The Construction of a Dynamic Model of Financial Firms' Production under Uncertainty and the Estimation of a Generalized index of Market Performance
| Project/Area Number |
14530107
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Toyama University |
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Principal Investigator |
HOMMA Tetsushi Toyama University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (60241775)
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| Project Period (FY) |
2002 – 2004
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| Project Status |
Completed (Fiscal Year 2004)
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| Budget Amount *help |
¥2,800,000 (Direct Cost: ¥2,800,000)
Fiscal Year 2004: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2003: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2002: ¥1,600,000 (Direct Cost: ¥1,600,000)
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| Keywords | user-cost model / user-cost price / conjectural user-revenue model / stochastic user-revenue price / conjectural user-revenue price / Lerner index / generalized Lerner index / extended generalized-Lerner index / risk adjustment / capital effect / generalized user-revenue price / 一般化ユーザ・レヴェニュー・プライス / ユーザー・コスト・プライス / 一般化ラーナー指数 / 自己資本純効果 / 不確実性動学モデル / 情報の非対称性 / 企業間の戦略的相互依存性 / オイラー方程式 |
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| Research Abstract |
This study constructed a generalized user-revenue model (GURM) that extends Hancock's (1985, 1987, 1991) user-cost model (UCM) of financial firms in the following five points. First, it is not assumed that financial firms are risk-neutral. Secondly, financial firms are allowed to behave strategically as well as competitively. Thirdly, the case that there are informational asymmetries between buyers and sellers can be considered. Fourthly, the volatility risk of quasi-variable profits can be handled. Fifthly, equity capital effects that reflect the risk of bearing the cost of financial distress can be taken into account. It is an important feature of the GURM that stochastic user-revenue prices (SURP), conjectural user-revenue prices (CURP), and generalized user-revenue prices (GURP) are derived as the generalization of user-cost prices (UCP) that are derived from the UCM, and then generalized Lerner index (GLI) and extended generalized-Lerner index (EGLI) are derived as the generalization of Lerner index. The SURP is a negative UCP that can consider the first extension of the UCM to the GURM, and the CURP is a SURP that reflects the second and third extensions of it. In addition, the GURP is a CURP that can take account of the fourth and fifth extensions of the UCM to the GURM. Furthermore, the GLI is a Lerner index that reflects from the first to the third extensions of the UCM to the GURM, and the EGLI is a GLI that reflects the fourth and fifth extensions of it. This study also estimated the EGLI of the Japanese banking industry and the following results were obtained : risk-adjustment effects that include pricing errors in the EGLI of small and medium banks become more important in the post-bubble era ; and the degree of competition of small and large banks increases from fiscal 1995 onward.
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Report
(4 results)
Research Products
(4 results)
