Credit rationing and the simulation of bank-small and medium sized firm artificial credit market

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• 作者：Xuefeng Liu ; Wei Zhang ; Xiong Xiong…
• 刊名：Journal of Systems Science and Complexity
• 出版年：2016
• 出版时间：August 2016
• 年：2016
• 卷：29
• 期：4
• 页码：991-1017
• 全文大小：1,081 KB
• 刊物类别：Mathematics and Statistics
• 刊物主题：Systems Theory and Control
  Applied Mathematics and Computational Methods of Engineering
  Operations Research/Decision Theory
  Probability Theory and Stochastic Processes
  
• 出版者：Academy of Mathematics and Systems Science, Chinese Academy of Sciences, co-published with Springer
• ISSN：1559-7067
• 卷排序：29

文摘

By analyzing the financing difficulties faced by the small and medium-sized firms, the paper built an artificial credit markets with the agent-based computational modeling to simulate the real world credit transactions. There are firms, banks, different risk-type projects as well as legal and supervision environments in which debt contracts constitute the financial instruments. The simulation results show that the number of collateral, average success probability of projects, and the prime interest rate have materially impact on bank’s average profit, bank’s capital, the overall interest rate, the number of borrowing firms, loan size, and the degree of credit rationing. These results in line with those of the classical S−W model in the sense that the relationship between bank profits and interest rates is non-monotonic as well as the relationship between credit rationing and interest rates. And thus there is an adverse selection effect in credit rationing theory.KeywordsAgent-based computational financeartificial credit marketcredit rationingsmall- and medium-sized firms