| Project/Area Number |
24530209
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | Ritsumeikan University (2013-2014)
Kinki University (2012) |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | ミクロ経済学 / 契約理論 / コーポレート・ファイナンス / 金融システム / バンキング / 銀行論 / 金融危機 / 企業金融 / 証券化 / 信用リスク / 影の銀行 |
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| Outline of Final Research Achievements |
The 2007-2009 financial crises showed that the price shock in the security market spread through the balance sheet of the banks of the entire financial system.The purpose of this research is to derive the optimal liquidity and capital ratios of the banks, which prevent the price shock in the security market from spreading the financial system.To this purpose, this research considers the banking system where banks are connected each other by investing securities and interbank market.
Incorporating a role of banks in providing depositors with the information-insensitive debt (Gorton (2010)) as a constraint on the banks, this research derives the liquidity and capital ratio of the banks which prevents the price shock of the security from spreading through the banking system.In particular, by characterizing the financial shock by its occurrence and severity, this research showed that the optimal balance sheet depends on the set of probability and severity of the financial crisis.
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