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Un estudio sobre el papel clasificador de las garantías en los mercados de crédito con información asimétrica

Author

Listed:
  • C. Mónica Capra

    (Washington University)

  • Irene Ramírez Comeig

    (Universitat de València)

  • Matilde O. Fernández Blanco

    (Universitat de València)

Abstract

This paper tests Bester's (1985, 1987) prediction about the separating role ofcontracts that involve both interest rates and collateral in credit markets. To test thisprediction we use data from natural credit markets and controlled experiments. Using asample of credits to small and medium size firms in Valencia, Spain, we relate twodifferent types of contracts with the ex post risk type of the borrower and other relevantvariables. We then design two incentive compatible contracts and analyze decisionsunder two different experimental treatments, one with moral hazard. Our empiricalresults confirm that borrowers of ex post lower risk choose contracts with highercollateral and lower interest rate. However, we find that moral hazard could reduceseparation. En este trabajo se examinan las tesis de Bester (1985, 1987) sobre el efecto clasificador de los contratos de préstamo que combinan los requisitos de garantía y tipo de interés. Para ello, empleamos dos métodos de análisis complementarios: un análisis empírico tradicional y un análisis experimental. En el primero, sobre una muestra de préstamos a Pymes de la Comunidad Valenciana, relacionamos dos tipos de contratos con el riesgo ex post del prestatario y otras variables relevantes del contrato y/o de la empresa. En el segundo, diseñamos dos contratos incentivo-compatibles y analizamos las elecciones de los individuos en dos entornos: con y sin riesgo moral. Nuestros resultados empíricos y experimentales confirman que los prestatarios de menor riesgo ex post se concentran en los contratos de mayor garantía y menor tipo de interés. Sin embargo, encontramos evidencia experimental de que la existencia de riesgo moral podría reducir la eficacia en la clasificación.

Suggested Citation

  • C. Mónica Capra & Irene Ramírez Comeig & Matilde O. Fernández Blanco, 2001. "Un estudio sobre el papel clasificador de las garantías en los mercados de crédito con información asimétrica," Working Papers. Serie EC 2001-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2001-25
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    More about this item

    Keywords

    Mercado de crédito; garantías; contratos incentivo-compatibles; información asimétrica; riesgo moral Credit markets; incentive compatible contracts; asymmetric information; moral hazard; experiments;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior

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