信息不对称、企业异质性与信贷风险

发布时间：2018-11-26 19:58

【摘要】：本文运用某国有银行2002—2009年的企业借款信息,采用线性概率模型、非线性Logit模型等多种方法对银行信贷市场的信息不对称和贷款违约进行了实证研究。本文发现,总体来看,抵押对贷款违约率具有显著的正向影响,符合道德风险模型的预测,但是考虑企业的异质性后,抵押对违约的影响是不同的。相对于中等信用等级的企业,高信用等级和低信用等级的企业都更加愿意提供抵押品作为贷款的担保品;从事后违约来看,在抵押贷款中,高信用等级的企业违约率低于中等信用等级企业,低信用等级企业违约率高于中等信用等级企业。因此,对高信用等级企业,提供抵押品主要目的可能是作为显示自己信用好的信号,以减少因信息不对称而导致的逆向选择;对低信用等级企业,更可能是银行要求提供抵押品以降低事后的道德风险,防止贷款的违约。本文为信贷市场上同时存在逆向选择和道德风险提供了直接的证据。
[Abstract]:This paper makes an empirical study on the information asymmetry and loan default in the credit market of a certain state-owned bank by means of linear probabilistic model and nonlinear Logit model using the enterprise loan information of a state-owned bank from 2002 to 2009. This paper finds that mortgage has a significant positive impact on the default rate of loans in general, which is in line with the prediction of moral hazard model, but considering the heterogeneity of enterprises, the impact of mortgage on default is different. Companies with high and low credit ratings are more willing to provide collateral as collateral for loans than those with medium credit ratings; The default rate of high credit grade enterprises is lower than that of medium credit grade enterprises, and the default rate of low credit grade enterprises is higher than that of medium credit grade enterprises. Therefore, for high credit rating enterprises, the main purpose of providing collateral may be as a signal of good credit to reduce adverse selection caused by asymmetric information; For low-credit firms, banks are more likely to demand collateral to reduce moral hazard after the event and prevent default on loans. This paper provides direct evidence for both adverse selection and moral hazard in credit markets.
【作者单位】：西南财经大学金融学院;
【基金】：西南财经大学"211"三期建设项目和西南财经大学科研基金资助
【分类号】：F224;F272;F832.4

【共引文献】