信用贷款挤兑模型被引量：2

A model of fiduciary loan runs

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摘要自Diamond and Dybvig(1983)以来,贷款挤兑作为公司金融领域的一种流动性危机,一直被认为是银行挤兑的另一版本.然而贷款挤兑中企业并不完全遵守银行挤兑文献中的前提假设,即"先到先服务"规则.尽管银行认为企业应该如此,但企业在应对挤兑时出于自利会重新调整还贷顺序,并利用这种选择权与银行进行私下协商,达成串谋均衡以求终止挤兑.与以往的银行挤兑文献不同,信用贷款挤兑中不仅存在共赢均衡和挤兑均衡,而且还存在介于两者之间的串谋均衡.企业与部分银行能否实现串谋,关键在于企业能否追加足够的信用保证.本文解释了贷款挤兑的机制,将Diamond-Dybvig的银行挤兑范式扩展到了不满足顺次服务约束时三方博弈的情形.当企业完全遵循"先到先服务"规则或无法实现串谋时,结果与Diamond-Dybvig模型相同. Since Diamond and Dybvig （1983）, it has been considered that loan runs as a liquidity crises in corporate finance are another version of bank runs. However, in loan runs, firms do not completely comply with the first-come, first-serve rule that is a basic assumption in most of the literatures on bank runs. Although banks usually believe firms should do so, the self-serving firm in loan runs will change its repayment order and use this option in private consultation with lenders in order to reach a collusion to terminate the loan run. What is differentiated from the previous literatures on bank runs is that there exists a third equilibrium of collusion which is between the win-win equilibrium and the loan-run equilibrium in fiduciary loan runs. The key to realize the collusion equilibrium is whether or not the firm can provide enough banks with additional and sufficient credit guarantee. Our research provides a new insight into bank runs and expands the Diamond-Dybvig bank run paradigm to the tripartite game situation with sequential service constraint not being satisfied. If firms in loan runs completely follow the above rule or the collusion equilibrium can not be achieved, our results will be the same as what Diamond-Dybvig model has predicted.

作者张胜李鹏翔

机构地区西安交通大学公共政策与管理学院西安交通大学管理学院

出处《管理科学学报》 CSSCI 北大核心 2012年第10期85-96,共12页 Journal of Management Sciences in China

基金国家自然科学基金资助项目(70673077 71071127)

关键词信用贷款挤兑先到先服务规则串谋均衡 fiduciary loan runs the first-come, first-serve rule collusion equilibrium

分类号 F832 [经济管理—金融学]

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