存货质押贷款中的信号发送—甄别分离均衡  

Combined Signaling-Screening Equilibrium in Inventory Pledge Loan

作　　者：于萍[1,2] 徐渝[2] 冯耕中[2] 

机构地区：[1]山东科技大学经济管理学院,山东青岛266510 [2]西安交通大学管理学院,陕西西安710049

出　　处：《运筹与管理》2009年第4期90-97,共8页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(70472036)

摘　　要：研究存货质押贷款中,当信贷人对借款人质押前违约概率信息不对称时,考虑借款人信号发送行为时对借款人的甄别。运用信息经济学,在Danny Ben-shahar抵押贷款模型基础上,考虑质物价格风险,证明信贷人以利率和贷款价值工具实现信号发送——甄别分离均衡。结论是借款人首先通过真实信号发送获得真实信用评级,且在每一评级内部,存在高风险借款人选择(高利率,高贷款价值比)合同,低风险借款人选择(低利率,低贷款价值比)合同的分离均衡。On inventory pledge loan, creditor can screen on borrowers with asymmetric information of ex ante default possibility, when taking into account borrowers＇ signaling action by acquiring a credit score. With information economies method, we consider price risk of collateral on Danny Ben-shahar mortgage model, and prove signaling-screening equilibrium by interest rate and LTV mechanism. In the combined signaling-screening equilibrium, borrowers first acquire true score, then are divided into different subset. Furthermore within each subset with identical credit scores, riskier （safer）borrowers attain a loan with higher（lower）interest rate and higher （lower） LTV ratio.

关 键 词：金融学 存货质押贷款 信息经济学 甄别 抵押物 

分 类 号：F830.56[经济管理—金融学]