期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2007
卷号：2007
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：The paper focuses on the effects of three different internal bank ratings -
Risk-, Property- and Creditworthiness-Rating - on the loan maturity. We use a
sample of about 5,000 loans given to sole proprietors and corporate borrowers by
two German banks from January 2003 till July 2005. The estimation results for
corporate borrowers are consistent with Diamond's (1991) predictions of
non-monotonic relationship between ratings and maturity. The best rated and the
worst rated loans tend to have shorter maturities than loans with an
intermediate rating. However, our results for sole proprietors conflict with the
predictions of Diamond and with the majority of the empirical literature. We
find a negative association between ratings and maturity of the loans given to
sole proprietors.
关键词：loan maturity, internal bank ratings, risk of default, creditworthiness
