信贷市场主从微分对策模型与银行间合作机制研究

中国管理科学 ›› 2014, Vol. 22 ›› Issue (10): 19-28.

信贷市场主从微分对策模型与银行间合作机制研究

刘红生^1,2, 李帮义¹

1. 南京航天航空大学经济与管理学院, 江苏南京 210016;
2. 宁波鄞州农村合作银行, 浙江宁波 315100

收稿日期:2012-09-17 修回日期:2013-05-20 出版日期:2014-10-20 发布日期:2014-10-20
作者简介:刘红生（1970-），男（汉族），河南襄城县人，南京航空航天大学经济与管理学院博士生，高级经济师，研究方向：金融风险决策、委托与代理理论.
基金资助:
国家社会科学基金资助项目（10BGL010）；教育部人文社会科学基金资助项目（09YJA630064）；教育部高校博士点基金资助项目（20113218110024）

An Investigation of Stackelberg Differential Game Model Application in Credit Market and Interest Coordination Mechanism within Banks’ Cooperation

LIU Hong-sheng^1,2, LI Bang-yi¹

1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, China;
2. Ningbo Yinzhou Rual Cooperative Bank, Ningbo 315100, China

Received:2012-09-17 Revised:2013-05-20 Online:2014-10-20 Published:2014-10-20

摘要/Abstract

摘要： 本文引入微分对策博弈模型，研究银行与企业之间的信贷博弈问题，破解企业融资困境。通过建立银行和企业的各自收益目标函数，讨论了银行区域内不合作和合作状况下，银行最优的动态信贷资金供应量和利率策略，企业动态信贷资金使用策略；研究了区域内银行间的合作联盟问题，提出合作联盟的利益共享。在银行区域内不合作情况下，银行信贷资金供应量增加，信贷资金利率上升趋势得到抑制，企业违规概率增加。利率和信贷资金供应量呈负相关关系。在银行区域合作情况下，银行间合作可防止企业囤积资金和贷款用途违规概率的上升，减少违规惩罚成本，促进企业积极履约。引入利益共享机制，解决了银行合作稳定问题，明确了优势企业和劣势企业的融资策略。

关键词: 主从微分对策, 合作博弈, 信贷融资, 利率策略, 利益共享

Abstract: On the circumstance of that banks generally adopt "credit crunch" strategy, in this paper financing game between banks and enterprises is investigated to solve financing problem by conducting Stackelberg differential game model. Through establishing bank and enterprises' on-target function respectively, banks' optimal dynamic loan supply and interest rate strategies, enterprises' dynamic loan use strategy are discussed in the case of that with and without local banks cooperation, and the problem of alliance in local banks is studied with purpose of achieving benefit-sharing. The result has demonstrated that in the case of that without local banks cooperation, banks' loan supply increase, upward trend in credit interest rate is suppressed, probability of enterprises default increases, and optimal interest rate strategy is that credit interest rate and credit funds supply are negatively correlated. In the case of that with local banks cooperation, upward trend in enterprises default probability is suppressed, penalty costs of enterprises default decrease, the enterprises will more willing to exercising the obligation. Simultaneously, benefit-sharing mechanism establish optimal financing strategies for both superior and inferior players to solve the problem related to banks cooperation stability, and also provide a efficient path to solve financing dilemma, ensuring credit market healthy and prosperous.

Key words: Stackelberg differential game, cooperation game, credit financing, interest rate strategy, benefit-sharing

中图分类号:

刘红生, 李帮义. 信贷市场主从微分对策模型与银行间合作机制研究[J]. 中国管理科学, 2014, 22(10): 19-28.

LIU Hong-sheng, LI Bang-yi. An Investigation of Stackelberg Differential Game Model Application in Credit Market and Interest Coordination Mechanism within Banks’ Cooperation[J]. Chinese Journal of Management Science, 2014, 22(10): 19-28.

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