2006 Fiscal Year Final Research Report Summary
Theoretical and empirical consideration on market discipline in the financial system
| Project/Area Number |
15530224
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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 | Keio University |
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Principal Investigator |
MAEDA Yasuo Keio University, Faculty of Economics, Professor, 経済学部, 教授 (60229317)
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| Project Period (FY) |
2003 – 2006
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| Keywords | market discipline / subordinated debts / information production |
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| Research Abstract |
In order to reform the financial system of Japan in 21st century, it is necessary to incorporate a mechanism which mitigates banks' moral hazard. The key concept when we consider such a mechanism is market discipline. This research aims to analyze this concept theoretically and empirically. The important theme is how to discipline banks with reference to the information production function of banks which helps to allocate resources efficiently. Especially if we base our argument on the facts that financial conglomerates are widely formed, the importance of our research has been increasing. In the concrete, first, we construct a basic theoretical framework based on two-period model, then we extend this basic model to incorporate more structure in order to analyze several ways to discipline banks. We studied a transmission mechanism of banks' risks to the premium of banks' bonds. After the theoretical consideration, we collected premium data of subordinated bonds which banks issue, and analyzed the movement of this premium empirically. The spread data which is constructed from the price data of subordinated debts and the data which can be seen in the financial documents of banks are used to verify the theoretical model. As a result, we have found out that market discipline is working very well in Japan.
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[Book] 金融論をつかむ2006
Author(s)
前多康男, 鹿野嘉昭, 酒井良清
Total Pages
310
Publisher
有斐閣
Description
「研究成果報告書概要(和文)」より
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[Book] 新しい金融理論2003
Author(s)
酒井良清, 前多康男
Total Pages
218
Publisher
有斐閣
Description
「研究成果報告書概要(和文)」より
