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Creditworthiness and thresholds in a credit market model with multiple equilibria

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005526
URN to cite this document: urn:nbn:de:bvb:703-epub-5526-8

Title data

Grüne, Lars ; Semmler, Willi ; Sieveking, Malte:
Creditworthiness and thresholds in a credit market model with multiple equilibria.
Bayreuth , 2003

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Abstract

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: Preprint, postprint
Additional notes (visible to public): Erscheint in: Economic Theory. Bd. 25 (2005) Heft 2 . - S. 287-315; https://doi.org/10.1007/s00199-003-0442-8
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: 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
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)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5526-8
Date Deposited: 17 May 2021 12:11
Last Modified: 21 Jun 2021 08:37
URI: https://epub.uni-bayreuth.de/id/eprint/5526

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