When is the optimal lending contract in microfinance state non-contingent?

Whether a microfinance institution should use a state-contingent repayment or not is very important since a state-contingent loan can provide insurance for borrowers. However, the classic Grameen bank used state non-contingent repayment, which is puzzling since it forces poor borrowers to make their payments even under hard circumstances. This paper provides an explanation to this puzzle. We consider two modes of lending, group and individual lending, and for each mode we characterize the optimal lending and supervisory contracts when a staff member (a supervisor) can embezzle borrowers’ repayments by misrepresenting realized returns. We identify the main trade-off between the insurance gain and the cost of controlling the supervisor's misbehavior. We also find that group lending dominates individual lending either by providing more insurance or by saving audit costs.     

Heterogeneous Risk Preferences and the Welfare Cost of Business Cycles

I study the welfare cost of business cycles in a complete-markets economy where some people are more risk averse than others. Relatively more risk-averse people buy insurance against aggregate risk, and relatively less risk-averse people sell insurance. These trades reduce the welfare cost of business cycles for everyone. Indeed, the least risk-averse people benefit from business cycles. Moreover, even infinitely risk-averse people suffer only finite and, in my empirical estimates, very small welfare losses. In other words, when there are complete insurance markets, aggregate fluctuations in consumption are essentially irrelevant not just for the average person - the surprising finding of Lucas (1987) - but for everyone in the economy, no matter how risk averse they are. If business cycles matter, it is because they affect productivity or interact with uninsured idiosyncratic risk, not because aggregate risk per se reduces welfare.     

Aggregate fluctuations, financial constraints and risk sharing

Summary. Private information and costly state verification often result in credit rationing in models with smooth investment, affecting both loan size and total investment. The optimal contract is derived in a dynamic stochastic growth model with capital for two types of models: one with symmetric information and the other with asymmetric information and costly state verification. When all information is observed costlessly, the equilibrium optimal contract provides complete insurance to risk-averse savers against aggregate fluctuations. When information is asymmetric and there is costly state verification, the equilibrium optimal contract provides only partial insurance against aggregate shocks. The extent of insurance is measured by the marginal rate of transformation of consumption between borrowers and lenders which is closely linked to the user cost of capital. The deadweight monitoring costs create a wedge between a borrower's cost of capital and a lender's stochastic discount factor, with two results: (i) fluctuations in the user cost of capital provides a mechanism by which aggregate shocks can be␣propagated; (ii) the distribution of capital's share of output among borrowers, lenders, and monitoring costs varies even if capital's share is constant. Capital market frictions not only amplify aggregate fluctuations but also generate cross-sectional fluctuations that may not be observable in aggregate data. Received: November 17, 1997; revised version: April 20, 1998     

金融生态环境、外部审计与债务资本成本

通过构建金融生态环境、外部审计与债务资本成本之间的理论模型,并选取2008--2011年沪市A股共694家上市公司为研究样本进行实证研究。结果表明：良好的金融生态环境有助于增强外部审计的风险揭示功能,使企业获得较低的债务资本成本;被出具非标准审计意见的企业具有更高的债务融资成本;同时审计师的选择在一定程度上为企业的债务融资成本提供了质量保证。     

审计质量与审计师地域性关系影响因素的研究——基于信息不对称程度与政府干预程度的视角

以2002~2008年我国A股上市公司为样本,系统考察了信息不对称程度和政府干预程度对本地审计师审计质量的影响。研究发现,当上市公司信息不对称程度较高时,本地审计师的审计质量更高,审计师地域性与审计质量的关系更符合信息观;而随着政府干预程度的提高,审计师的独立性将受到损害,本地审计师的审计质量将下降,此时冲突观将占据主导地位。     

基于委托代理视角的寿险转保行为分析

寿险转保已成为保险市场上一种普遍的现象,由于信息和专业知识的缺乏,保单持有人进行寿险转保交易必须通过保险代理人,而保险代理人和保单持有人的行为目的不一致,导致诱导转保时有发生。本文通过建立委托代理模型分析后发现目前的代理人佣金支付制度鼓励代理人诱导转保,而引入奖惩机制则能对代理人形成激励,本文运用比较静态分析方法,考察不同制度设计对代理人行为的影响,提出了初步的制度设计构想,从而为监管机构出台相应的政策法规提供思路。     

Audit Misperception, Tax Compliance, and Optimal Uncertainty

The purpose of this paper is to shed light on the role of taxpayers’ misperceptions in determining compliance behavior. This paper also analyzes the effect of increased randomness on evasion, revenue, and welfare. Whether or not individuals choose to evade taxes depends on the perceived audit probability and on the fraction of honest taxpayers in the population. When individuals know the precise probability of audit, the model becomes in effect a game of coordination, a situation that gives rise to multiple equilibria. This paper incorporates audit misperception by introducing a small amount of uncertainty about the true audit probability. With the introduction of this uncertainty, we verify that there is a unique equilibrium cutoff point, such that each taxpayer evades if and only if his perceived signal falls below this cutoff. It is argued that this unique equilibrium outcome fares better than others in explaining empirical and experimental observations. We also find that, when reducing uncertainty has no cost, the optimal uncertainty is generally indeterminate, even when including zero uncertainty. Finally, we show that, when reducing uncertainty is costly, eliminating all uncertainty can never be optimal. In the limit as this cost vanishes, the optimal uncertainty is unique, meaning that introducing a small amount of enforcement cost resolves the indeterminacy problem.     

Efficient risk sharing,non-marketable labor income and fixed-wage contracts

This paper seeks to explain fixed-wage labor contracts. The traditional rationale that fixed wages represent an implicit sale of ‘wage insurance’ by risk-neutral firms to risk-averse workers is rejected as being incompatible with the fact that firms are owned by risk-averse investors. Instead, it is shown that fixed-wage contracts might arise from the non-marketability of labor income. When human capital is not marketable, it becomes optimal to shift all the risk in production onto the firm, since trading in equity markets enables efficient allocation of the uncertainty. The fixed-wage contract shifts the risk to equity owners and in fact replicates the first-best equilibrium that would emerge if individuals were paid their realized marginal product and allowed to trade shares in human capital.     

审计师变更与审计意见购买的关系研究

上市公司通过变更审计师进行审计意见购买的行为一直受到监管部门和学术界的高度关注。本文利用1995-2005年间我国A股上市公司审计意见和审计师变更的宏观数据,将非标准无保留审计意见细分,并通过ARMA模型对上市公司通过变更审计师进行审计意见购买的潜在原因和实现情况进行Granger因果关系检验。研究结论表明：只有收到带解释说明段的保留意见、无法表示意见及否定意见时才会引发上市公司通过变更审计师进行审计意见购买的行为。     

关于保险市场道德风险的微观经济学问题研究

保险市场是一个典型的信息不对称市场,主要表现为道德风险问题,这种对信息占有的不对称状况,很容易被保险市场参与者所利用,并导致保险市场运行的低效率。目前,中国保险市场上保险公司和投保人之间的道德风险问题表现得比较突出,已经成为制约保险业可持续发展的一个重要因素。本文从理论角度研究道德风险问题产生的机制,梳理信息不对称问题在理论上的解决方法,并从中得到保险市场应对道德风险问题的建议。     

Taxation and Life Insurance: A Theoretical Analysis*

Taxation of life insurance is generally considered to pose special and complex problems. These are alleged to stem from the special nature of life insurance. This paper challenges the notion that there is anything inherently special about the economics of life insurance and disputes the claim that it warrants special tax treatment. A model of the life insurance firm is presented and the appropriate basis for taxing life insurance companies and their policyholders is derived. This is compared with the system of taxation currently operating in Australia.     

新保险法实施对保险业的影响

修订后的新保险法以投保人、被保险人、受益人的利益保护作为基本立足点,同时加强了保险监管机构的监管权限。新保险法为保险业的发展和核心竞争力的提高奠定了法律基础。新保险法实施对保险业的运营产生重要影响,会导致运营成本提高,不少人寿保险产品纷纷停售即与此有关,保险业挑战与机遇并存。保险业应采取有效措施进行应对。     

Insurance and the behavior of competitive firms under revenue risks: a note

This paper re-examines the model of Ford, Mpuku, and Pattanaik [“Revenue Risks, Insurance, and the Behavior of Competitive Firms”.Journal of Economics 64 (1996): 233–246] wherein a risk-averse competitive firm faces insurable revenue risk. The optimal output and insurance cover of the firm are shown to be deterministically related in that the marginal costs of self-insurance and market insurance are equated. In response to increasing risk aversion, the firm always takes a higher insurance cover. Increasing fixed costs generate an income effect which induces the firm to take a higher insurance cover should the preference of the firm satisfy decreasing absolute risk aversion. Market insurance and self-insurance can be either substitutes or complements, depending on the shape of the variable insurance-premium schedule.     

To outsource or not to outsource in an integrated world

This paper investigates outsourcing decision under certainty and uncertainty. When the production activity can be fragmented into two or more processes, an integrated firm must be competitive in each of the fragmented processes. There are gains from outsourcing when factor prices differ between countries. When factor prices are not equalized internationally, a firm may outsource the process which uses its scarce source intensively. If the cost of outsourcing is lower in the foreign country, full outsourcing occurs under certainty. However, even if the outside supplier has a cost advantage, uncertainty in outsourcing cost ensures that partial outsourcing is optimal for risk-averse firms.     

审计师变更、时机选择与投资者评价

文章从投资者评价的角度对我国证券市场中审计师变更事件的经济后果进行考察。研究发现,在我国证券审计市场中,审计师变更事件具有显著为正的市场反应;市场总体正的累计超额回报主要是由晚变更样本的公告信息引起,晚变更公司在变更公告日附近的累计超额回报为正,并且显著大于早变更的公司;总体来看,审计师变更会显著降低公司的财务盈利可信度,并且在审计师变更以后,晚变更公司盈利可信度的下降程度显著大于早变更的公司。     

Optimal Regulation of a Fully Insured Deposit Banking System

We analyze risk sensitive incentive compatible deposit insurance in the presence of private information when the market value of deposit insurance can be determined using Merton's (1977, 3-11) formula. We show that, under the assumption that transferring funds from taxpayers to financial institutions has a social cost, the optimal regulation combines different levels of capital requirements combined with decreasing premia on deposit insurance. On the other hand, it is never efficient to require the banks to hold riskless assets. Finally, chartering banks is necessary in order to decrease the cost of asymmetric information.     

Overlooked alternatives in managerial investment decisions: a reply

Some empirical evidence on the question of product differentiation in the market for audits is presented. Using agency cost and signalling frameworks we posit that there will be a demand for varying levels of audit quality. Because audit quality is not directly observable to investors we postulate that quality will be proxied by the auditor's brand name reputation. Big Eight auditors are categorized as being high quality producers. Using data on companies newly listing on the New Zealand Stock Exchange we test the derived models of auditor choice. Auditor choice is a dummy variable (0,1) partitioned on the basis of non Big Eight and Big Eight accounting firms. The results provide support for the idea of product differentiation in the market for audits.     

企业产权、财务重述与审计师变更——来自我国上市公司的经验证据

文章运用我国上市公司的数据,实证检验了上市公司的财务重述行为对审计师变更的影响。研究结果表明,对于国有企业来说,重述公司的审计师发生变更的概率要低于非重述公司,但如果重述公司上期被出具了标准无保留意见,审计师变更的概率会上升;在非国有企业中,未发现重述与审计师变更之间存在显著相关关系。对国有企业来说,财务重述与审计师变更类型之间无显著关系;在非国有企业,有微弱的证据表明,财务重述公司更容易将事务所变更为小所,如果上期被出具了标准无保留意见,这种倾向更明显。研究结果表明,上市公司和审计师之间存在"审计合谋",这一问题在国有企业中更为严重。     

GRANTING AN EXIT OPTION TO CONDUCT AN AUDIT

We study a principal–agent relationship with auditing in which information from an audit is ‘soft’– by conducting an audit, the principal observes the agent's private information, but cannot obtain verifiable evidence on the information. Moreover, the principal's auditing effort is unverifiable in our model. Therefore, besides the agent's misreporting incentive, there is the principal's incentive to accuse the truthful agent even without auditing. If the principal's auditing effort is verifiable, granting no exit option to the agent is optimal although the principal can still accuse a truthful agent after the audit. We show that when the principal's auditing effort is unverifiable, granting an exit option to the agent and auditing are complementary. Without granting an exit option to the agent, no auditing is optimal, and the principal grants an exit option to conduct a sincere audit, which in turn mitigates the agent's misreporting incentive. Our analysis also reveals that, when the cost of auditing is sufficiently large, the principal conducts more sincere audits with a smaller amount of penalty.     

The fog of fraud – Mitigating fraud by strategic ambiguity

Most insurance companies publish few data on the occurrence and detection of insurance fraud. This stands in contrast to the previous literature on costly state verification, which has shown that it is optimal to commit to an auditing strategy. The credible announcement of thoroughly auditing claim reports is a powerful deterrent. Yet, we show that uncertainty about fraud detection can be an effective strategy to deter ambiguity-averse agents from reporting false insurance claims. If, in addition, the auditing costs of the insurers are heterogeneous, it can be optimal not to commit, because committing to a fraud-detection strategy eliminates the ambiguity about auditing. Thus, strategic ambiguity can be an equilibrium outcome in the market. Even competition does not force firms to provide the relevant information. This finding is also relevant in other auditing settings, like tax enforcement.