利率市场化与信贷配给——一个基于IRR的实物期权模型  

Interest Rate Liberalization and Credit Rationing; A Real Option Model Based on IRR

作　　者：张小茜[1] 汪炜[1] 史晋川[1] 

机构地区：[1]浙江大学经济学院浙江大学民营经济研究中心,浙江杭州310027

出　　处：《金融研究》2007年第03A期87-97,共11页Journal of Financial Research

基　　金：国家社会科学基金项目"实物期权视角下的民营企业战略决策研究"资助(项目编号:05CJY006)

摘　　要：银行提高贷款利率将会减少优质客户,这一信贷配给现象在企业面对等待或贷款的选择权时是否仍会出现?本文对此建立了理论模型,在动态利率下将企业贷款投资决策构造为一个基于IRR的实物期权,得到了贷款利率上下限和贷款概率。银行实行差异化利率可能导致信贷配给,市场化利率有可能不存在。要解决这一问题,关键在于真正以企业资质定利率,并加强抵押品担保和信贷监控。Will credit rationing, which means higher interest rate of loan will drive away good borrowers, still occur when the finn has an option to borrow or wait？ The borrow - investment strategy under uncertain interest rate is modeled as a real option based on IRR in this article. The feasible range of credit rationing and the borrowing probability are obtained. Differentiated interest rate may bring credit rationing. In this case market - based interest rate may not exist. To solve this problem, interest rate of loan should depend on the finn＇ s IRR, and strengthen the credit monitoring as well.

关 键 词：实物期权 信贷配给 利率市场化 

分 类 号：F275[经济管理—企业管理] F830.5[经济管理—国民经济] F224