基于信号博弈的中外资银行信贷竞争行为分析

在银行业全面开放及贷款利率市场化条件下,异,对中外资银行信贷舍约竞争行为的影响。结果表明：本文利用信号博弈模型,讨论了信息差异及经营成本差1）中资银行的竞争优势是老借款人。2）外资银行提供分离合约时,在中资银行的新借款人市场上将出现“柠檬效应”;外资银行提供混同合约时,中资银行将失去所有新借款人。     

Moral Hazard Contracting and Private Credit Markets

This paper studies the impact of credit markets on optimal contracting, when the agent's “interim preference” over upcoming contracts is private information because personal financial decisions affect it via the wealth effect. The main result is a severe loss of incentive provision: equilibrium contracts invariably cause the agent to shirk (i.e., exert minimal effort) if the agent's private financial decision precedes moral hazard contracting. The basic intuition is that committing on another private variable, other than the effort level, exposes the parties to further exploitation of efficient risk‐sharing by relaxing the incentive constraint that was binding ex ante, unless the risk‐sharing was fully efficient to begin with.     

Risk Sharing in Private Information Models With Asset Accumulation: Explaining the Excess Smoothness of Consumption

We study testable implications for the dynamics of consumption and income of models in which first‐best allocations are not achieved because of a moral hazard problem with hidden saving. We show that in this environment, agents typically achieve more insurance than that obtained under self‐insurance with a single asset. Consumption allocations exhibit “excess smoothness,” as found and defined by Campbell and Deaton (1989). We argue that excess smoothness, in this context, is equivalent to a violation of the intertemporal budget constraint considered in a Bewley economy (with a single asset). We also show parameterizations of our model in which we can obtain a closed‐form solution for the efficient insurance contract and where the excess smoothness parameter has a structural interpretation in terms of the severity of the moral hazard problem. We present tests of excess smoothness, applied to U.K. microdata and constructed using techniques proposed by Hansen, Roberds, and Sargent (1991) to test the intertemporal budget constraint. Our theoretical model leads us to interpret them as tests of the market structure faced by economic agents. We also construct a test based on the dynamics of the cross‐sectional variances of consumption and income that is, in a precise sense, complementary to that based on Hansen, Roberds, and Sargent (1991) and that allows us to estimate the same structural parameter. The results we report are consistent with the implications of the model and are internally coherent.     

考虑公平偏好的双重信息不对称下PPP项目激励机制研究

PPP项目中社会资本的能力禀赋和努力水平为其私有信息,如何激励社会资本显示真实的能力禀赋和努力水平一直是PPP项目治理研究的重要议题。在传统的PPP项目激励治理研究中,往往假设社会资本只具有单一私有信息,由此形成单一的逆向选择或道德风险问题。但在PPP激励治理现实中,社会资本经常同时拥有关于能力禀赋和努力水平双重私有信息,从而导致关于类型不对称信息的逆向选择和关于行为不对称信息的道德风险问题共存。本文研究了PPP项目中逆向选择和道德风险共存的激励机制设计问题。构建了针对社会资本同时拥有能力禀赋和努力水平两种私有信息的激励机制设计模型。该模型以项目产出绩效为激励途径,通过设计最优契约使得社会资本谎报信息类型的收益水平不高于其真实汇报类型的收益,从而激励社会资本显示真实能力禀赋的同时付出最优努力水平,保证项目效率。同时考虑了社会资本的公平偏好,探讨了公平偏好对这种双重不对称信息激励机制设计的影响。研究表明：通过设计合理的PPP项目激励机制能够实现对社会资本的信息甄别和激励其付出最优努力的双重目的,政府对社会资本的激励强度同社会资本市场分布有关,且随着社会资本嫉妒偏好强度的提高和被指责偏好强度的减弱而增大。本文的研究可以为解决现实中PPP项目的激励机制设计问题提供理论依据和决策参考。     

专用性人力资本投资激励研究

研究委托人如何激励代理人对专用性人力资本进行投资 .代理人对人力资本投资的激励来自对未来报酬或职业发展的考虑 .但当投资是代理人的隐藏行动 ,而产出是委托人的私有信息时 ,由于出现双边败德行为 ,基于产出的报酬契约不能诱导代理人对专用性人力资本的投资 .职位提升机制能在一定程度上激励代理人的投资 ,但当委托人不提升从效率角度而言该被提升的代理人时 ,仍未能走出双边败德之困境 .当产出低时解聘代理人的解聘机制能消除委托方的机会主义行为 ,当人力资本的专用性较大 ,或投资的边际成本较小时 ,能诱导 Pareto有效的投资     

双边道德风险下中小节能服务企业与银行关系契约模型

基于合同能源管理机制运作的节能服务产业快速发展,产生了可观的节能效益,体现出巨大的市场需求和发展潜力。然而,我国的节能服务企业大多为自负盈亏的中小服务企业而难以获得银行贷款。基于此,本文从中小节能服务企业与银行的长期重复借贷合作关系出发,针对节能服务企业贷款过程中所存在的双边道德风险问题,引入银行贷款额度不足带来的潜在收益分享系数以设计激励机制,建立了中小节能服务企业与银行双边道德风险下长期关系契约规划模型,分析了银企关系契约下贴现因子的影响。本文的研究结果论证了银行与中小节能服务企业建立长期关系契约的可行性,银行应通过关系契约与中小节能服务企业建立长期合作关系,基于服务企业承诺的激励机制将有效提高节能服务企业服务效益,进而增加自身的投资效益,实现银企的双赢。     

企业集团代理人风险态度、道德风险与信用风险传递

由于企业集团的关联企业众多,股权结构复杂,导致银企信息更加不对称,银行对企业集团贷款资金的监管更加困难,企业集团也更有机会产生不按照贷款合约使用贷款资金的道德风险,从而增大了银行的信用风险.针对此问题,首先分析了企业集团代理人转移银行贷款资金的动机,以及企业集团子公司之间信用风险的传递过程;其次,基于代理人效用最大化原理,分析委托代理合约、代理人风险态度,以及代理人转移贷款资金的道德风险对企业集团子公司信用风险的影响;最后,建立了度量企业集团子公司信用风险的违约概率模型.研究表明,代理人的风险态度、委托代理合约的状态都会影响企业集团子公司的违约概率.     

Local Banks Efficiency and Employment

Abstract. This work analyses the links between credit and labour markets highlighting the influence of credit market inefficiencies on employment. We argue that if banks are not efficient in monitoring the borrowers in the presence of asymmetric information, credit market imperfections have real effects. We estimate dynamic equations using system generalized method of moments (GMM) for bank loans and employment on panel data for Italian firms. The system GMM estimates indicate that the impact of credit market on employment is higher where the local financial market is less developed, asymmetric information is widespread, bank managers are less efficient in assessing the firms' solvency and do not use appropriate methods to evaluate the borrowers' payback capacity.     

双重信息不对称下闭环供应链的激励机制研究

针对废旧电子产品市场中由再制造商、回收商和消费者构成的闭环供应链,研究了再制造商处理回收商回收能力隐匿的逆向选择问题和努力水平隐匿的道德风险问题。运用激励理论研究在双重信息不对称下,再制造商如何设计激励机制引导回收商努力回收废旧电子产品的问题。根据委托代理理论,运用信息甄别原理,考虑回收商回收的所有产品中只有部分产品满足于再制造的条件,构建了委托代理框架下闭环供应链的激励机制模型,并对模型进行求解、分析,讨论了各相关因素对努力程度的影响,并通过数值仿真进一步验证了相关因素对甄别契约参数和双方期望利润的影响。研究结果表明：低能力回收商获得的再制造产品数量的提成系数向下扭曲,只有如实汇报能力类型才能获得保留利润;高回收能力的回收商既获得保留利润,又获得额外的信息租金;再制造商签约高能力者获得的利润高于签约低能力者,随着市场中高能力者比例的增加,签约高能力者使得再制造商获得更多利润。     

战略联盟契约风险对策研究

战略联盟契约风险问题,即隐藏行动的道德风险问题,依赖于显性激励合同与隐性激励合同的结合,并考虑相对业绩比较的保险功能才能得以彻底解决。战略联盟短期合作的契约风险可采用包含监控(内控与外控)变量的最优激励合同(显性合同)来解决。在设计激励方案时,盟主必须考虑激励盟友的成本与盟主利益的一致性,而且还要考虑收益和成本的均衡。只有当观测成本小于由此带来的代理成本的降低时,将监控变量写进激励合同才有价值。联盟要长期合作,必须有效发挥隐必激励合同的作用,通过现期努力对产出的影响来改进市场对能力的判断,强化声誉效应,弱化棘轮效益,从而强化激励监控机制,进而使战略联盟的契约风险问题得到有效的解决。     

Co‐opetition and Investment for Supply‐Chain Resilience

This paper considers the problem of disruption risk management in global supply chains. We consider a supply chain with two participants, who face interdependent losses resulting from supply chain disruptions such as terrorist strikes and natural hazards. The Harsanyi–Selten–Nash bargaining framework is used to model the supply chain participants' choice of risk mitigation investments. The bargaining approach allows a framing of both joint financing of mitigation activities before the fact and loss‐sharing net of insurance payouts after the fact. The disagreement outcome in the bargaining game is assumed to be the result of the corresponding non‐cooperative game. We describe an incentive‐compatible contract that leads to First Best investment and equal “gain” for all players, when the solution is “interior” (as it almost certainly is in practice). A supplier that has superior security practices (i.e., is inherently safer) exploits its informational advantage by extracting an “information rent” in the usual spirit of incomplete information games. We also identify a special case of this contract, which is robust to moral hazard. The role of auditing in reinforcing investment incentives is also examined.     

Motivating Retail Marketing Effort: Optimal Contract Design

We study a distribution channel where a manufacturer relies on a sales agent for selling the product, and for investing in the most appropriate marketing effort. The agent's effort is hard to monitor. In addition, the cost of effort is the agent's private information. These impose challenges to the manufacturer in its endeavor to influence the agent's marketing effort provisions and to allocate profit between the two parties. We propose two contract forms. The franchise fee contract is a two‐part price schedule specifying a variable wholesale price and a fixed franchise fee. The retail price maintenance contract links the allowed retail price that the agent charges customers with total payment to the manufacturer and sales level. Under information asymmetry, for implementing either contract form, the manufacturer needs to offer a menu of contracts, hoping to invoke the “revelation principle” when the agent picks a certain contract from that menu. We show that the two contract forms perform differently, and each party's preference toward a particular contract form is linked with the total reservation profit level and/or the sales agent's cost type. We provide managerial guidelines for the manufacturer in selecting a better contract form under different conditions.     

我国证券市场逆向选择与道德风险的探讨

逆向选择与道德风险是市场经济本身产生的两大“体制缺陷”,是导致市场失灵的重要原因,本文运用信息经济学的委托代理理论中的逆向选择与道德风险的理论,通过深沪股市大量的数据与实例分析了我国证券市场存在的逆向选择与道德风险的种种表现及问题,并提出相应的治理对策。     

效率参数不可观测下的SaaS云外包合约研究

客户企业在实施SaaS（软件即服务,Software as a Service）云外包时,面临因效率参数不可观测所引发的云服务提供商（Cloud Service Provider,CSP）道德风险问题。针对该问题,以激励机制设计方法为基础,以客户企业期望收益最大化为目标,在服务产出为公共信息,而效率参数信息为CSP私人信息下研究如何通过外包合约的设计诱使CSP显示出真实的信息,并付出最优的努力水平。研究表明,最优努力水平、服务报酬支付是效率参数的减函数;客户企业向CSP提供的最优合约可以用线性合约表示;在由固定服务报酬及收益共享构成的线性合约中,效率参数与固定服务报酬支付正相关,与收益共享系数负相关。     

COMPETITION AND RELATIONAL CONTRACTS: THE ROLE OF UNEMPLOYMENT AS A DISCIPLINARY DEVICE

Abstract When workers are faced with the threat of unemployment, their relationship with a particular firm becomes valuable. As a result, a worker may comply with the terms of a relational contract that demands high effort even when performance is not enforceable by a third party. But can relational contracts motivate high effort when workers can easily find alternative jobs? We examine how competition for labor affects the emergence of relational contracts and their effectiveness in overcoming moral hazard in the labor market. We show that effective relational contracts do emerge in a market with excess demand for labor. Long‐term relationships turn out to be less frequent when there is excess demand for labor than they are in a market characterized by exogenous unemployment. However, stronger competition for labor does not impair labor market efficiency: higher wages induced by competition lead to higher effort out of concerns for reciprocity.     

Financial incentives for cost control under moral hazard

A distinguishing feature of contracted production is that the contractual terms must be agreed upon before the product exists. If the specified product is the result of an innovative and complex process, uncertainties as to its production cost estimates can be enormous. This renders the traditional cost-plus-fixed-fee and fixed-price contractual arrangements increasingly untenable. An alternative contractual arrangement that is currently gaining greater acceptance is the fixed-price-incentive contract, which may be as simple as a linear cost-sharing formula or as complex as a state-contingent reward penalty structure. The problem from the viewpoint of the contractee (principal) is to identify the optimal incentive structure in order to minimize his expected cost; the incentive affects the contractor (agent) through his risk aversion and his propensity for “moral hazard”, due to the co-insurance effect of cost-sharing incentives. Taking as premise the contractee's risk-neutrality, the problem is formulated as a constrained optimization problem, with the constraint arising from the returns to each of the parties to the contract. It is thereby demonstrated that the currently popular linear incentive mechanism is ineffective from the viewpoint of the contractee before the introduction of the problem of moral hazard. We then show that, the problem can be segregated into independent components of the contractor's risk aversion and his propensity for moral hazard. Having established this, we proceed to examine the incentive form as related to the “monitoring mechanism” instituted by the contractor during the performance of the contract. Acceptance of the conclusions necessitates that the contracting parties can interpret their objective as the maximization of the ratio of their expected profits to target profits, which is demonstrated as being equivalent to the minimization of the certainty equivalent of costs.     

信息披露的作用 ——来自拍拍贷的经验证据

  信息披露对于降低信息不对称、减少市场的非效率的作用已经得到广泛的认可。因为中国依然缺乏完善的征信体系,P2P市场上也存在着更严重的信息不对称,所以信息披露在P2P借贷市场中发挥着更为重要的作用,值得学界和业界更深入的研究。         基于拍拍贷的数据,对信息披露在P2P市场上的作用进行研究。为了比较可验证的和不可验证的标准信息披露的不同作用,选择Logistic和Tobit等不同的回归模型以及不同的模型设置,实证检验其对于是否借款成功、是否违约、内部收益率的影响以及与借款利率之间的关系。         研究结果表明,信息披露对借款成功有正向影响,可验证的标准信息披露影响更大;信息披露具有的可验证性对借款成功有正向影响。同时,信息披露多的借款者更愿意提高借款利率,表明他们可能具有更低的信用。信息披露并不总是降低违约风险,部分信息及其可验证性反而导致更高的违约率。为了得到更可靠的结果,进一步对信息披露和内部收益率进行研究,结果同样表明,部分信息披露及其可验证性会带来更低的内部收益率。在稳健性检验中,上述结论依然不变。         研究结果丰富了信息披露、信息经济学、行为经济的研究内容,有利于平台设计更好的信息披露机制,即应控制披露信息条目,只披露能反映风险的信息,从而减少信息不对称,降低由投资人决策偏差导致的损失。同时,也为监管部门制定监管条例去纠正市场偏差和保护投资者权益提供了实证依据。     

Fractional Price Matching Policies Arising from the Ocean Freight Service Industry

We consider a situation in which shippers (customers) can purchase ocean freight services either directly from a carrier (service provider)in advance or from the spot market just before the departure of an ocean liner. The price is known in the former case, while the spot price is uncertain ex‐ante in the latter case. Consequently, some shippers are reluctant to book directly from the carrier in advance unless the carrier is willing to “partially match” the realized spot price when it is lower than the regular price. This study is an initial attempt to examine if the carrier should bear some of the “price risk” by offering a “fractional” price matching contract that can be described as follows. The shipper pays the regular freight price in advance; however, the shipper will get a refund if the realized spot price is below the regular price, where the refund is a “fraction” of the difference between the regular price and the realized spot price. By modeling the dynamics between the carrier and the shippers as a sequential game, we show that the carrier can use the fractional price matching contract to generate a higher demand from the shippers compared to no price matching contract by increasing the “fraction” in equilibrium. However, as the carrier increases the “fraction,” the carrier should increase the regular price to compensate for bearing additional risk. By selecting the fractional price matching contract optimally, we show that the carrier can afford to offer this price matching mechanism without incurring revenue loss: the optimal fractional price matching contract is “revenue neutral.”     

Incentive Contracts in Projects with Unforeseeable Uncertainty

Designing incentive contracts that constructively guide employee efforts is a particularly difficult challenge in novel innovation initiatives, where unforeseen events may occur. Empirical studies have observed a variety of incentive structures in innovation settings: “time and material contracts” (compensation for executing orders), “downside protection” (target‐driven incentives with protection from unexpected risks), and “upside rewards” (additional remuneration for pursuing opportunities). This paper develops a model of incentives in presence of unforeseen events and offers a theoretical prediction of which of the empirically observed incentive structures should be used under which circumstances. The combination of three key influences drives the shape of the best incentive contract. First, the presence of unforeseeable uncertainty, or the occurrence of events that cannot possibly be foreseen at the outset. These may force a change in the project's plan, making pure target setting insufficient. Second, fairness concerns dictate that the employee's expected compensation cannot be shifted downward by unforeseen events, because it would cause demotivation, hostility, and defection. Third, management may not be able to observe the detailed actions of the employee (moral hazard) nor whether a positive or negative unforeseen event has occurred (asymmetric information).     

基于资本监管要求和还款意愿的贷款定价研究

在借款人有道德风险的情况下,如何合理地确定贷款价格是一个理论界及实务界面临的共同难题。本文分析了企业的还款意愿对商业银行贷款定价的影响,并将还款意愿融入到信用风险定价的结构化模型中,建立了资本监管下商业银行贷款定价模型。研究表明,贷款占用银行的监管资本越多或银行吸收存款的利率越高,贷款价格也越高;企业的还款意愿越弱,则银行给企业的贷款价格越高;反之,企业的还款意愿越强,则银行给企业的贷款价格越低。