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Hétérogénéité du système bancaire et 'credit crunch'

Author

Listed:
  • Olivier Bruno

    (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique)

  • Marc-Antoine Prunier

    (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique)

Abstract

In a heterogeneous financial system, we study a capital crunch transmission on total investment. We develop a model of endogenous credit allocation in which investors, small and large banks differ according to their level of capital and monitoring technology. In a context of moral hazard, imperfect substitutability between the different sources of external funds explains firms' optimal choice of financing and the credit allocation in the economy. We show that a shock on the capital of the small bank leads to a contraction of credit and total investment larger than a shock of the same strength on the capital of the large bank. This result is explained by imperfect credit reallocation and by an asymmetrical increase of the different banks' interest rate.

Suggested Citation

  • Olivier Bruno & Marc-Antoine Prunier, 2007. "Hétérogénéité du système bancaire et 'credit crunch'," Post-Print halshs-00493821, HAL.
    • Handle: RePEc:hal:journl:halshs-00493821
    as

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