論具逆選擇問題之借貸平台對貨幣政策的影響

Marketplace Lending and Monetary Policy in a Competitive Search Market with Adverse Selection

張宏齊(Hung-Chi Chang)

指導教授 ： 李怡庭

國立臺灣大學/社會科學院/經濟學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101307

摘要

本論文旨在以競爭搜尋模型捕捉網路借貸平台的搜尋模式，探討有限承諾及逆選擇對借貸市場的影響，並揭示貨幣政策於借貸平台的傳遞效果及管道。一般而言，貨幣作為自有資金改善因逆選擇問題所導致的效率損失。此乃因放款人能以預付款要求借款人承擔部分倒帳風險。而有限承諾使借貸平台須以驅逐違約者確保借款人還款，造成內生借貸上限。借貸上限過小時，Guerrieri et al. (2010)中的唯一分離均衡不一定存在且對於競爭搜尋均衡的相關結論須仰賴配對機率的嚴格單調性才能成立。即便均衡存在，有限承諾將限縮放款人透過調整契約篩選借款人的能力，扭曲均衡配對機率，惡化逆選擇問題。此時貨幣能透過提供流動性並幫助放款人篩選借款人減輕外部融資成本。模型中通貨膨脹有兩效果。其一，通貨膨脹打擊借款人攜帶自有資金克服金融摩擦的誘因。其二，通貨膨脹提高違約成本並擴大借貸上限。然而由於借貸上限受市場參與者的信念影響，借貸平台可能發生自我實現的信貸緊縮。而信念驅動此特質也使通貨膨脹的效果難以捕捉。不同於大多文獻，我們發現較高的通膨率可能造成較低的均衡借貸上限，使生產效率下降。

關鍵字

借貸平台 ； 競爭搜尋模型 ； 逆選擇 ； 有限承諾 ； 內生借貸上限 ； 貨幣搜尋模型

並列摘要

We propose a search-based theory of marketplace lending with adverse selection to explore its implications on monetary policies. Three aspects are considered: search, information asymmetry and limited commitment. Money alleviates information asymmetry via screening because down-payment works as a tool with which borrowers can retain some default risk. Limited commitment necessitates a debt enforcement technology, exclusion, and leads to a credit limit. Tight credit limits may eliminate the unique separating equilibrium in Guerrieri et al. (2010), which can be restored by strict monotonicity of matching probabilities. However, limited commitment still aggravates information asymmetry since it limits lenders' screening ability through terms of trade and induces distortions in matching probabilities. In this case, money improves credit allocations by providing more liquidity and a less costly means of screening. Inflation discourages borrowers from bringing internal funds that counteract financial frictions but boosts credit limits by intensifying the penalty of exclusion. We find the self-fulfilling property exposes marketplace lending to coordination failure. In contrast to most theoretical findings, elevated inflation may lead to a lower credit limit and welfare.

並列關鍵字

Marketplace Lending ； Competitive Search Model ； Adverse Selection ； Limited Commitment ； Endogenous Credit Limit ； Monetary Search Model

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