基于轮流出价模型的贷款定价与仿真模拟

发布时间：2018-03-27 10:33

本文选题：利率市场化　切入点：讨价还价　出处：《中央财经大学学报》2013年10期

【摘要】：利率市场化后商业银行与企业在贷款定价中都拥有一定的定价权,因此在谈判中如何合理利用博弈规则谋求收益最大化是一个具有重要现实意义的研究课题。本文基于Rubinstein的轮流出价模型,分析了市场化条件下商业银行与企业间贷款利率的价格形成机制,求解了不同出价次序下的博弈模型结果并进行仿真模拟,认为贷款利率由双方博弈能力决定,且达成均衡的贷款定价受到商业银行与企业相对规模大小的影响。最后基于结论提出了适当增加规模,选择合适的议价对象等贷款定价建议。
[Abstract]:After the marketization of interest rates, both commercial banks and enterprises have certain pricing power in the pricing of loans. Therefore, how to make rational use of game rules to maximize income is an important research topic in the negotiation. This paper is based on Rubinstein's alternate bid model. This paper analyzes the price formation mechanism of loan interest rate between commercial banks and enterprises under market-oriented conditions, solves the game model results under different bidding order and simulates, and thinks that the loan interest rate is determined by the game ability of both parties. Finally, based on the conclusion, the paper puts forward some suggestions for loan pricing, such as increasing the appropriate scale and selecting the right bargaining object.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社科基金重大项目“完善宏观金融调控体系研究——基于针对性、灵活性和前瞻性的视角”(12&ZD046) 教育部人文社科基金“后金融危机时代公开市场操作的新动向与传导机理研究”(13YJA790083) 中央高校基本科研业务费专项资金“资本约束下的货币政策传导机制研究”(20110202) 武汉大学70后团队研究计划资助项目的阶段性成果
【分类号】：F832.4;F224

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