信用贷款挤兑模型

发布时间：2018-01-15 02:01

本文关键词：信用贷款挤兑模型　出处：《管理科学学报》2012年10期 　论文类型：期刊论文

【摘要】：自Diamond and Dybvig(1983)以来,贷款挤兑作为公司金融领域的一种流动性危机,一直被认为是银行挤兑的另一版本.然而贷款挤兑中企业并不完全遵守银行挤兑文献中的前提假设,即"先到先服务"规则.尽管银行认为企业应该如此,但企业在应对挤兑时出于自利会重新调整还贷顺序,并利用这种选择权与银行进行私下协商,达成串谋均衡以求终止挤兑.与以往的银行挤兑文献不同,信用贷款挤兑中不仅存在共赢均衡和挤兑均衡,而且还存在介于两者之间的串谋均衡.企业与部分银行能否实现串谋,关键在于企业能否追加足够的信用保证.本文解释了贷款挤兑的机制,将Diamond-Dybvig的银行挤兑范式扩展到了不满足顺次服务约束时三方博弈的情形.当企业完全遵循"先到先服务"规则或无法实现串谋时,结果与Diamond-Dybvig模型相同.
[Abstract]:Since the Diamond and Dybvig (1983) has a liquidity crisis loan runs as corporate finance, has been considered to be another version of bank runs. However the enterprise loan runs does not fully comply with the assumption that the bank runs in the literature, "first come first serve rule. Although the bank believes that enterprises should be so however, corporate self-interest will adjust in response to the order owing on the run, and use this option with the bank for the privately negotiated, a conspiracy to terminate the run. Different from the previous literature on bank runs, and runs a balanced win-win equilibrium not only the existence of credit loan runs, but there is also a conspiracy between enterprises. And some banks can achieve collusion, the key lies in the enterprise can add enough credit guarantee. This paper explains the mechanism of loan run, Diamond-Dybvig bank runs The extension paradigm is extended to the three party game which does not meet the sequential service constraints. When the enterprise fully follows the "first come first served" rule or fails to achieve collusion, the result is the same as the Diamond-Dybvig model.

【作者单位】：西安交通大学公共政策与管理学院;西安交通大学管理学院;
【基金】：国家自然科学基金资助项目(70673077;71071127)
【分类号】：F832.4;F224
【正文快照】： 0引言银行作为金融中介一方面接纳储户的存款并支付利息;另一方面也向企业提供贷款以便获得贷款收益.当银行遭遇随机性外部冲击时,储户会蜂拥而至挤提存款,银行遭遇的这种流动性危机称为银行挤兑(bank runs)或存款挤兑;同样,当企业遭遇随机性外部冲击时,为企业提供贷款的多家

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