Studies on loan rate strategies under relationship banking

• Project/Area Number: 22530307
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Nagoya University
• Principal Investigator: SHIMIZU Katsutoshi 名古屋大学, 経済学研究科, 教授 (80292746)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000); Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
• Keywords: 金融論 / 経済理論 / 経済政策 / 銀行 / 信用リスク / 情報の非対称性 / オークション / 構造推定 / 中小企業 / リレーションシップ貸出 / 日本の銀行 / 不良債権 / 倒産

Research Abstract

I analyzed strategic aspect of loan rate setting by Japanese banks in this study. Using data of loan rate and other variables related to credit risk of small and medium firms. I estimated accuracy of unobservable signal of credit risk. I found an empirical result showing no strategic aspect of bank loan competition predicted by the game theoretic model. Thus, I concluded that asymmetric information had no significant influence in the bank loan market.

Research Products

• [Journal Article] Bankruptcies of small firms and lending relationship (2011)
  • Author(s): Katsutoshi Shimizu
  • Journal Title: Journal of Banking & Finance Volume: 36 Pages: 857-870
  • URL: http://dx.doi.org/10.1016/j.jbankfin.2011.09.016
  • Peer Reviewed
• [Presentation] The impact of IRB approach on the credit risk exposure under Basel II (2012)
  • Author(s): Katsutoshi Shimizu
  • Organizer: 25th Australasian Finance & Banking Conference
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2012-12-18
• [Presentation] Bankruptcy ratio of small enterprises (2010)
  • Author(s): 清水克俊
  • Organizer: 2010年度日本経済学会秋季大会
  • Place of Presentation: 関西学院大学
• [Presentation] The impact of IRB approach on the credit risk exposure under Basel II
  • Author(s): Katsutoshi Shimizu
  • Organizer: 25th Australasian Finance & Banking Conference
  • Place of Presentation: Sydney
• [Book] 国債危機と金融市場財政運営へのインパクト (2011)
  • Author(s): 清水克俊
  • Total Pages: 215
  • Publisher: 日本経済新聞出版社
• [Book] 地域の中小企業と信用保証制度(家森信善編) (2010)
  • Author(s): 清水克俊
  • Total Pages: 20
  • Publisher: 中央経済社