Credit risk transfer, real sector productivity, and financial deepening
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in the low-end segment. If optimal, CRT unambiguously fosters financial deepening, i.e., it reduces credit-rationing in the economy. These effects rely upon the ability of banks to commit to the optimal CRT at the funding stage. The optimal degree of CRT depends on the combination of moral hazard, general riskiness, and the cost of monitoring in non-monotonic ways. JEL Classification: D82, G21, G32
| Author: | Patrick Behr, Samuel Lee |
|---|---|
| URN: | urn:nbn:de:hebis:30-17551 |
| Series (Serial Number) | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (153) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 06.10.2005 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | credit risk transfer ; delegated monitoring ; financial deepening |
| SWD-Keyword: | Kreditrisiko / Finanzderivat / Swap / Credit Default Swap / Finanzintermediär / Finanzierungstheorie / Agency Theory / Produktivität / Mehr-Sektoren-M |
| Source: | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting ; 153 |
| HeBIS PPN: | 188877630 |
| Institutes: | Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
