Macroeconomic analysis of agency costs in financial intermediation under informational asymmetry

2011 Fiscal Year Final Research Report

• Project/Area Number: 22730251
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Hitotsubashi University
• Principal Investigator: NAKAMURA Hisashi 一橋大学, 大学院・商学研究科, 准教授 (80418649)
• Project Period (FY): 2010 – 2011
• Keywords: エージェンシーコスト / 金融仲介 / 信用リスク / 連続時間確率解析

Research Abstract

This research looks at the agency problem in financial intermediation under informational asymmetry. It provides a theoretical and numerical framework to analyze the effect of the problem on macroeconomic dynamics of business cycles and asset prices, interest rates by using dynamic macroeconomic general equilibrium models. Using this framework, I draw policy implications of macro-prudence policy conducting.

Research Products

• [Journal Article] 証券化型金融のもとでの金融システムの安定について:コンティンジェント転換証券と保険の役割 (2012)
  • Author(s): 中村恒
  • Journal Title: 財団法人ゆうちょ財団の季刊機関誌『個人金融』2012春号
• [Journal Article] A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure (2012)
  • Author(s): Hisashi Nakamura
  • Journal Title: Asia-Pacific Financial Markets Volume: vol.19 Pages: 119-147
  • DOI: DOI:10.1007/s10690-011-9144-6
  • Peer Reviewed
• [Presentation] 証券化型金融のもとでの金融システムの安定について:コンティンジェント転換証券と保険の役割 (2012)
  • Author(s): 中村恒
  • Organizer: 損保ジャパン研究会
  • Place of Presentation: 損保ジャパンビル・新宿
  • Year and Date: 2012-02-21
• [Presentation] A Continuous-Time Optimal Insurance Design with Costly Information (2011)
  • Author(s): Hisashi Nakamura
  • Organizer: Yonsei University Economics workshop
  • Place of Presentation: Yonsei University, Seoul
  • Year and Date: 2011-12-07
• [Presentation] A Continuous-Time Optimal Insurance Design with Costly Information (2011)
  • Author(s): Hisashi Nakamura
  • Organizer: 大阪大学中之島コンファレンス
  • Place of Presentation: 大阪大学・中之島センター
  • Year and Date: 2011-12-03
• [Presentation] A Continuous-Time Optimal Insurance Design with Costly Information (2011)
  • Author(s): Hisashi Nakamura
  • Organizer: 日本リスク保険年金学会年次総会
  • Place of Presentation: 明治大学(御茶ノ水)
  • Year and Date: 2011-11-05
• [Presentation] A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure : Asset Pricing Implications (2010)
  • Author(s): Hisashi Nakamura
  • Organizer: 第10回Econometric Society World Congress
  • Place of Presentation: 上海
  • Year and Date: 2010-08-17
• [Presentation] A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure : Asset Pricing Implications (2010)
  • Author(s): Hisashi Nakamura
  • Organizer: Disclosure : Asset Pricing Implications,"Society for the Advancement of Economic Theory(SAET) Conference on Current Trends in Economics
  • Place of Presentation: シンガポール
  • Year and Date: 2010-08-13
• [Remarks] 中村恒、日本金融学会2012年度春季大会、中央銀行パネル「マクロプルーデンスと中央銀行-マクロプルーデンスの考え方、政策への取り組み、課題と展望を中心に」、パネラーとして招聘、2012年5月19日、立正大学
• [Remarks] 中村恒、全国銀行協会金融調査研究会シンポジウム「安定的な経済成長のためのプルーデンス政策のあり方を考える」～金融規制改革パッケージの検証と今後の展望、パネラーとして招聘、2010年12月17日、銀行会館5階講堂(東京)