| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2421 |
| 来源ID | Working Paper 2421 |
| Bank Portfolio Choice with Private Information About Loan Quality: Theory and Implications for Regulation | |
| Deborah Lucas; Robert L. McDonald | |
| 发表日期 | 1987-10-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | This paper models bank asset choice when shareholders know more about loan quality than do outsiders. Because of this informational asymmetry, the price of loans in the secondary market is the price for poor quality loans. Banks desire to hold marketable securities in order to avoid liquidating good quality loans at the "lemons" price, but also have a countervailing desire to hold risky loans in order to maximize the value of deposit insurance. In this context, portfolio composition and bank safety is examined as a function of the market distribution of loan quality, and the distribution of deposits. The model suggests that off-balance sheet commitments have little effect on bankruptcy risk, and induce banks to hold more securities. We also show that an increase in the bank equity requirement will unambiguously increase bank safety in the long run. In the short run, banks are unambiguously riskier on-balance-sheet, although the effect on bank safety is ambiguous. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2421 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559676 |
| 推荐引用方式 GB/T 7714 | Deborah Lucas,Robert L. McDonald. Bank Portfolio Choice with Private Information About Loan Quality: Theory and Implications for Regulation. 1987. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2421.pdf（239KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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