨行业、跨市场的理财产品日益丰富。银行理财产品的发展,造成了货币政策和信贷政策传导和执行的效率降低、融资规模调控难度加大、产品募集期与投资期限错配导致金融系统流动性风险上升,混业交叉投资导致监管难度加大等诸多问题。本文以吉林省为例,对吉林省银行理财产品及表外业务发展总体状况对货币信贷政策影响进行分析,进而提出加强对理财产品监管,提高货币政策有效性的政策建议。     

信贷配给及信息甄别博弈理论的文献分析及评述

自从Stiglitz＆Weiss和Jaffee＆Russell这两篇经典文献从信息不对称角度解释信贷配给现象之后,涌现出众多的理论文献对信贷市场的信贷配给现象和信息甄别问题进行了研究。现有的信贷市场基本理论研究在以下几方面取得成果：一是信贷配给的信息不对称成因;二是抵押物可以成为银行的风险分类工具：三是贷款额度可以成为银行的风险分类工具。同时其理论研究框架在银行类型假定、借款人类型假定、以及描述借款人行为的效用函数等方面存在局限性,有待进一步深入研究。     

Credit Rationing,Income Exaggeration,and Adverse Selection in the Mortgage Market

We examine the role of borrower concerns about future credit availability in mitigating the effects of adverse selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with “low‐doc” mortgages originated prior to the Great Recession was due to adverse selection on the part of borrowers who could verify income but chose not to. We provide novel evidence that these borrowers were more likely to inflate or exaggerate their income. Our analysis suggests that recent regulatory changes that have essentially eliminated the low‐doc loan product would result in credit rationing against self‐employed borrowers.     

Money Velocity in an Endogenous Growth Business Cycle with Credit Shocks

The paper sets the neoclassical monetary business cycle model within endogenous growth, adds exchange credit shocks, and finds that money and credit shocks explain much of the velocity variations. The role of the shocks varies across subperiods in an intuitive fashion. Endogenous growth is key to the construction of the money and credit shocks because these have similar effects on velocity, but opposite effects upon growth. The model matches the data's average velocity and simulates well velocity volatility. Its Cagan-like money demand means that money and credit shocks cause greater velocity variation, the higher is the nominal interest rate.