企业集团道德风险与信用风险的作用机理研究

Study of mechanism of action between credit risk and moral hazard for business group

将银行贷款利率作为控制变量,在风险中性假设下构建理论模型分析了企业集团发生道德风险的概率与企业集团违约概率之间的联系.该模型刻画出企业集团道德风险与信用风险之间的内在作用机理并凸显了银行贷款利率在控制企业集团道德风险和信用风险中的作用.研究表明:银行贷款利率与企业集团发生道德风险的概率同向变化;企业集团的违约概率与企业集团发生道德风险的概率之间具有非线性关系;存在外生的控制变量-贷款利率,使企业集团的违约概率达到极值;存在违约概率约束区间,在该区间内企业集团发生道德风险的概率与违约概率同向变化,且区间越大,企业集团发生道德风险的概率越小.

An exogenous lending rates model is proposed to analyze the relationship between the probability of occurrence of moral hazard and the default probability for business group. This model depicts the internal mechanism between moral hazard and credit risk of business group. There are four main findings in this study： First, lending rates and the probability of occurrence of moral hazard for business group are changed in the same direction; Second, the relationship between probability of occurrence of moral hazard and default probability for business group are nonlinear; Third, there is a lending rate as an exogenous control variable that can make the default probability of business group reach extreme value; Fourth, the probability of occurrence of moral hazard and default probability for business group are changed in the same direction when the lending rate is bound in a given range. And the greater the range is, the smaller the probability of occurrence of moral hazard is.