| 摘要: |
| 摘要：商业承兑汇票作为服务实体经济的重要金融工具，其市场效率受制于信用风险与信息不对称问题。基于精炼贝叶斯均衡的三方动态博弈模型表明，商业承兑汇票市场的信用风险源于信息不对称引发的信任门槛效应。当市场整体信任水平不足时，混同均衡将引发市场失灵，导致优质票据无法流通。通过引入信号传递机制，模型进一步揭示了分离均衡的实现条件，为解决市场逆向选择问题提供了理论路径。研究表明，收款人与商业银行的信任门槛分别受货款损失、交易利润及潜在损失等参数显著影响。同时，提升惩戒成本可有效抑制欺诈行为，完善风险缓释工具能降低参与方风险敞口。基于研究结论，提出一个以构建信号传递机制为核心、以强化激励约束为保障、以优化市场环境为辅助的系统性政策框架。这些措施通过多维度降低信息不对称与风险暴露，为改善商票市场环境提供解决方案。 |
| 关键词: 关键词：商业承兑汇票；信用风险；动态博弈；精炼贝叶斯均衡；信号传递 |
| DOI： |
| 分类号:F832.3 |
| 基金项目: |
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| Analysis of Dynamic Game in Commercial Acceptance Bill Credit Risk：A Theoretical Framework Based on Perfect Bayesian Equilibrium |
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XIAO Xiao-he，LI Zi-wei
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(Joint Institute for Commercial Paper of JUFE and BOJJ)
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| Abstract: |
| Abstract：As an important financial instrument serving the real economy,the market efficiency of commercial acceptance bills is constrained by credit risk and information asymmetry.A tripartite dynamic game model based on Perfect Bayesian Equilibrium reveals that credit risk in the commercial acceptance bill market stems from the trust threshold effect caused by information asymmetry.When the overall market trust level is insufficient,a pooling equilibrium emerges,triggering market failure and preventing high-quality bills from circulating.By introducing a signal transmission mechanism,the model further reveals the implementation conditions of separation equilibrium,providing a theoretical path for solving market adverse selection problems.The study demonstrates that the minimum trust thresholds for payees and commercial banks are significantly influenced by parameters such as payment losses,transaction profits,and potential losses,respectively.Furthermore,increasing punitive costs can effectively curb fraudulent activities,while improving risk mitigation tools can reduce risk exposure for participants.Based on the findings,a systematic policy framework has been proposed with the construction of a signal transmission mechanism as the core,strengthened incentive constraints as the guarantee,and optimized market environment as the auxiliary.These measures,by multi-dimensionally reducing information asymmetry and risk exposure,provide solutions for improving the commercial acceptance bill market environment. |
| Key words: Key words：Commercial Acceptance Bills；Credit Risk；Dynamic Game；Perfect Bayesian Equilibrium；Signal Transmission |
