存货质押业务中银行与物流企业Stackelberg博弈行为分析  

Analysis of Stackelberg Game between Banks and Logistics Enterprise in Inventory Financing

作　　者：何娟[1] 蒋祥林[2] 王建[1] 

机构地区：[1]西南交通大学,四川成都610031 [2]复旦大学,上海200433

出　　处：《财贸研究》2012年第3期125-131,共7页Finance and Trade Research

基　　金：国家自然科学基金项目"基于多方交易行为分析的供应链金融集成风险管理研究"(71003082);全国博士后基金"物流金融风险综合评价研究"(20080430602);教育部博士点基金"基于多方交易行为的物流金融风险管理研究"(200806131007);四川省科技计划软科学项目"物流金融风险综合评价与测度"(2010ZR0028);中央高校基本科研业务费专项资金"供应链金融风险关键技术指标研究及应用"(SWJTU11CX081);复旦大学经济学院985平台项目"供应链金融风险管理问题研究"

摘　　要：完全信息下的存货质押融资业务中,物流企业作为先行决策者决定风险承担比例,银行据此决定利率,对实践中双方博弈行为进行分析与求解的数值仿真研究表明:完全信息下由银行和物流企业"双边决定市场"的优势大于由银行单边决定的市场;借款企业高履约水平时,物流企业愿意通过提高自身的风险承担比例来换取银行减让利率;利率敏感度对均衡结果的影响较自有资金敏感度更为显著。This paper establishes a Stackelberg model in inventory financing by inlroducing ＂bilateral market＂, where the logistics enterprise decides risk sharing ratio as first decision maker, the bank decides the interest rate. Furthermore, this thesis analyzes the behavior of inventory financing and provides quantita- tively the conditions of the full cooperation between the bank and logistics enterprise. The results show that, under perfect information, the advantage of ＂bilateral determine the market＂ by both banks and logistics en- terprises is greater than that of unilateral decision by the bank, the logistics enterprise is willing to take on more risk for lower interest rate when the probability of default of borrower is very low, the equilibrium is more sensitive to interest rate than the equity fund.

关 键 词：存货质押融资 STACKELBERG博弈模型 决策机制 

分 类 号：F406[经济管理—产业经济]