Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316.2/24899
Title: | A model of firm behaviour with bankruptey costs and imperfectly informed lenders | Authors: | Gil, Pedro Rui Mazeda | Issue Date: | 2005 | Publisher: | Faculdade de Economia da Universidade de Coimbra | Abstract: | Baseado em Greenwald e Stiglitz (1988,
1990), este trabalho explora um modelo
simples de comportamento
microeconómico que tem em conta o
impacto da assimetria de informação nos
mercados de capitais nas regras óptimas
de investimento das firmas. Num primeiro
ponto, apresenta-se um modelo onde as
firmas, com qualidade heterogénea, têm o
acesso ao mercado accionista
restringido; tal origina custos esperados
de falência que elevam o ‘user cost’ do
capital, reduzindo o nível óptimo
investimento de cada firma. Passa-se,
depois, para um contexto de selecção
adversa no mercado bancário, onde os
bancos oferecem uma taxa de juro
contratual homogénea. As firmas de
menor qualidade, sabendo que as suas
taxas esperadas de falência, embora mais
elevadas, não terão paralelo em taxas de
juro contratuais também mais elevadas,
tendem a investir mais que as firmas de
maior qualidade. Se basant sur Greenwald et Stiglitz (1988, 1990), ce travail exploite un modèle simple de comportement microéconomique qui tient compte de l’impact de l’asymétrie d’information sur les marchés de capitaux dans les règles d’abord, on présente un modèle où les firmes, dont la qualité est hétérogène, ont accès au marché actionnaire restreint: cela entraîne des coûts de faillite attendus qui élèvent le coût d’usage («user cost») du capital, réduisant ainsi le niveau optimal de l’investissement de chaque firme. Puis, on se place dans un contexte de sélection adverse sur le marché bancaire où les banques offrent un taux d’intérêt contractuel homogène. Les firmes de moindre qualité, n’ignorant pas que leurs taux de faillite attendus, bien que plus élevés, ne trouveront pas d’équivalent dans des taux d’intérêt contractuels également plus élevés, tendent à investir davantage que les firmes de plus grande qualité. Based on Greenwald and Stiglitz (1988, 1990), this work explores a simple model of microeconomic behaviour that incorporates the impact of asymmetric information in capital markets on firms’ optimal investment decision rules. Starting from a model of equity-constrained firms, where expected bankruptcy costs (reflecting each firm’s quality) imply a higher user cost of capital and, thus, a lower investment by each firm, we move to a context of adverse selection in the debt market, where banks offer a ‘onesize- fits-all’ contractual interest rate. This implies that ‘poor’ firms tend to invest more vis-à-vis ‘good’ firms, since they now take into account that higher expected default rates may not be matched by comparably higher contractual interest rates, therefore weakening the impact of bankruptcy costs on firms’ investment decisions. |
URI: | https://hdl.handle.net/10316.2/24899 | ISSN: | 2183-203X |
Appears in Collections: | Notas Económicas |
Files in This Item:
File | Description | Size | Format | |
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notaseconomicas22_artigo1.pdf | 2.15 MB | Adobe PDF | ![]() |
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