اثرات اطلاعات نامتقارن بین وام گیرندگان و وام دهندگان در یک اقتصاد باز
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|29432||2011||21 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 30, Issue 5, September 2011, Pages 796–816
This paper assesses the effects of asymmetric information between borrowers and lenders in an open economy with access to international capital markets. Information asymmetry and agency costs arise because only borrowers can costlessly observe actual returns from production. Agency costs increase the cost of external finance and lower steady state investment, capital and output. They also affect the business cycle and the central bank’s response to shocks. The long-run effects of agency costs are exacerbated in an open economy and their impact is influenced by the degree of access to international capital markets. The results thus highlight the importance of incorporating credit market interactions into open economy macroeconomic models.
This paper develops a theoretical model to assess the effects of asymmetric information between borrowers and lenders in an open economy with access to international capital markets. Information asymmetry arises in credit markets because borrowers know more about their investment projects than lenders do. It leads to agency costs when lenders delegate control over resources to borrowers, and borrowers (agents) have an incentive not to perform in the best interest of lenders (principals). The idea that credit markets can have real economic effects is not new. It has been examined since at least Wicksell’s early writings on monetary dynamics (Wicksell, 1906) and Fisher’s “debt-deflation theory of great depressions” (Fisher, 1933). More recently, distressed financial and banking systems, e.g. in the United States, the United Kingdom, Scandinavia, Latin America, Japan and other east Asian countries, have rekindled interest in the role of credit markets in economic activity. Based on Bernanke and Gertler’s (1989) seminal contribution, Carlstrom and Fuerst (1997) and Bernanke et al. (1999) develop a closed economy general equilibrium model, in which agency costs increase firms’ cost of external finance relative to internal funds.1 However, imperfect information and the resulting credit market frictions may be more pronounced in small open economies than in large closed economies. Small economies tend to have a large number of small firms, which are more affected by asymmetric information than large businesses, because of economies of scale in acquiring and monitoring information.2 Moreover, in open economies with access to international capital markets, domestic savings are not constrained to domestic (risky) investments. Furthermore, the cost of borrowing is influenced by movements in the relative price of currencies, i.e. the exchange rate. The model in this paper builds on Carlstrom and Fuerst’s (1997) closed economy agency cost model. It is extended to an open economy with a floating exchange rate, foreign trade and access to international capital markets. The model also includes an inflation targeting monetary authority and a government and domestic prices are assumed to converge only gradually to world prices (adjusted for the exchange rate), i.e. prices are sticky. The paper proceeds as follows. Section 2 develops a theoretical small open economy agency cost model that is calibrated to New Zealand. The long-run and business cycle effects of asymmetric information and agency costs are examined in Sections 3 and 4. Section 5 presents some sensitivity analysis and the last section summarizes and concludes.
نتیجه گیری انگلیسی
This paper developed a theoretical model of a small open economy with access to international capital markets to assess the effects of asymmetric information between borrowers and lenders. The model was calibrated for New Zealand. Only borrowers could costlessly observe actual returns after project completion. The ex post information asymmetry led to agency costs and a moral hazard problem and lowered the probability that a loan would be repaid. Financial intermediaries helped overcome the information asymmetry by lending via a debt contract and monitoring borrowers who defaulted on their debt. The analysis showed that asymmetric information and agency costs have real economic effects. Information asymmetry between borrowers and lenders raises the cost of external finance and lowers the long-run level of steady state investment, capital and output. The long-run effects of agency costs are exacerbated in an open economy. This is because access to international capital markets increases the opportunity cost of lending to risky borrowers and raises the rate of return lenders demand for the use of their funds. Agency costs and the cost of external finance also impact on the business cycle and the central bank’s response to shocks. Following a shock to the economy output rises (falls) more gradually and by less in the presence of agency costs. Output fluctuations are dampened in the agency cost model because shocks to the economy affect the cost of external finance to produce capital and expand production. Without agency costs the cost of external finance and the price of capital are unaffected by these shocks. Furthermore, in an open economy with access to international capital markets the cost of external finance is influenced by the exchange rate and the impact of agency costs is affected by the degree of access to international capital markets. The findings in this paper have at least three implications. First, they underline the importance of well-functioning financial systems. Financial intermediaries and markets can help reduce asymmetric information in credit markets and thus increase the efficient allocation of resources and long-run economic performance. Minimizing information asymmetry requires the production and discovery of information through screening and monitoring. Policy settings (such as disclosure requirements, accounting standards and financial regulation) are important because they can impact on the effectiveness of financial systems in allocating resources to best uses. Second, macroeconomic models that do not account for asymmetric information in credit markets provide an incomplete description of the economy. Asymmetric information and agency costs have important long-run real economic effects. Moreover, they affect the propagation of shocks to the economy and policy makers’ responses to economic fluctuations. Third, credit market interactions are altered in small open economies compared to large closed economies. The effects of agency costs are exacerbated in the open economy and their impact is influenced by the degree of access to international capital markets. This suggests that credit market frictions may change with increases in international capital mobility due to financial liberalization and globalization. The results thus highlight the importance of incorporating credit market interactions into open economy macroeconomic models.