2009 Fiscal Year Final Research Report

An Empirical Generalized User-Revenue Model of Financial Firms under Dynamic Uncertainty : Generalized User-Revenue Prices and Extended Generalized-Lerner Indices

Research Project

Project/Area Number	19530272
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	University of Toyama
Principal Investigator	HOMMA Tetsushi University of Toyama, 経済学部, 教授 (60241775)
Project Period (FY)	2007 – 2009
Keywords	generalized user-revenue model / empirical generalized user-revenue model / generalized user-revenue price / extended generalized-Lerner index
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.