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Creditworthiness and thresholds in a credit market model with multiple equilibria

Title data

Grüne, Lars ; Semmler, Willi ; Sieveking, Malte:
Creditworthiness and thresholds in a credit market model with multiple equilibria.
In: Economic Theory. Vol. 25 (2005) Issue 2 . - pp. 287-315.
ISSN 1432-0479
DOI: https://doi.org/10.1007/s00199-003-0442-8

Abstract in another language

The paper studies a credit market model with endogenous credit cost and debt constraints in which multiple candidates for steady state equilibria arise. We use dynamic programming (DP) with flexible grid size to locate thresholds that separate different domains of attraction. More specifically, we employ DP to (1) compute present value borrowing constraints and thus creditworthiness, (2) locate thresholds where the dynamics separate to different domains of attraction, (3) distinguish between optimal and non-optimal steady states and (4) demonstrate how the thresholds change with change of the credit cost function of the debtor and (5) explore the impact of debt ceilings and consumption paths on creditworthiness. The analytics is provided for a general model and some generic results are presented for a one state variable problem.

Further data

Item Type: Article in a journal
Refereed: Yes
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Result of work at the UBT: Yes
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Date Deposited: 02 Mar 2021 10:47
Last Modified: 23 Mar 2021 09:13
URI: https://eref.uni-bayreuth.de/id/eprint/63570