【作者】 胡红星；

【导师】 王光伟；

【作者基本信息】 苏州大学 ， 金融学， 2005， 博士

【摘要】 中小企业融资是中小企业发展过程中一个极其重要的环节,中小企业的特点决定了中小企业外源融资的主要途径是银行信贷,中小企业融资所面临关键的制约因素是融资困难,主要体现在信贷市场中小企业信贷缺口上,因此研究中小企业信贷配给机制,搞清中小企业信贷配给的根本原因,具有重大理论和现实意义。 以一般均衡理论作为基础的信贷配给理论由于其对称信息前提假设与现实存在着很大的差异,自然缺乏现实解释力,以独特的分析思路和对现实经济现象准确理解和描述的信息不对称下信贷配给理论,无疑更能揭示问题的本质特征,然而在信息不对称下对中小企业信贷配给专门且系统研究的则极少,基于以上原因,本文在信息不对称这一更接近现实假设前提下,运用数理分析和博弈分析等方法,将企业规模、利润、利率、风险、抵押等主要变量纳入到分析框架,建立了利率为甄别机制信贷配给模型、抵押为甄别机制信贷配给模型和信息获取模型等,对中小企业的信贷配给机制进行了深入而系统的理论分析。 本文在斯蒂格利茨和韦斯的S—W模型分析基础上,首先引入企业规模变量和风险变量,建立了信息不对称下的信贷配给模型,分析了在垄断市场结构和竞争市场结构下,利率作为甄别机制时中小企业信贷配给,并动态地研究了在垄断市场结构下放开利率和放开信贷市场准入限制对于中小企业信贷配给的影响。模型表明,由于规模较小的企业风险较大,在银行收益一定的情况下,当利率水平提高时,利率提高的正向选择效应将导致规模较小的企业更有可能退出信贷市场;对于银行所要求的一定利率,银行贷款存在着规模效应,一定规模以下的企业将得不到贷款,随着银行贷款成本的提高,临界规模会向上发生变动;在信贷配给均衡时,受到信贷配给的对象是规模较小的企业,并且在经济结构中,如果规模较小的企业占整个企业的比重较大,整个经济中信贷配给差额也相对较大,反之会缩小,利率自由化能否改善信贷配给将取决于限制利率与垄断均衡利率之间的差额以及信息不对称程度和风险程度。其次,进一步引入抵押变量,建立了道德风险模型和逆向选择模型,分析了道德风险和逆向选择问题对垄断市场结构和竞争市场结构下中小企业信贷配给的影响,以及抵押对于中小企业信贷配给的作用范围和条件。抵押品作为甄别机制的信贷配给模型表明,信贷配给均衡时,受到更多还原

【Abstract】 Financing is a crucial link in the development of small and medium-sized enterprises. The characteristics of small and medium-sized enterprises have determined that the main way of their external financing is the bank credit. The financing difficulty they face mainly in the loan market is the key factor that puts a curb on the development of small and medium-sized enterprises. Therefore, it is of great importance in theory and practice to study the mechanism of small and medium-sized enterprises’ credit rationing and to find the basic reason of small and medium-sized enterprises’ credit rationing.The credit rationing theory, based on the general equilibrium theory, can’t explain very well the economic phenomenon of Non-Walrasian Equilibrium because its assumption of symmetrical information does not match the reality. The credit rationing theory under asymmetric information, with the unique analyzing, understanding and describing to the realistic economic phenomenon accurately, can explain the essential characteristic of the phenomenon undoubtedly. But there are few papers to study the credit rationing of small and medium-sized enterprises systematically under asymmetric information. Therefore, I develop a model of the interest rate as a screening mechanism, a model of collateral as a screening mechanism and a model of obtaining information, with the assumption of asymmetric information closer to the reality, by using the methods of mathematical analysis and playing game, putting such main variables as scale of the enterprise, profit, the interest rate, risk and collateral into the frame of analyzing, and study the mechanisms of smalland medium-sized enterprises’ credit rationing in theory deeply and systematically.Firstly, I develop a credit rationing model under asymmetric information, by introducing the variable of scale of the enterprise and risk variable, based on the analysis of S-W model (Stiglitz & Weiss, 1981) .1 analyze credit rationing of the interest rate as a screening mechanism under competitive market structure and monopolistic market structure, and study the dynamical effect on credit rationing of small and medium-sized enterprises when the interest rate and the market structure change. The model indicates, that the effect of favorable selection will cause smaller enterprise more likely to withdraw the loan market when bank income is certain and the interest rate rises, because smaller enterprises are relatively risky. At a certain interest rate required by banks, there is the scale effect on bank loan, and the smaller enterprises under a certain scale can’t get a loan. With a increase of bank loan’s cost, the critical scale will move upwards. When credit rationing is in equilibrium, the credit of smaller enterprises is rationed. If the proportion of smaller enterprises in whole enterprises is relatively large, the extent of credit rationing is large too. Whether the liberalization of the interest rate can shrink the extent of credit rationing will depend on the difference between the limited interest rate and the equilibrium interest rate under monopolistic market structure, and on the degree of asymmetric information and the degree of risk.Secondly, I develop a model of moral hazard and a model of adverse selection by introducing the variable of collaterals further. I analyze the influence of moral hazard and adverse selection on credit rationing of small and medium-sized enterprises under competitive market structure and monopolistic market structure, and the range of and the condition of the impact of collateral on credit rationing of small and medium-sized enterprises. The model of collateral as a screening mechanism shows that when credit rationing is in equilibrium, the credit of smaller enterprises is still rationed. Collateral requirement increases with decrease of the competition degree, and the extent of credit rationing increases withincrease of collateral requirement. The extent under monopolistic market structure is bigger than the extent under competitive market structure. Under certain risk condition, the collateral required by banks may become the mechanism of screening enterprise’s risk types, and Spence-Mirrlees separating equilibrium will exist. If enterprise risk excesses a certain risk, Spence-Mirrlees separating equilibrium will not exist.Thirdly, I develop a model of Walrasian Equilibrium under symmetric information and a model of obtaining information separately. I study Walrasian Equilibrium under two market structures if information is symmetric, and the condition of symmetric information. The model of obtaining information focuses on how to obtain information and on the function of obtaining information based on customer relationships on credit rationing of small and medium-sized enterprises. The model of obtaining information shows that Walrasian Equilibrium under competitive market structure and monopolistic market structure will exist if the information is symmetrical between banks and enterprises. It is possible to be symmetrical information by bank’s obtaining information. Whether banks will make effort to obtain information depends on the expenses of obtaining information. When the expenses exceed a certain critical expense, bank will give up efforts. The critical expense is negatively correlated with risk. Compared with under monopolistic market structure, the banks under competitive market structure will be more likely to make efforts to obtain information.Finally, the relevant conclusions drawn from the analyzing of the models are applied to the construction of Chinese loan market in transition period. Several policy suggestions have been put forward.更多还原