存货质押贷款中的信号发送—甄别分离均衡

Combined Signaling-Screening Equilibrium in Inventory Pledge Loan

研究存货质押贷款中,当信贷人对借款人质押前违约概率信息不对称时,考虑借款人信号发送行为时对借款人的甄别。运用信息经济学,在Danny Ben-shahar抵押贷款模型基础上,考虑质物价格风险,证明信贷人以利率和贷款价值工具实现信号发送——甄别分离均衡。结论是借款人首先通过真实信号发送获得真实信用评级,且在每一评级内部,存在高风险借款人选择(高利率,高贷款价值比)合同,低风险借款人选择(低利率,低贷款价值比)合同的分离均衡。

On inventory pledge loan, creditor can screen on borrowers with asymmetric information of ex ante default possibility, when taking into account borrowers＇ signaling action by acquiring a credit score. With information economies method, we consider price risk of collateral on Danny Ben-shahar mortgage model, and prove signaling-screening equilibrium by interest rate and LTV mechanism. In the combined signaling-screening equilibrium, borrowers first acquire true score, then are divided into different subset. Furthermore within each subset with identical credit scores, riskier （safer）borrowers attain a loan with higher（lower）interest rate and higher （lower） LTV ratio.