模糊厌恶下关系型借贷定价和最优贷款利率  

The Pricing of Relationship Loan and Optimal Loan Interest Rate under Ambiguity Aversion

作　　者：李昊骅[1,2] 张晓强 罗鹏飞[4] 李心丹 LI Hao-hua;ZHANG Xiao-qiang;LUO Peng-fei;LI Xin-dan(Schoolof Management and Engineering,Nanjing University,Nanjing 210093,China;School of Information Management,Nanjing University,Nanjing 210093,China;Shanghai Stock Exchange,Shanghai 200120,China;School of Finance and statistics,Hunan University,Changsha 410079,China)

机构地区：[1]南京大学工程管理学院,江苏南京210093 [2]南京大学信息管理学院,江苏南京210093 [3]上海证券交易所,上海200120 [4]湖南大学金融与统计学院,湖南长沙410079

出　　处：《中国管理科学》2020年第10期36-42,共7页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71671083,71720107001,72001074);中国博士后科学基金资助项目(2020M671190)。

摘　　要：考虑决策者是模糊厌恶的,利用实物期权方法,解析地给出了银行价值,企业价值和最优停贷水平。分析了模糊厌恶和基准波动率对最优贷款利率,最优停贷水平,企业价值和银行价值的影响。数值分析表明:模糊厌恶提高了贷款利率,降低了企业和银行价值。在基准波动率水平较小时,模糊厌恶推迟了停贷水平;在基准波动率较大时,模糊厌恶加速了停贷水平。此外,在模糊中性下,企业价值是基准波动率凸函数,银行价值是基准波动率凹函数。而在模糊厌恶下,企业价值和银行价值都随着基准波动率的增加而递减。本文从行为金融角度为中小企业“融资贵”提供了新的解释。Under the new normal of the economy,the difficult financing for small and medium-sized enterprises(SMEs)is a prominent problems.The reason of the difficult financing for SMEs is that there exists information asymmetry between bank and SMEs.Stiglitz and Weiss(1981)deemed that information asymmetry causes adverse selection and moral hazard problems,and strengthen the credit rationing of bank.Thus,it makes SMEs’s financing difficult and increases the cost of financing.However,the relationship loan is a important way to resolve the information asymmetry between bank and SMEs.Thus,it is significant to alleviate the financing constraint for SMEs.DeYoung et al.(2008),Bharath et al.(2009)and Beck et al.(2018)found that the relationship loan promotes information communication between bank and SMEs via multi-channel,long-term contact SMEs.It lowers the condition of financing for SMEs by making full use of SMEs’soft information.According to the data from the National bureau of statistics,it shows that 38.8percent of SMEs with need financing can not gain the fund.The phenomenon of the stint loans and broken credit of bank happens all the time.Furthermore,the bank increases the 30percent of interest rate for SMEs.From the above,it shows that the phenomenon of financing expensive for SMEs is common.Based on this,our model incorporates decision-makers’ambiguity aversion to study the relationship loan,and provides behavioral explanation for the phenomenon of financing expensive for SMEs.Following Agliardi et al.(2015),it is assumed that the cash flow Xsatisfies the Choquet-Brownian process:dXt=(μ+mσ)Xtdt+sσXtdZt whereμ+mσdenotes the growth rate of cash flow,andsσdenotes the volatility of cash flow,andμ、σare constant.m=2c-1,s2=4c(1-c),where c∈(0,1)is constant and measures the degree of the decision-makers’ambiguity about the future results.In our model,we focus on the ambiguity aversion case,i.e.,c<1/2.The smaller the value of cis,the more ambiguity aversion the decision-makers are.Following Zhang and Huang(20

关 键 词：模糊厌恶 基准波动率 实物期权方法 关系型借贷 贷款利率 

分 类 号：F830[经济管理—金融学]