摘要
通过建立商业银行声誉羊群行为信用风险模型,应用贝叶斯法则推导出均衡结论:在一定条件下,基于声誉问题的考虑,商业银行经理人总是忽略私有信息,跟从他人做出相同的信贷决策。经理人信息获取能力、初始声誉及信贷市场群体信息强烈地影响着"头羊"A跟从私有信息行动的概率。经理人信息获取能力、初始声誉、群体信息与"头羊"A的行动一起同时强烈影响着"追随者"B羊群行为发生的概率。
This paper sets up a credit risk model of reputational herding behavior in commercial banks and followed by the Bayes rule, some equilibrium conclusions are deduced. Under certain circumstances, when con- cerning their reputations, managers of commercial banks often mimic tile investment of others, ignoring private information. If a manager has high ability for obtaining information, initial reputation and strong public informa- tion that is consistent with his private information, the leader herd A would be likely to follow the private information. Manager＇s ability, initial reputation and strong public information as well as the leader herd A＇s action will strongly influence the follower B in his herding behavior.
出处
《广东商学院学报》
北大核心
2009年第6期64-71,83,共9页
Journal of Guangdong University of Business Studies
基金
国家自然科学基金项目(70573032)
国家社会科学基金项目(06BJL017)
湖南省自然科学基金项目(09JJ3131)
关键词
商业银行
声誉羊群行为
贝叶斯法则
群体信息
信息关联度
commercial bank
reputational herding behavior
Bayes rule
publie information
information correlation
