信贷市场信息不对称的实证研究——来自中国国有商业银行的证据

On the Asymmetric Information on China's Credit Market

对于信贷市场的信息不对称现象,有逆向选择模型、道德风险模型及信号显示等理论进行解释。逆向选择模型认为,商业银行事前不知道借款人的风险类型,抵押可以作为一个信号来显示借款人的类型,高质量的借款人通过抵押以较低的利率获得贷款,低质量的借款人以较高的利率获得贷款,不提供抵押品。道德风险模型认为,银行事前知道借款人的风险类型,但银行在借款人获得贷款后无法监督其行为,高质量的借款人的道德风险低,低质量的借款人必须提供抵押品才能获得贷款,结果,抵押贷款利率更高,抵押贷款的违约率不低于信用贷款的违约率。本文实证结果表明,道德风险模型预测的信贷市场均衡与信贷市场真实的均衡更一致,信用贷款的利率更低,而抵押贷款的利率更高,而且抵押贷款的事后违约率高于信用贷款的违约率,即银行主要面对事后信息不对称,而不是事前信息不对称。

In the paper, the authors firstly introduce two models about asymmetric information in credit markets： ＂ adverse selection＂ model and ＂moral hazard＂ model. Adverse selection model assumes that banks do not know the types of borrowers, and collateral could be used as a signal to signal its high quality type, so high quality borrowers provide collateral to get loans with low interest rates and low quality borrowers get loans without collateral and pay high interest rates. Ex post, the loans with collateral will default less than that without. Moral hazard model assumes that banks know about the risk type of borrowers, but cannot monitor borrowers＇ behavior, and that the high quality borrowers have less incentive to abuse the loans. To reduce the low quality borrowers＇ incentive to abuse the loans, banks ask low quality borrowers to provide collateral and pay high interest rate. Hence, the loans with collateral will default more than that without. Secondly, based on the data of China state-owned commercial banks, the empirical evidence of the paper shows that moral hazard moders prediction is more consistent with real credit market equilibrium, and that loans with collateral pay high interest rate than that without and loans with collateral default more than that without. This means that the problem of ＂Ex post asymmetric information＂ is more serious than that of ＂Ex ante asymmetric information＂ on credit markets.