信贷紧缩、企业价值与最优贷款利率  

Credit Crunch,Corporate Value and the Optimal Loan Interest Rate

作　　者：张一林[1,2] 樊纲治[3,4] 

机构地区：[1]西南财经大学金融学院 [2]西南财经大学博士后流动站 [3]西南财经大学经济与管理研究院 [4]韩国建国大学不动产系

出　　处：《经济研究》2016年第6期71-82,共12页Economic Research Journal

基　　金：国家自然科学基金面上项目(71373210,71572151);中央高校基本科研业务费专项资金(JBK1507K11,JBK160120);“四川省哲学社会科学重点研究基地中国金融法研究中心”年度规划项目(15CFL04)的资助

摘　　要：本文创新性地将银行的断贷决策视为一项实物期权,并用几何布朗运动刻画企业现金流的不确定性,考察贷款利率、银行断贷决策与企业价值之间的关系。研究发现,在企业现金流存在不确定性且企业破产不可逆的条件下,企业价值与贷款利率之间呈"倒U型"关系,使企业价值最大化的最优贷款利率是对企业融资成本和银行贷款激励的最优权衡。尽管较低的贷款利率有利于节约企业的融资成本,但当贷款利率低于"最优贷款利率"时,银行的信贷支持将缺乏包容性,企业反而可能因"节约"了融资成本而面临资金链断裂的风险。本文不仅为不确定环境下的银企合作问题提供了新的理论框架,还为中小企业"融资贵"现象提供了新的解释。Since the credit crunch can cause the bankruptcy of the firm, the bank needs to balance the costs and benefits of the credit crunch. We find that in a long-term relationship lending there is an inversed U-shaped relation between firm＇s value and the loan interest rate, and the optimal loan interest rate that maximizes the the firm value should optimally balance the financing cost and the bank＇s lending incentive. Although the financing cost decreases as the loan interest rate decreases, the firm can obtain a sustainable and inclusive financial support from the bank only if the loan rate matches the firm＇s profit uncertainty. This paper provides a new theoretical framework for the relationship lending as well as a new explanation for the high financing cost of SMEs.

关 键 词：资金链断裂 利率市场化 包容性金融 实物期权 

分 类 号：F832.4[经济管理—金融学] F275