无风险利率影响担保市场交易结构的效应研究

担保市场交易结构是参与主体行为的分布格局,取决于担保人、债权人和债务人三方签署担保契约协议的执行结果.无风险利率是调控金融市场的政策工具,但对担保市场交易结构的影响机理和效应的研究被忽视.基于担保人资本结构本文构建担保市场均衡理论模型,推理给出无风险利率变化影响担保市场交易结构的机理假设是:随着无风险利率增高,偿付率高的优质担保人会提高其定价,压缩债务人购买担保获得的收益,但对偿付率低的劣质担保人不会产生影响,造成偿付率高的优质担保人从市场中退出,整体担保市场中优质担保人构成减少,增加担保市场的风险.同时利用我国2007-2016年上市公司提供担保实际数据进行实证检验,结果支持了假设的有效性,为我国有效防范担保市场风险的形成和演化提供了理论和实际依据.

The effect of risk-free rate on deal structure of loan guarantee market

The deal structure of loan guarantee market refers to the distribution patterns of participants' behaviors, which depends on the implementation of guarantee contracts signed by the guarantor, creditor and debtor. While risk-free rate is a policy tool to regulate and control financial market, researches have not systematically examined the mechanism and effect of risk-free rate on deal structure of loan guarantee market. This paper develops a guarantee equilibrium model based on guarantor's capital structure, and finds that the change of risk-free rate will affect the deal structure of loan guarantee market. The model developed here suggests that as risk-free rate increases, the guarantor with high solvency probability (high quality guarantor) will increase their pricing, which will squeeze the benefit that debtor gained from purchasing guarantee; however, there is no impact on the guarantor with low solvency probability (low quality guarantor). As a result, high quality guarantors will exit from the market, and the reduction of high quality guarantors will thus increase the risk of the whole guarantee market. The validity of the results in this paper is well supported by the data of Chinese listed companies in 2007-2016, and therefore provides both theoretical and practical evidence to prevent the formation and evolution of risk in Chinese loan guarantee market.