定向降准的传导机制与传导效果研究

本文建立异质性的商业银行效用函数模型与网络结构模型，分析定向降准资金在不同类型商业银行和不同行业贷款中的传导机制，并使用因子增广向量自回归模型检验了十四轮定向降准货币政策的传导效果。结果显示：定向降准货币政策的资金传导存在着堵点。虽然释放的流动性可以增加商业银行的贷款规模和整体收益，但是在追求最大化与流动性约束的前提下，较多资金进入了收益更高的房地产业与金融业，农村金融机构并未成为农业贷款的主力军。政策建议是：严格审核商业银行申请定向降准资金的用途，防范逆向选择；严格审核定向降准资金的流向，防范道德风险；给予更多的政策支持，引导资金顺利进入农村金融机构和农业贷款领域，更好地发挥定向降准支持农业发展与促进内循环发展的作用。     

企业劳动契约的激励模型分析——一种发生在道德风险之前的逆向选择问题

本文分析了企业劳动契约的制定过程以及企业和员工之间的委托代理关系,企业在制定劳动契约时会面临发生在道德风险之前的逆向选择问题。在将其与企业的人力资源管理实践相结合构造出相关模型,以及对这一委托代理模型的激励约束进行分析之后,得出这样的结论:企业作为委托人在制定劳动契约时应该综合考虑代理人(员工)的外在机会效用水平,内生成本函数,效用偏好函数和努力水平等激励影响因素。     

Securitization and optimal retention under moral hazard

Securitization improves liquidity in capital markets by allowing originators to remove issued loans from its balance sheet and use the proceeds for other purposes. Securitization is often suspected of being one of the main reasons for the recent financial crisis. One concern is that securitization leads to moral hazard in lender screening and monitoring. By selling loans to investors and removing them from their books, banks have a lesser incentive to carefully evaluate and monitor borrowers’ credit quality to ensure that they can repay their loans. One problem in the literature is that the analysis of securitization is very general and suffers from a lack of specific security design analysis under asymmetric information. We address the moral hazard problem using a principal–agent model where the investor is the principal and the lender is the agent. We show that the optimal contract must contain a retention clause in the presence of moral hazard. The optimal retention is affected by tranching and credit enhancement.     

基于产品生命周期的顾客忠诚意图动态演化模型研究

本文将委托-代理理论和关系营销理论相结合发展了一个顾客-品牌关系形成过程的概念化模型以探讨品牌忠诚的生成机理。根据逆向选择和道德风险的委托代理问题,品牌信号和品牌溢价可以作为解决上述问题的策略。然而,上述策略本身并没有减轻消费者对品牌所提供利益的不确定性和对企业采取机会主义的担心。因此,文章认为顾客对品牌的信任机制才是减少不确定性和机会主义的核心构件。     

Optimal securities under adverse selection and moral hazard

We consider project financing under adverse selection and moral hazard and derive several interesting results. First, we provide an explanation of why good firms issue both debt and underpriced equity (even if the bankruptcy and agency costs of debt are zero). Second, we show that, in the presence of moral hazard, adverse selection may induce the conversion of negative into positive NPV projects leading to an improvement in social welfare. Third, we provide a rationale for the use of warrants. We also show that a debt–warrant combination can implement the optimal contract. Our results have a number of testable implications.     

信息不对称与中小企业融资困难分析

中小企业在我国经济建设中发挥着重要的作用,但由于中小企业与银行之间存在信息不对称而引发的逆向选择和道德风险,从而导致了其融资困难。本文认为,作为资金需求方的中小企业,应提高其融资管理水平,降低“道德风险”所产生的融资成本。而作为资金供给方的政府和金融机构,应研究制定中小企业融资制度,降低融资市场的“逆向选择”。     

供应链合作伙伴的逆向选择问题

供应链合作关系中存在不少风险。合作企业之间的信息不对称,未来事项不确定性和复杂性和因此造成的合同不完全性,使道德风险和逆向选择问题在合作中难以避免。文中从解决逆向选择问题角度,研究供应链合作伙伴选择问题。     

Incentive effects in the demand for health care: a bivariate panel count data estimation

This paper contributes in three dimensions to the literature on health care demand. First, it features the first application of a bivariate random effects estimator in a count data setting, to permit the efficient estimation of this type of model with panel data. Second, it provides an innovative test of adverse selection and confirms that high‐risk individuals are more likely to acquire supplemental add‐on insurance. Third, the estimations yield that in accordance with the theory of moral hazard, we observe a much lower frequency of doctor visits among the self‐employed, and among mothers of small children. Copyright © 2002 John Wiley & Sons, Ltd.     

Quality incentive contract design in government procurement of public services under dual asymmetric information

In the process of government procurement of public services (GPPS), adverse selection and moral hazard caused by dual asymmetric information can damage public interests and negatively affect the quality of public services. To improve the quality of GPPS, in this study, quality incentive contract models under the condition of dual asymmetric information are designed. These models are based on the optimal incentive contract model in principal–agent theory. The results show that under dual asymmetric information conditions, incentive contracts designed for a continuous type of service capability can identify and stimulate the service abilities of social organizations.     

联合风险投资的道德风险与逆向选择

本文首先分析了联合风险投资的优点,然后运用信息经济学的理论与方法,从信息不对称角度分析了联合风险投资融资与投资过程中的逆向选择与道德风险问题,最后提出了解决此类问题的理论上的对策建议。     

“When Should Manufacturers Want Fair Trade?”: New Insights from Asymmetric Information when Supply Chains Compete

We study a model of competing manufacturer/retailer pairs where adverse selection and moral hazard are coupled with promotional externalities at the downstream level. In contrast to earlier models mainly focusing on a bilateral monopoly setting, we show that with competing brands a ‘laissez‐faire’ approach towards vertical price control might not always promote productive efficiency. Giving manufacturers freedom to control retail prices is more likely to harm consumers when retailers impose positive promotional externalities on each other, and the converse is true otherwise. Our simple model also suggests that, with competing supply chains, consumers and manufacturers might prefer different contractual modes if promotional externalities have substantial effects on demands.     

金融资产定价异常与资产定价模型:理论与实证

通过委托-代理理论对传统资产定价模型进行的拓展,得出了信息不对称下的扩展资产定价和代理成本资产定价模型.据此,进一步通过因子分析设计出了反映逆向选择、道德风险和代理成本的相应变量,并运用上市公司的相应数据对传统的资产定价模型(CAPM)、羊群效应CAPM、FF三因素模型、扩展的CAPM和代理成本CAPM进行了对比分析.对比结果显示:在保证系数和模型准确性的前提下,运用二阶段最小二乘法(TSLS)对扩展的CAPM和代理成本CAPM的估计结果相较于上述三类模型显示了更强的解释力度.     

Default risk and private student loans: Implications for higher education policies

In recent years, the proportion of students facing a binding constraint on government student loans has grown. This has led to substantially increased use of private loans as a supplementary source of finance for households׳ higher education investment. A critical aspect of the private market for student loans is that loan terms must reflect students׳ risk of default. College investment will therefore differ from a world in which government student loans, whose terms are not sensitive to credit risk, are expanded to no longer bind. Moreover, beyond simply crowding out private lending, expansions of the government student loan program will feed back into default risk on private loans. The goal of this paper is to provide a quantitative assessment of the likely effects of the private market for student loans on college enrollment. We build a model of college investment that reflects uninsured idiosyncratic risk and a well-defined life-cycle that is consistent with observed borrowing and default behavior across family income and college preparedness. We find that higher government borrowing limits increase college investment but lead to more default in the private market for student loans, while tuition subsides increase college investment and reduce default rates in the private market. Consequently, higher limits on government student loans have small negative welfare effects, while tuition subsidies increase aggregate welfare.     

Information Acquisition and the Equilibrium Incentive Problem

I study the optimal incentive provision in a principal–agent relationship with costly information acquisition by the agent. I emphasize that adverse selection or moral hazard is the principal's endogenous choice by inducing or deterring information acquisition. The principal designs the contract not only to address an existing incentive problem but also to implement its presence. Implementation of adverse selection relies on a steeper information rent to the agent than the standard menu, such that the agent is motivated to distinguish the efficient state of nature from the inefficient. Moral hazard is implemented by replacing the benchmark debt contract with a debt‐with‐equity‐share contract, such that the agent does not attempt to acquire information to either avoid debt or to extract rent.     

信息不对称下保险信用缺失分析及防范

当前，保险信用缺失已成为制约保险市场进一步发展的瓶颈。文中从投保人、保险人的逆向选择及道德风险三个方面阐述了保险信用缺失的原因，同时提出了健全我国保险信用体系的对策。     

委托-代理关系下的最优契约——契约补偿、私人利得与股东保护间的均衡

传统公司治理都和股东与管理者间的利益冲突有关。以股权分离学说为基础的代理理论认为管理者倾向于自身效用最大化而不是股东价值最大化。文中拟运用具体的分析框架,从研究道德风险和逆向选择的代理问题入手,来重新审视关于价值转移的争论。     

信息不对称对公司治理影响研究

信息不对称增加了交易成本,造成了不对称双方的＂逆向选择＂和＂道德风险＂问题,大大的降低了资源配置的效率。分析了信息不对称对上市公司治理的影响,结合欧美发达国家成熟的公司治理经验,对相关问题提出了对策。     

百家争鸣难结论:股利之谜

迄今为止,有三类理论试图解释"股利之谜":代理理论(道德风险)、信号理论(逆向选择)和行为金融理论。这些理论详细解释了"为什么公司支付股利","为什么投资者喜欢股利","股利如何影响股价","管理者对分配股利的态度怎样"等问题。在详细总结国内外研究文献的基础上,我们提出了股利研究的未来发展方向。     

Convolution and composition of totally positive random variables in economics

This paper studies a class of multidimensional screening models where different type dimensions can be aggregated into a single-dimensional sufficient statistic. The paper applies results of totally positive functions to show that some critical properties of distributions of asymmetric information parameters, such as increasing hazard rate, monotone likelihood ratio, and single-peakedness are preserved under convolution or composition. Under some general conditions, these invariance results also provide a natural ordering of alternative screening mechanisms. I illustrate how these preservation results provide a unifying framework to interpret several contributions in economic models of adverse selection, moral hazard, and voting.     

信息不对称、会计信息披露与博奕

会计信息披露是全球关注的焦点之一,由于委托代理关系和信息不对称,企业中存在着逆向选择和道德风险问题,也由于经济后果的存在,因而有必要对会计信息披露进行管制即制定准则,实际上会计准则的制定就是各利益集团相互博弈的结果。本文就试图从信息经济学的角度对会计信息披露进行剖析。