An Empirical Generalized User-Revenue Model of Financial Firms under Dynamic Uncertainty : Generalized User-Revenue Prices and Extended Generalized-Lerner Indices
| Project/Area Number |
19530272
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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 | University of Toyama |
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Principal Investigator |
HOMMA Tetsushi University of Toyama, 経済学部, 教授 (60241775)
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| Project Period (FY) |
2007 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2009: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2007: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
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| Keywords | generalized user-revenue model / empirical generalized user-revenue model / generalized user-revenue price / extended generalized-Lerner index / EGURM / SEHRR / SEHCR / Net Margin Cost / Net Marginal Fund / Payoff / Return / CCAPM / stochastic endogenous holding-revenue rate / stochastic endogenous holding-cost rate / variable cost function / cost efficiency / global concavity / global convexity / stochastic endoeenous holding-revenue rate / stochastic Euler equation / risk-adiustment term |
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| Research Abstract |
(Homma (2009(2008の改訂版))) A generalized user-revenue model is proposed in which the volatility risk of quasi short-run profits and equity capital effects reflecting the risk of bearing the costs of financial distress are taken into consideration. This is achieved by extending the conjectural user-revenue model proposed by Homma and Souma (2005). Specifically, uncertainties are added to endogenous holding-revenue and holding-cost rates, and the utility function of financial firms is formulated in terms of both quasi short-run profits and equity capital. The conjectural user-revenue price is extended as a generalized user-revenue price, and the extended generalized-Lerner index is proposed to incorporate these extensions.
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Report
(4 results)
Research Products
(8 results)
