地理距离是否影响金融机构决策——基于资产证券化市场微观数据的证据  

Does Geographical Distance Influence Decision-making Among Financial Institutions?--Evidence Based on Micro Data in the Asset Securitization Market

作　　者：王雅炯 幸丽霞 Wang Yajiong;Xing Lixia

机构地区：[1]上海杉达学院胜祥商学院 [2]中国矿业大学(北京)管理学院

出　　处：《金融经济学研究》2023年第3期81-97,共17页Financial Economics Research

基　　金：中央高校基本科研业务费专项资金资助项目(2021SKGL02)。

摘　　要：通过建立贷款人与投资人之间的动态博弈模型,分析地理距离对贷款人、投资人决策的影响机制,并基于证券化产品底层基础资产数据进行验证。研究表明,贷款人倾向对与其地理距离较大的借款人开展更多的风险评估,同时倾向持有优质贷款、出售劣质资产和混合资产,导致投资人采取逆向选择策略,购买与贷款人地理距离较小的借款人的贷款。对于资质良好的贷款人,投资人会侧重评估基础资产风险;而对于资质较弱的贷款人,则会侧重贷款人的主体信用风险。为防范金融风险、促进证券化市场健康发展,应通过监管指标引导属地经营较强的中小银行开展证券化业务,建立更完善、更标准化的信息披露体系,提高大型银行的基础资产信息、中小银行和非银机构主体的信息披露程度。This study developed a dynamic game model between lenders and investors to analyze and validate the mechanism behind the effect of geographical distance on decision making among lenders and investors based on the underlying asset data of securitized products.According to the results of this study,lenders were inclined to conduct more risk assessments on borrowers geographically distant from them,hold high-quality loans,and sell low-quality assets and mixed assets,causing investors to adopt adverse selection strategies and purchase loans from borrowers that were less geographically distant from lenders.Investors would focus on assessing the risks of the underlying assets of well-qualified lenders and the credit risk of lenders'entities.To prevent financial risks and promote the healthy development of the securitization market,efforts should be made to guide small-and medium-sized banks with strong territorial operations to engage in the securitization business using regulatory indicators,establish a more comprehensive and standardized information disclosure system,and improve the disclosure of information on underlying assets among large banks as well as the level of information disclosure among small-and medium-sized banks and non-bank institutions.

关 键 词：信息不对称 地理距离 资产证券化 银行危机 序贯均衡 

分 类 号：F830.4[经济管理—金融学]