In the Stiglitz–Weiss (1981) adverse selection model, pure credit rationing cannot arise in equilibrium. We show that this is due to the fact that single‐name risks are independent and a well‐diversified portfolio contains no risk. We introduce non‐diversifiable macroeconomic risk to the model and show that risk‐averse lenders possibly ration credit. Welfare analysis shows that an interest rate ceiling is potentially welfare enhancing and that equilibrium overinvestment can occur.