信息不对称与信用担保贝叶斯均衡分析

Bayesian Equilibrium Analysis with Information Asymmetry and Credit Guarantee

本文定量构建信用担保定价及其贝叶斯博弈模型,给出担保换费用(FGS)、担保换股权(EGS)和担保换期权(OGS)的比较分析。本文发现:信息不对称对FGS、EGS、OGS的负面影响程度依次增强;高盈利企业可能将部分利润转移给担保公司,以此阻止低盈利企业模仿;随着投资成本提高,高盈利企业净投资价值可能反而提升;信息不对称不一定导致社会整体福利损失。

Micro-,Small and Medium-sized Enterprises(MSMEs)are the backbone of science and technology invention and social productivity improvement,which are crucial to development strategies of a country.The 2019 central economic work congress of China delivered five signals,one of which is to increase the support for high-tech enterprises.Financing for MSMEs is difficult and expensive over the world.The fundamental reason lies in asymmetric information between borrowers and lenders on investment profitability.Although there are many theories of credit guarantee and corporate finance in the literature,there is no academic research to quantify how information asymmetry impacts on the existing credit guarantee methods,say the fee-forguarantee swaps(FGSs),equity-for-guarantee swaps(EGSs)and option-for-guarantee swaps(OGSs).A single-period model for an MSME is developed to start a project.The enterprise must borrow to start the project from a bank after entering into an FGS,EGS or OGS agreement with an insurer.A credit guarantee pricing method is proposed.Bayesian game theory is used to characterize FGSs,EGSs and OGSs.The novelties of the paper are summarized as follows.The degree of the negative influence of information asymmetry on three different guarantee swaps is different.The effect is highest for OGSs,the second highest for EGSs and the lowest for FGSs agreement.High-profit enterprises may transfer their part of profits to insurers instead of low-profit ones to prevent the imitation of low-profit enterprises.Surprisingly,it is possible that the net present value of a high-profit enterprise would increase with the investment cost.Information asymmetry does not surely lead to the loss of social welfare.