提前偿贷风险下催生次贷危机的微观主体行为分析——基于不完全信息动态博弈的视角  

A Micro-level Analysis of Subprime Crisis Induced by Prepayment Risk——From the Perspective of Incomplete Information Dynamic Games

作　　者：张世晴[1] 沈妍[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《南京理工大学学报（社会科学版）》2011年第3期9-17,39,共10页Journal of Nanjing University of Science and Technology：Social Sciences

摘　　要：始于2007年的次贷危机所诱发的金融海啸席卷全球,当后危机时代逐渐走近之时,各种关于这场危机原因的探讨从宏观层面上作出了种种解释。但微观主体的理性决策行为与群体的不可预知性促使笔者从各参与主体的利益状况出发,采用博弈论的原理对次贷危机深层次的原因进行进一步的剖析。在不完全信息的假定下,本文从静态和动态两方面分别考察了贷款人、商业银行、投资者以及特定目的机构的收益函数,正是由于商业银行在贝叶斯均衡与序列均衡中都存在获利的可能,从而催生了整个证券化过程的展开。The financial tsunami induced by the subprime crisis in 2007 hits much of the globe.When the post-crisis era is approaching,most discussions concerning the causes of this crisis focus on macro-level explanations.This paper,starting from the micro-individual＇s rational decision-making behavior and the macro-group＇s unpredictability,tends to further probe into the underlying causes of the subprime crisis.With the presupposition of inadequate information,it statically and dynamically analyzes the profit functions of loan lenders,commercial banks,investors as well as the SPVs.It is commercial banks＇ potential profit in both the Bayesian equilibrium and the sequential equilibrium that induces the securitization process.

关 键 词：提前偿贷风险 贝叶斯均衡 序列均衡 

分 类 号：F830[经济管理—金融学]