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Credit rationing and the simulation of bank-small and medium sized firm artificial credit market

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Abstract

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.

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Author information

Authors and Affiliations

  1. College of Management and Economics, Tianjin University, Tianjin, 300072, China

    Xuefeng Liu, Wei Zhang, Xiong Xiong & Yongjie Zhang

  2. Key Laboratory of Computation and Analytics of Complex Management Systems (CACMS), Tianjin University, Tianjin, 300072, China

    Wei Zhang, Xiong Xiong & Yongjie Zhang

  3. Departament d’Economia, Universitat Jaume I, Castellón de la Plana, 12071, Spain

    Dehua Shen

Authors
  1. Xuefeng Liu
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  2. Wei Zhang
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  3. Xiong Xiong
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  4. Dehua Shen
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  5. Yongjie Zhang
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Corresponding author

Correspondence to Xiong Xiong.

Additional information

This research was 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, and Specialized Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20110032110031.

This paper was recommended for publication by Editor TANG Xijin.

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Liu, X., Zhang, W., Xiong, X. et al. Credit rationing and the simulation of bank-small and medium sized firm artificial credit market. J Syst Sci Complex 29, 991–1017 (2016). https://doi.org/10.1007/s11424-016-4007-x

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  • DOI: https://doi.org/10.1007/s11424-016-4007-x

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