信息不对称、信念与金融支持过度——房地产泡沫形成的一个博弈论分析

Asymmetric Information, Belief and Financial Supportive Excess——A Game Theory Analysis of Real Estate Bubble

本文在一个不对称信息框架下分析了银行和房地产投资者之间的行动选择,认为在单重博弈中,只要房地产市场没有出现太糟糕的事情,提供金融支持是银行的最优选择。在多重博弈中,双方将根据对方过去的行动来更新自己的信念。在借款人不良贷款行为对银行的收益影响足够小的情况下,借款人采取信誉低的行动,银行采取金融支持力度高的行动,将是多重博弈的均衡解。在银行存在沉没成本的情况下,这种均衡在短期内也没有被改变,直接推动了房地产泡沫的形成。然而,在长期内这种均衡会因为参与者对市场景气的信心发生逆转而被打破,最终的均衡将是借款人采取信誉低的行动,银行采取金融支持力度低的行动,最终导致房地产泡沫彻底破灭。

Based on an asymmetric information game model, this paper analyzes the strategic choices made by bank and investors of the real estate. In a single stage game, as long as the real estate market is not too bad, financial support is the best choice of bank. In dynamic, both sides will renovate their own belief based on past action. If investors choose 'low credit standing' and bank chooses 'higher financial support', equilibrium will be reached when the action of investors will have little effect on bank' s benefits. Under increasing sunk costs the equilibrium will not be changed in the short time and it will lead to form real estate bubble. However, when belief of the market boom takes place reversion, the equilibrium will be broken, ' low credit standing' and ' lower financial support' are the last equilibrium of both sides and the real estate bubble will completely overturn.