| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27195 |
| 来源ID | Working Paper 27195 |
| Interest Rates and the Design of Financial Contracts | |
| Michael R. Roberts; Michael Schwert | |
| 发表日期 | 2020-05-25 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show that the partial response of loan rates to interest rate changes, referred to in the bank lending literature as “stickiness,” is a feature of perfect capital markets. No-arbitrage models of credit risk are able to replicate empirical interest rate sensitivities. However, the widespread use of interest rate floors in the low-rate environment of the last decade is a result of risk-sharing and incentive considerations arising from market imperfections. Floors reallocate cash flows across states in a way that loan spreads cannot. They insure lenders against losses if rates fall, while mitigating borrower moral hazard if rates rise. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w27195 |
| 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/584868 |
| 推荐引用方式 GB/T 7714 | Michael R. Roberts,Michael Schwert. Interest Rates and the Design of Financial Contracts. 2020. |
| 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 | ||
| w27195.pdf（711KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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