基于信息不对称的信贷配给均衡模型研究

本文建立了竞争和信息不对称条件下,信贷市场的信贷配给均衡模型,模型表明在为不同的借款人提供由贷款利率和贷款额度组成的相同贷款合同的情况下,信贷市场存在稳定的单合同均衡,信贷市场的均衡在信贷配给点达到,因而从信息不对称和均衡的角度解释了信贷配给现象。     

股票价格对信贷冲击的动态影响

本文使用基于马尔科夫区制转移方法的协整模型(MS-ECM和MS-VECM),以长期信贷需求方程为基础,研究了我国信贷市场的稳定状态与非稳定状态。实证结果显示:在信贷市场的非稳定状态中,我国股票价格变化对信贷冲击形成了较为明显的动态影响。这种动态影响的出现除了与西方学者所关注的信贷配给效应有关以外,还与信贷资金流入股市有着密切联系。另外,实体经济与信贷的动态互动可以显著增加信贷冲中击的持续性。基于以上结论,本文提出我国应该整合各种监管资源和政策工具,对股票价格变动引起持续性信贷冲击的现象进行动态预防和监控。     

Credit rationing in small firm-bank relationships

I study credit rationing in small firm-bank relationships by using a unique data set of matched loan applications and contracts. I establish the degree of credit rationing by relating a firm's requested loan amount to the bank's granted amount. In line with theoretical predictions, credit rationing is higher for opaque than transparent firms at the beginning of their bank relationships and decreases over time for both. After testing for several alternative explanations, the results suggest that information and incentive problems explain the observed credit rationing and its dynamics.     

货币政策在银行危机管理中的效果

本文从货币政策的信贷传导渠道出发,探讨了金融危机条件下商业银行资本管理、准备金需求的变化、信贷配给对货币政策有效性的影响机制。分析表明,货币政策的有效性不仅取决于中央银行的政策意图,还受制于商业银行资本量、风险偏好以及信贷配给程度的变化。因此,强化危机时期的货币政策效果必须配合影响银行信贷行为的措施。     

信贷配给对货币政策有效性的影响

商业银行在货币政策传导机制中处于枢纽地位,其信贷配给行为的发生,一方面形成了巨额的超额准备金,另一方面造成了信贷市场的分割,其结果降低了货币政策的有效性.这在我国表现为:一方面,商业银行的信贷配给所形成的"惜贷现象"阻断了货币政策向融资企业的传导;另一方面,民营企业难以成为提高货币政策有效性的主体.从而造成了我国货币政策效果较差的后果.解决此问题的根本方法在于降低商业银行贷款风险,缓解信贷配给.具体措施:一是建立商业银行进行信息搜寻的激励机制,二是建立融资企业的融资担保体系,使商业银行的贷款风险得以转嫁.     

Who Transfers Credit Risk? Determinants of the Use of Credit Derivatives by Large US Banks

Abstract

Credit derivatives enable banks to transfer selected credit risks to third parties. An empirical model is developed for the motivation for bank participation in credit derivative markets and, conditional on participation, the factors that determine the volume of business transacted. Participation appears to be closely related to bank size, but there is only limited evidence that entry barriers related to franchise value or past experience in dealing in derivatives are important. There is evidence that banks use credit derivatives as part of their overall risk management strategy. However, the use of credit derivatives does not appear to be influenced by the extent of managerial share ownership.     

Bank risk in uncertain times: Do credit rationing and revenue diversification matter?

We show that bank risk rises, particularly for larger banks and those with greater interest-sensitive liabilities, during times of economic policy uncertainty through two economic channels: “credit rationing” and “revenue diversification.” The credit rationing channel shows that economic policy uncertainty increases aggregate loan spreads, exacerbating both adverse selection and moral hazard problems leading to higher bank risk. The revenue diversification channel suggests that as economic policy uncertainty reduces bank profits from traditional interest-based products, banks diversify into other non-traditional activities, thereby increasing their instability. Overall, our findings highlight the impact of economic policy uncertainty on exacerbating bank risk.     

Bank Loan Availability and Trade Credit Demand

This paper investigates the effects of bank loan availability on the trade credit and credit card demand of small firms, using firm‐level data from the 1995 Credit, Banks, and Small Business Survey, conducted by the National Federation of Independent Business. We find that firms increase their demand for trade credit and credit card debt when facing credit constraints imposed by banks. These results provide evidence of a pecking order of debt financing, where firms increase their reliance on potentially expensive sources of funds when bank loans are not available.     

Credit rationing and non-price loan terms: A re-examination

This paper develops the implications of heterogeneous bank loans for borrower and lender behaviour in a competitive bank loan market by considering the own funds-loan ratio as the ‘non-price’ loan term. It is shown that in equilibrium each bank will ration its loan to borrowers by providing them with the smaller loan and requiring the higher own funds-loan ration than they would desire at the equilibrium loan rate. Moreover, restrictive monetary policy that raises the opportunity cost of granting loans decreases the loan size and increases the own funds-loan ratio, but its effect on the loan rate and credit rationing remains ambiguous. Thus credit rationing may decrease as a result of restrictive monetary policy.     

The Impact of Bank Credit on Employment Formality: Evidence from Uruguay

This article examines the effect of bank credit on employment formalization in Uruguay. Using a difference-in-differences methodology the article finds that financial deepening decreases informality, especially in more financially dependent sectors. In addition, the effect is found to be greater among women and older workers. In the period under analysis the economy underwent a severe economic crisis and bank credit contracted sharply, but we find no evidence that the effect of bank credit on employment formality changed over time.     

信贷配给理论与货币政策中介目标的选择

信贷配给理论研究不对称信息条件下自由竞争信贷市场运行机制,为货币政策变动影响实际经济的可能途径提供了比传统理论更为丰富的论证。信贷配给的客观存在限制了利率作为中介目标发挥的传导作用。中国经历着从非均衡信贷配给到均衡信贷配给的过程,信贷对货币政策的有效性会产生重要影响。因此,中国应采取组合的方式选择货币政策中介目标,以更有效地传导货币政策意图,更好地实现货币政策最终目标。     

中国农村金融市场中非价格信贷配给的理论和实证分析

本文建立农村金融市场中非价格信贷配给的理论分析框架,基于特殊设计的直接诱导式询问方法,对农户面临的非价格信贷配给机制进行调查和识别,并实证分析影响非价格信贷配给机制的因素。研究发现,农村利率市场化改革以来,农村金融机构并没有将灵活的利率差异化管理作为弥补潜在贷款损失的手段。当前农村金融市场中多种类型的非价格信贷配给机制并存,农村金融机构的信贷合约特征和放贷行为偏好使得一部分农户被配给出信贷市场,一部分农户主动退出信贷市场。农村金融机构倾向于与农村地区少数生产规模较大、具有稳定收入和身份特征的农户建立稳定的、以重复放贷为基础的信贷供给机制,不具备这些特征的农户将面临配给,这与利率管制时期的放贷行为并无本质差异。未来须调整仅仅以增加农村金融供给解决融资难题的改革思路,深入到市场结构、信贷合约和产品创新以及包括公司治理、风险甄别和内部管理机制在内的农村金融机构治理机制等微观层面的改革。     

中国区域信贷配给现状及区域差异分析

在全球经济金融危机影响下,信贷成为推动我国经济发展的原动力,但目前我国区域信贷配给差异化现象相当严重,出现经济发达区域信贷配给弱化,经济落后区域信贷配给强化的空间差异状况,这在一定程度上影响和阻碍了区域经济发展。文章认为区域经济发展差异、宏观调控货币政策传导机制的区域差异、信贷政策的一刀切、存款准备金率的区域一致性和利率实质上的区域差异性、信贷管理体制的变革和信用环境差异等是造成信贷配给区域差异化的原因,正确认识上述原因,是有效消除信贷配给区域性和促进区域经济协调发展的根本前提和重要保证。     

Bank Lending Standards and Access to Lines of Credit

This paper examines how changes in bank lending standards are related to the availability of bank lines of credit for private and comparable public firms. Overall, we find that access to lines of credit is more contingent on bank lending standards for private than for public firms. The impact of bank lending standards is however asymmetric: while private firms are less likely than public firms to gain access to new lines when credit market conditions are tight, we find no difference between public and private firms in terms of their use or retention of pre‐existing lines. We also find that private firms without lines of credit use more trade credit when bank lending standards are tight, which is suggestive of a supply effect. Overall, the evidence suggests that “credit crunches” are likely to have a disproportionate impact on private firms. However, pre‐existing banking relationships appear to mitigate the impact of these contractions on private firms.     

The Determinants of Corporate Trade Credit Policies in a Bank‐dominated Financial Environment: the Case of Finnish Small Firms

This paper examines trade credit policies of small firms operating in a bank‐dominated environment (Finland). We find that creditworthiness and access to capital markets are important determinants of trade credit extended by sellers. The level of purchases is positively correlated with the level of accounts payable. Larger and older firms and firms with strong internal financing are less likely to use trade credit, whereas firms with a high ratio of current assets to total assets, and firms subject to loan restructurings use it more. Negative loan decisions by financial intermediaries increase and a close bank‐borrower relationship decreases the probability that a firm does not take advantage of trade credit discounts.     

中国个人消费信贷状况及风险防范研究

随着个人信用消费的不断扩大,消费信贷的比重不断提高,在整个市场个人信用制度不完善的情况下,个人信贷风险凸现,银行个人信贷中的不良资产率上升。本文从中国消费信贷的总量状况出发,对于银行消费信贷内部结构展开探讨,继而分析消费信贷的客户风险、制度风险及法律政策风险,并以此为基础提出了建立个人信用管理制度、充分利用客户信用分析法、逐步试点个人破产制度、建立银行内控体系及风险转嫁渠道以及完善个人消费信贷的相关法律保障等防范措施。     

Price- vs. Quantity-Based Monetary Policies and Credit Substitution Asymmetry

The literature on the informal credit channels of the transmission of monetary policy overlooks the distinction between price- and quantity-based policies. This article contributes to filling this gap by investigating the asymmetric effects of the two types of policies on trade-credit substitution for bank credit using data from the largest emerging economy, China. China presents an ideal experimental context, as the country has implemented both types of monetary policies in the past decades. We find strong evidence that quantity-based monetary policy has stronger effects on credit substitution in China. This evidence is robust under both static and dynamic specifications, which remains intact after the disentanglement of the interdependency of the two types of policies. By subgrouping, we find that large and state-controlled firms play the central role in creating the substitution asymmetry. Furthermore, international evidence indicates that India also witnesses substitution asymmetry skewed to quantity-based policies. The findings suggest the need for further reform of China’s financial system toward a market-based system to enhance the effectiveness of the proposed monetary policies.     

Credit Availability and the Collapse of the Banking Sector in the 1930s

This paper examines the mechanism through which banking sector distress affects the availability of credit using the experience of the United States during the Great Depression. We utilize previously neglected data from a 1934 survey conducted by the Federal Reserve System of both banks and Chambers of Commerce regarding the availability of credit, and examine which aspects of the banking system collapse affected credit availability as indicated by the survey. We find that bank failures had the most dominant impact, but there is also some evidence for the importance of funding constraints from deposit outflows and of protracted bank liquidation.     

Credit rationing and the relationship between family businesses and banks in Italy

We investigate whether family businesses (FBs) suffer stiffer credit rationing in the post-crisis Italian economy. FBs are, in fact, typically more opaque than other firms, possibly deterring bank lending to them. Moreover, regulatory changes may lead many banks to abandon relationship lending, weakening their ability to evaluate opaque firms. Using detailed firm data, our estimates reach nuanced conclusions. First, credit rationing is not more intense at FBs. However, it systematically intensifies if FBs engage in firm-bank arrangements less able to overcome information asymmetries either coupling with a main bank that uses transactional lending or diluting relationships across various banking partners.     

Determinants of Credit Constraints: Evidence from Sindh,Pakistan

This article investigates the determinants of credit constraints: evidence from Sindh, Pakistan. Cross-sectional farm-level data is collected during November and December 2016. A sample of 180 farm households is selected for interviews by using a multistage, random sampling technique. This study employed a probit regression model, frequency counts, and percentages to analyze the data. Access to formal agricultural credit is relatively low in Sindh province of Pakistan, the findings of the study show that the major constraints comprise distance to the formal credit sources, lending procedure, time lag, and interest rate whereas land ownership has a negative association and reduces the constraints to access formal credit. The findings of this study also show that for efficient allocation of resources, institutional sources of credit preferred to disburse agricultural credits toward educated and young age farmers as they are more inclined to adopt new farm technology for better farm production.