Credit Rationing and the Simulation of Bank-Small and Medium Sized Firm Artificial Credit Market

作     者：LIU Xuefeng ZHANG Wei XIONG Xiong SHEN Dehua ZHANG Yongjie 

作者机构：College of Management and EconomicsTianjin UniversityTianjin 300072China Key Laboratory of Computation and Analytics of Complex Management Systems(CA CMS)Tianjin UniversityTianjin 300072China Departament d'EconomiaUniversitat Jaume ICastellSn de la Plana12071Spain. 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2016年第29卷第4期

页      面：991-1017页

核心收录：

学科分类：0810[工学-信息与通信工程] 1205[管理学-图书情报与档案管理] 12[管理学] 120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 02[经济学] 0202[经济学-应用经济学] 1203[管理学-农林经济管理] 1202[管理学-工商管理] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 0811[工学-控制科学与工程] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported by the National Natural Science Foundation of China under Grant Nos.71532009,71320107003 and 71271145 Core Projects in Tianjin Education Bureaus Social Science Program under Grant Nos.2012JWZD11 and 2014ZD13 Specialized Research Fund for the Doctoral Program of Higher Education of China under Grant No.20110032110031 

主　　题：Agent-based computational finance artificial credit market credit rationing small- and medium-sized firms. 

摘      要：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.