金融合同理论

《金融合同理论》教学提纲
Financial Contract Theory
适用课程：《金融理论前沿》、《公司金融理论》、《银行经济学》
适用对象：经济学和金融学的二年级以上硕士生和博士生
Instructor: 洪正
工作单位：西南财经大学中国金融研究中心
Email: xchill@
Reference Textbook
1、激励理论（合同理论）：
（1）（BD）《合同理论》（Contract theory），Bolton and Dewatripont（2005）著，格致出版社2008
（2）（LM）《激励理论：委托—代理模型》，拉丰和马赫蒂摩（Laffont and Martimort，1999）著，中国人民大学出版社
（3）《契约经济学》，科斯、哈特、斯蒂格利茨等著，经济科学出版社
（4）（张维迎）《博弈论与信息经济学》，张维迎著，上海三联出版社1996
2、公司金融
（1）（Tirole）《公司金融理论》《The Theory of Corporate finance》，Tirole（2006），Princeton University Press
（2）（张春）《公司金融学》，张春，中国人民大学出版社2008
（3）（RWJ）《公司理财》，Ross，Westerfield and Jaffe，机械工业出版社2000
（4）（Hart）《企业、合同与财务结构》，哈特（Hart，1995），上海三联书店。

3、银行经济学
（FR）Microeconomics of Banking（第2版）（《微观银行学》），弗雷克斯和罗歇（Freixas and Rochet，2008）著，西南财经大学出版社2000（第1版）
Course Description and Objective
本课程以博弈论和信息经济学为基本工具，以激励理论（或合同理论）为理论基础，建立完整的金融合同理论分析框架，并利用此框架来研究公司金融理论和微观银行学。

涉及的主要内容包括：资本结构、公司治理、融资制度设计、股利政策、IPO、并购；金融中介理论、银企关系、信贷配给与宏观经济波动、金融危机、银行监管。

PartⅠ合同理论
博弈论基础（张维迎）
1、四种博弈的均衡概念及解法
2、举例
（1）纳什均衡：纯战略：囚徒困境；Cournot竞争模型。

混合战略：监督博弈
（2）子博弈精炼纳什均衡：Stackelbery模型；宏观经济政策的动态一致性（承诺问题）。

重复博弈：有限次重复博弈与无限次重复博弈（囚徒困境的冷酷战略）
（3）贝叶斯纳什均衡：一级密封价格拍卖
（4）精炼贝叶斯纳什均衡：贝叶斯法则；信号发送模型：spence教育信号模型（BD）； 不完全信息重复博弈：声誉模型，政府的货币政策。

Ⅰ静态双边合同
一、逆向选择（Adverse Selection）
1、租金抽取与配置效率的权衡（LM，ch2）
举例：信贷配给（BD，ch2）
显示原理（LM，ch2）
用于改进契约的信息性信号（LM，ch2）
多于两种类型时的spence-mirrlees条件（BD，ch2；LM，ch3）
Akerlof, G., 1970, The Market for 'Lemons': Quality Uncertainty and the Market Mechanism," Quarterly Journal of Economics, 84, 488-500.
Stiglitz, J., and A. Weiss. 1981. Credit rationing in markets with imperfect information. American Economic Review 71 (3): 393–410.
2、隐藏信息与信号发送
举例：Spence教育信号模型（BD，ch3）
优序理论（BD，ch3）
用负债比例显示企业质量（张维迎，ch4）
Myers, S. and N. Majluf. (1984), “Corporate Financing and Investment Decisions when Firms have Information that Investors do not have,” Journal of Financial Economics, 187-221.
3、审核机制与有成本的状态验证（CSV模型）（BD，ch5）
Townsend, R. 1979. Optimal contracts and competitive markets with costly state verification. Journal of Economic Theory 21 (2): 265–293.
Gale, D. and M. Hellwig, 1985, Incentive-Compatible Debt Contracts: The One-Period Problem, Review of Economic Studies, 52: 647-663.
二、道德风险（Moral Hazard）
1、激励与保险的权衡（LM，ch4）:最优、有限责任、风险厌恶。

举例：线性合同（BD，ch4或张维迎，ch5）
一般情形：一阶方法，单调似然率性质（MLRP）（BD，ch4；LM，ch4和ch5），
举例：管理激励方案（BD，ch4）；Innes(1990)债务融资最优（BD，ch4）。

用于改进契约的信息性信号（LM，ch4）
道德风险、监督与融资（Tirole，ch9）
Innes, R. 1990, “Limited Liability and Incentive Contracting with Ex Ante Action Choices”, Journal of Economic Theory 52(1): 45-67
Holmstrom,B.andJ.Tirole, 1997, “Financial Intermediation, Loanable Funds and the Real Sector”, Quarterly Journal of Economics, 112(3),663-691.
三、多维激励问题（Multidimensional Incentive Problems）
1、多维逆向选择问题
2、多任务的道德风险（BD，ch6）
Ⅱ静态多边合同
一、拍卖理论（多代理人的逆向选择）
1、价值可完美获知下的拍卖（BD，ch7）
收入等价性原理（证明参考Jehle and Reny《高级微观经济理论》）
2、共同价值不被完美获知下的拍卖（BD，ch7）
赢者诅咒（winner’s curse）
举例：IPO折价（张春，ch7）和银企关系中的套牢问题（FR，ch3）
Benveniste, Lawrence M. & Spindt, Paul A., 1989. "How investment bankers determine the offer price and allocation of new issues," Journal of Financial Economics, vol. 24(2), pages 343-361. Rajan, R.1992, “Insiders and Outsiders: the Choice Between Relationship and Arm’s Length Debt”, Journal of Finance 47: 1367-1400
Sharpe, S.1990, “Asymmetric Information, Bank Lending, and Implicit Contracts: a Stylized Model of Customer Relationships”, Journal of Finance 55: 1069-1087.
二、多代理人的道德风险和合谋
1、团队中的道德风险（BD，ch8）
2、相对绩效评价与锦标赛制（BD，ch8）
3、监督与合谋（BD，ch8）
Tirole, J., 1986, “Hierarchies and Bureaucracies: On the Role of Collusion in Organizations," Journal of Law, Economic and Organization, 2: 181-214.
Kofman, F. and J. Lawarrée, 1993, “Collusion in Hierarchical Agency," Econometrica,61: 629-656.
A Faure-Grimaud, JJ Laffont, D Martimort, 2001, “Transaction Costs of Collusion and Organizational Design”, USC CLEO Research Paper No. C01-17
Dessi, R,2005, “Start-up Finance, Monitoring and Collusion”, RAND Journal of Economics 36: 255-274.
Ⅲ重复的双边合同
一、动态逆向选择
1、重复的逆向选择（固定类型和可变类型）（LM，ch8）
应用举例：
2、规制（BD，ch9）
3、预算软约束（动态中的承诺与重新谈判）
M. Dewatripont and E. Maskin, 1995, “Credit and Efficiency in Centralized and Decentralized Economies”, The Review of Economic Studies, V ol. 62, No. 4 , pp. 541-555
4、声誉与融资选择（Diamond，1993）（FR，ch2）
5、中止威胁与还债激励
Bolton, P., and D. Scharfstein. 1990. A theory of predation based on agency problems in financial contracting. American Economic Review 80 (1): 93–106.
二、动态道德风险
1、两期的重复道德风险（BD，ch10和LM，ch8）；
Chiappori, Pierre-Andre & Macho, Ines & Rey, Patrick & Salanie, Bernard, 1994. "Repeated moral hazard: The role of memory, commitment, and the access to credit markets," European Economic Review, vol. 38(8), pages 1527-1553, October.
Jacques Crémer,1995, “Arm's Length Relationships”, The Quarterly Journal of Economics, V ol. 110, No. 2 , pp. 275-295
2、关系合同（BD，ch10）
Jonathan Levin, 2003, “Relational Incentive Contracts” , The American Economic Review, V ol. 93, No. 3 , pp. 835-857
3、隐性激励和职业生涯：代理人市场—声誉模型（张维迎，ch6）
4、棘轮效应（张维迎，ch6）
（动态合同中考虑再谈判，可能更严厉即棘轮效应，可能更软即预算软约束）
Ⅳ不完全合同
一、产权理论
GHM模型（Hart，ch4和BD，ch11和ch12）
Grossman, Sanford, and Oliver Hart, 1986, “The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration”, Journal of Political Economy, 94:691-719
二、资本结构与控制权
Aghion, P., and P. Bolton. 1992. An incomplete contract approach to financial contracting. Review of Economic Studies 59: 473–494.
Dewatripont, M. and J. Tirole, 1994, “A Theory of Debt and Equity: Diversity of Securities and Manager-Shareholder Congruence,” Quarterly Journal of Economics 109, 1027-1054.
三、正式的和真实的权威（权威理论）
Aghion, P. and J. Tirole, 1997, “Real and Formal Authority in Organizations”, Journal of Political Economy 105: 1-29.
Mike Burkart, Denis Gromb, Fausto Panunzi,1997, “Large Shareholders, Monitoring, and the Value of the Firm”, Quarterly Journal of Economics 112:3, 693-728
Part Ⅱ公司金融理论
一、企业理论
1、交易费用理论
Coase, Ronald, 1937, “The Nature of the Firm”, Economica, 4:386-405
Williamson, Oliver E., 1985, The Economic Institute of Capitalism, New York: Free Press.
2、代理理论
Alchian, Armen and Demsetz, Harold, 1972, “Production, Information Costs and Economic Organization”, American Economic Review, 62(50): 777-795
Jensen, Michael and William Meckling, 1976, “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership structure”, Journal of Financial Economics, 3: 305-360
3、产权理论
Grossman, Sanford, and Oliver Hart, 1986, “The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration”, Journal of Political Economy, 94:691-719
4、企业家理论
Knight, Frank, (1964) 1921, Risk, Uncertainty, and Profit, New York: A. M. Kelley
5、利益相关者理论
Blair, M. M., 1995, Ownership and Control, Washington D.C.: The Brookings Institution
6、新经济企业理论
Rajan, Raghuram G., and Luigi Zingales, 1998, “Power in a Theory of the Firm”, Quarterly Journal of Economics, 2: 387-432
Zingales, L ,2000. In search of new foundations. Journal of Finance, 55, 1623–1653.
二、资本结构
MM定理和圆饼理论（RWJ，ch15和ch18）
基于财务的理论
基于代理的理论
基于信息不对称的理论
基于控制权的理论
基于产品市场竞争的理论
Harris, M. and A. Raviv (1991), “The Theory of Capital Structure,” Journal of Finance, 297-356 Aghion, P. and P. Bolton (1992), “An Incomplete Contracts Approach to Financial Contracting,” Review of Economic Studies, 473-494.
Dewatripont, M. and J. Tirole (1994) “A Theory of Debt and Equity: Diversity of Securities and Manager-Shareholder Congruence,” Quarterly Journal of Economics 109, 1027-1054.
三、公司治理
1、理论综述
Shleifer and Vishny,1997, “A survey of corporate governance”, Journal of Finance 52, 737-783. Tirole, J. (2001), “Corporate Governance,” Econometrica, 1-35
2、薪酬激励（Executive Compensation）
K. Murphy (1999), Executive Compensation, in O. Ashenfelter, D. Card (eds.): Handbook of Labor Economics Vol. 3, North Holland.
金融高管薪酬激励与宏观效应（银行和基金经理）
3、股权结构
La Porta, R., F. Lopez-de-Silanes, and A. Shleifer, 1999, Corporate ownership around the world, Journal of Finance 54, 471-517
Burket, Gromb and Panunzi, 1997, “Large shareholders, monitoring, and the value of the firm”, Quarterly Journal of Economics,Vol.112, pp.693-728
La Porta, Lopez-de-Silanes, Shleifer and Vishny, 2002, “Investor protection and corporate valuation”, Journal of Finance 57, 1147-1170.
4、董事会
Hermalin and Weisbach, 2003, “Boards of directors as an endogenously determined institution: a survey of the economics literature”, Frbny Economic Policy Review,Vol.12, pp.7-26
四、股利政策
F Allen, R Michaely, 2003, “Payout Policy”, Handbook of the Economics of Finance
五、IPO
张春，ch7
Jay Ritter, 2003, “Investment Banking and Security Issuance”, Handbook of the Economics of Finance
六、并购
张春，ch6
Shleifer A. and R. W. Vishny (1986) “Large Shareholder and Corporate Control,” Journal of Political Economy, 461-488.
七、若干融资制度专题
1、小额信贷及农村金融
Jonathan Morduch, 1999, “The Microfinance Promise”, Journal of Economic Literature, V ol. 37, No. 4, pp. 1569-1614
Armendariz de Aghion, Beatriz, 1999. "On the design of a credit agreement with peer monitoring," Journal of Development Economics, vol. 60(1), pages 79-104, October
Jonathan H. Conning and Christopher R. Udry, 2005 , “Rural Financial Markets in Developing Countries”, Yale University Economic Growth Center Discussion Paper No. 914
2、风险投资
Kaplan, S. and P. Strömberg (2003), “Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts,” Review of Economic Studies 70, 281-315.
K. Schmidt (2003), Convertible Securities and Venture Capital Finance, Journal of Finance 58, 1139-1166.
Berglof, E. (1994), “A Control Theory of Venture Capital,” Journal of Law, Economics and Organization 10, 247-267.
3、中小企业融资
Allen N. Berger & Gregory F. Udell, 1998. "The economics of small business finance: the roles of private equity and debt markets in the financial growth cycle," Finance and Economics Discussion Series 1998-15, Board of Governors of the Federal Reserve System (U.S.).
Berger, Allen N. & Udell, Gregory F., 2005. "A more complete conceptual framework for financing of small and medium enterprises," Policy Research Working Paper Series 3795, The World Bank
八、融资经济学基本原理
Tirole 道德风险模型及其扩展
1、基本模型（Tirole，ch3）
2、抵押（市场）（Tirole，ch4）
2、分散化（Tirole，ch4）
3、监督（积极和消极）（Tirole，ch8和ch9）
4、控制权（Tirole，ch10）
5、动态融资：声誉（Tirole，ch3）、长期融资（Tirole，ch4）
6、关系与竞争（Tirole，ch9）
Harris, M. and A. Raviv (1995) “Financial Contracting Theory,” in Advances in Economic Theory, Sixth World Congress, Cambridge University Press.
Hart, O. (2001) “Financial Contracting,” Journal of Economic Literature, 1079-1100.
Myers, S. (2000) “Outside Equity,” Journal of Finance, 1005-1037.
Part Ⅲ银行经济学
一、金融中介理论（The Theory of Financial Intermediation）
FR，ch2
1. Liquidity provider
2. Coalition of borrowers
3. Delegated monitoring
Gary Gorton and Andrew Winton, 2003, “Financial Intermediation”, Handbook of the Economics of Finance
Diamond and Dybvig, 1983, “Bank Runs, Deposit Insurance and Liquidity”, Journal of Political Economy 91,401-419.
Diamond,1984, “Financial Intermediation and Delegated Monitoring”, Review of Economic Studies 51,393-414.
4.融资方式选择：监督与声誉、监督与资本
Holmstrom,B.andJ.Tirole, 1997, “Financial Intermediation, Loanable Funds and the Real Sector”, Quarterly Journal of Economics, 112(3),663-691.
二、借款人与贷款人关系（The Lender-Borrower Relationship）
1、银企关系（FR，ch3）
Rajan, R.1992, “Insiders and Outsiders: the Choice Between Relationship and Arm’s Length Debt”, Journal of Finance 47: 1367-1400
Sharpe, S.1990, “Asymmetric Information, Bank Lending, and Implicit Contracts: a Stylized Model of Customer Relationships”, Journal of Finance 55: 1069-1087.
2、预算软约束（SBC）
M. Dewatripont and E. Maskin, 1995, “Credit and Efficiency in Centralized and Decentralized Economies”, The Review of Economic Studies, V ol. 62, No. 4 , pp. 541-555
J Kornai, E Maskin, G Roland, 2003, “Understanding the soft budget constraint”, Journal of Economic Literature
三、信贷配给与宏观经济波动
1、信贷配给（Credit Rationing）
Stiglitz, J., and A. Weiss. 1981. Credit rationing in markets with imperfect information. American Economic Review 71 (3): 393–410.
Jaffee, Dwight & Stiglitz, Joseph, 1990. "Credit rationing", B. M. Friedman & F. H. Hahn (ed.), 1990. Handbook of Monetary Economics, edition 1, volume 2.
Helmut Bester, 1985, “Screening vs. Rationing in Credit Markets with Imperfect Information”, The American Economic Review, Vol. 75, No. 4, pp. 850-855
2. The Macroeconomic Consequences of Financial Imperfections
FR，ch6
四、Individual Bank Run and Systematic Risk
FR，ch7
Diamond and Dybvig, 1983, “Bank Runs, Deposit Insurance and Liquidity”, Journal of Political
Economy 91,401-419.
F Allen, D Gale, 2007, “Understanding financial crises”, OXFORD UNIVERSITY PRESS.
五、银行监管（Bank Regulation）
FR，ch9
DEWATRIPONT, Mathias and Tirole, Jean, 1994, “The prudential regulation of banks”, MIT press, Cambridge
六、比较金融系统
1、金融功能观
Bodie and Merton,2000, ”Finance”, first edition, Prentice-Hall, Inc.
Z Bodie, RC Merton, S Field, 2004, “The Design of Financial Systems: Towards a Synthesis of Function and Structure”, NBER Working Paper.
Ross Levine,1997, “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, V ol. 35, No. 2 , pp. 688-726
2、银行主导型与市场主导型
金融结构
风险分担
公司治理
金融结构与货币政策
金融系统与金融危机
Franklin Allen & Douglas Gale, 2001. "Comparing Financial Systems," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262511258, April.。