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Une présentation critique des mécanismes de révélation appliqués au marché du crédit

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  • Maria Psillaki

Abstract

[eng] The aim of this article is to present a model of revelation mechanisms applied in the credit market when the firm's default risk is imperfectly known from the bank. More precisely, we expose the sufficient constraints (the participation constraint, the incentive compatibility constraint) when the bank can vary simultaneously interest rate and collaterals. However using the model of Stiglitz and Weiss (1986, 1992) we show the impossibility to screen perfectly the different types of borrowers. Furthermore, we analyse the efficiency of these revelation mechanisms in a dynamic perspective refering to the notions of engagement and renegotiation. Finaly we stress that borrowers may have a behaviour of rule following based on habits or routines. [fre] Sous l'hypothèse d'une asymétrie d'information entre prêteurs et emprunteurs, l'objet de cette contribution est de présenter un modèle résumant les caractéristiques générales des mécanismes de révélation où la banque ne connaît qu'imparfaitement le risque de faillite de l'emprunteur. Plus précisément, nous exposons les contraintes suffisantes (contrainte de participation, contrainte de compatibilité du mécanisme incitatif), qui caractérisent les mécanismes de révélation lorsque la banque possède un grand nombre de combinaisons entre taux d'intérêt et garanties. Toutefois, à partir de l'approche développée par Stiglitz et Weiss [1986, 1992] nous montrerons que même si la banque augmente la dimension des contrats, la discrimination des emprunteurs reste imparfaite. Puis dans une perspective dynamique; nous nous interrogerons sur l'effectivité de ces mécanismes de révélation, en nous référant aux notions d'engagement et de renégociation. Dans un tel contexte, les banques peuvent utiliser les relations de long terme et la réputation comme instrument complémentaire pour une meilleure évaluation du risque de défaut des emprunteurs. Dans ces conditions le comportement des prêteurs comme des emprunteurs est guidé par des règles fondées sur les habitudes ou les routines.

Suggested Citation

  • Maria Psillaki, 1998. "Une présentation critique des mécanismes de révélation appliqués au marché du crédit," Revue Française d'Économie, Programme National Persée, vol. 13(2), pages 29-58.
  • Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_2_1049
    Note: DOI:10.3406/rfeco.1998.1049
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    File URL: https://www.persee.fr/doc/rfeco_0769-0479_1998_num_13_2_1049
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    References listed on IDEAS

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    1. Bester, Helmut, 1994. "The Role of Collateral in a Model of Debt Renegotiation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 72-86, February.
    2. Stiglitz, Joseph E & Weiss, Andrew, 1992. "Asymmetric Information in Credit Markets and Its Implications for Macro-economics," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 694-724, October.
    3. Haubrich, Joseph G., 1989. "Financial intermediation : Delegated monitoring and long-term relationships," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 9-20, March.
    4. Spence, Michael, 1974. "Competitive and optimal responses to signals: An analysis of efficiency and distribution," Journal of Economic Theory, Elsevier, vol. 7(3), pages 296-332, March.
    5. Sharpe, Steven A, 1990. " Asymmetric Information, Bank Lending, and Implicit Contracts: A Stylized Model of Customer Relationships," Journal of Finance, American Finance Association, vol. 45(4), pages 1069-1087, September.
    6. Diamond, Douglas W, 1989. "Reputation Acquisition in Debt Markets," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 828-862, August.
    7. Dorothée Rivaud-Danset, 1996. "Les contrats de crédit dans une relation de long terme. De la main invisible à la poignée de main," Revue Économique, Programme National Persée, vol. 47(4), pages 937-962.
    8. 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.
    9. Bester, Helmut, 1985. "Screening vs. Rationing in Credit Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 75(4), pages 850-855, September.
    10. Gibbard, Allan, 1973. "Manipulation of Voting Schemes: A General Result," Econometrica, Econometric Society, vol. 41(4), pages 587-601, July.
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    Cited by:

    1. Psillaki, Maria & Tsolas, Ioannis E. & Margaritis, Dimitris, 2010. "Evaluation of credit risk based on firm performance," European Journal of Operational Research, Elsevier, vol. 201(3), pages 873-881, March.

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