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Diversification incomplète et rationnements financiers

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  • Michel Guillard

Abstract

[fre] Diversification incomplète et rationnements financiers. . L'objet de cet article est de présenter un modèle de rationnement financier, basé sur une hypothèse d'asymétrie d'information ex-post, et compatible avec l'observation de taux d'intérêt variables, tant sur le marché des prêts risqués que sur le marché monétaire. Il développe, pour ce faire, une approche sectorielle du marché des prêts qui permet d'étudier les conséquences d'Une diversification incomplète, alors que les prêteurs présentent de l'aversion pour le risque et se font concurrence en prix-quantité (à la Bertrand-Edgeworth). Il fournit notamment une explication alternative, plus « continue », au phénomène d'effondrement financier (Financial Collapse) décrit par Mankiw [1986], basée sur l'idée d'une disparition progressive d'un marché financier (sectoriel). Cette approche rend possible une réconciliation des analyses privilégiant soit le lien de causalité taux d'intérêt-revenu (Farmer[1984J), soit le lien crédit-revenu (Bernanke et Blinder [1988]). [eng] Incomplet diversification and financial rationing . . In this paper we construct a financial rationing model with ex-post asymetric information which is compatible with the observation of safe and risky interest rates variations. We suppose that lenders are risk-avers and that risk cannot be completely diversified. These two assumptions allow us to develop a loan market sector-based approach in which lenders compete in priees and quantifies. The model exhibits a kind of " financial fading " which is more continuous that the financial collapse described by Mankiw [1986]. This approach is both consistent with Farmer's description of the effects of interest rates on aggregate supply [1984] and with Bernanke et Blinder's " credit view " [1988].

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  • Michel Guillard, 1992. "Diversification incomplète et rationnements financiers," Revue Économique, Programme National Persée, vol. 43(2), pages 327-362.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_2_409355
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    References listed on IDEAS

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    1. Farmer, Roger E A, 1984. "A New Theory of Aggregate Supply," American Economic Review, American Economic Association, vol. 74(5), pages 920-930, December.
    2. Myerson, Roger B, 1979. "Incentive Compatibility and the Bargaining Problem," Econometrica, Econometric Society, vol. 47(1), pages 61-73, January.
    3. Partha Dasgupta & Eric Maskin, 1986. "The Existence of Equilibrium in Discontinuous Economic Games, I: Theory," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 1-26.
    4. Bernanke, Ben S & Blinder, Alan S, 1988. "Credit, Money, and Aggregate Demand," American Economic Review, American Economic Association, vol. 78(2), pages 435-439, May.
    5. Douglas W. Diamond, 1984. "Financial Intermediation and Delegated Monitoring," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 51(3), pages 393-414.
    6. Harris Milton & Townsend, Robert M, 1981. "Resource Allocation under Asymmetric Information," Econometrica, Econometric Society, vol. 49(1), pages 33-64, January.
    7. Partha Dasgupta & Eric Maskin, 1986. "The Existence of Equilibrium in Discontinuous Economic Games, II: Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 27-41.
    8. Yanelle, Marie-Odile, 1989. "The strategic analysis of intermediation," European Economic Review, Elsevier, vol. 33(2-3), pages 294-301, March.
    9. David de Meza & David C. Webb, 1987. "Too Much Investment: A Problem of Asymmetric Information," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(2), pages 281-292.
    10. N. Gregory Mankiw, 1986. "The Allocation of Credit and Financial Collapse," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(3), pages 455-470.
    11. Blinder, Alan S, 1987. "Credit Rationing and Effective Supply Failures," Economic Journal, Royal Economic Society, vol. 97(386), pages 327-352, June.
    12. Beth Allen & Martin Hellwig, 1986. "Bertrand-Edgeworth Oligopoly in Large Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 175-204.
    13. Grossman, Sanford J & Hart, Oliver D, 1983. "An Analysis of the Principal-Agent Problem," Econometrica, Econometric Society, vol. 51(1), pages 7-45, January.
    14. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    15. Dwight M. Jaffee & Thomas Russell, 1976. "Imperfect Information, Uncertainty, and Credit Rationing," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(4), pages 651-666.
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    Cited by:

    1. Michel Guillard, 1992. "Déséquilibres macro-économiques et rationnement du crédit," Revue Économique, Programme National Persée, vol. 43(6), pages 1071-1105.
    2. Taoufik Rajhi & Michel Guillard, 1994. "Une note sur les liens entre croissance et taux d'intérêt," Revue Économique, Programme National Persée, vol. 45(3), pages 751-766.

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