Efficient contracts in credit markets subject to interest rate risk : an application of Raviv's insurance model
运用Raviv保险模型，推导出最优浮动利率贷款合约的形式，重点分析贷款利率与未来资金成本之间的契约关系，评估可调利率抵押贷款的风险分担效率。
Interest rate risk borne by financial institutions has increased markedly as the credit markets have become more unstable in recent years. The burden of this new instability has been especially severe for lending institutions whose balance sheets show the greatest mismatch between the maturities of assets and liabilities. The savings and loan industry, for example, which borrows short and lends long, suffered serious losses in recent years as income from its portfolio of old mortgages failed to keep pace with the escalating cost of short-term funds. The specter of such losses has led to the emergence of adjustable-rate mortgages (ARMs) as well as other types of variable-rate contracts. These contracts often specify a complex functional relationship between the future loan interest rate and the lender's (uncertain) future cost of funds. In view of the growing popularity of variable-rate loans, it is important to know what features an efficient contract of this type would possess. To answer this question, the present paper derives the form of the optimal variable-rate contract, focusing especially on the contractual relationship between the loan rate and the future cost of funds. The framework used in the analysis is very similar to Artur Raviv's (1979) optimal insurance model. Section I derives the form of the optimal loan contract and evaluates the risk-sharing efficiency of ARMs in light of the results. Subsequent sections discuss extensions of the model and offer conclusions.1 I. Analysis