| 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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| 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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