A macroeconomic model of bankruptcy

This paper relates to the macroeconomics of imperfect capital markets. In this framework, the heterogeneity of agents, notably of borrowing firms, is a key element in the explanation of interactions between financial intermediaries and borrowers facing a bankruptcy probability. This probability is usually introduced through exogenous stochastic factors in firms' revenue. In this paper I pursue a more inherently informational approach which, even though all market processes are deterministic, partly endogenizes" the default probability as a consequence of heterogeneous