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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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