TY - JOUR
T1 - A Conjectural User-Revenue Model of Financial Firms under Dynamic Uncertainty
T2 - A Theoretical Approach
AU - Homma, Tetsushi
AU - Souma, Toshiyuki
PY - 2005/6
Y1 - 2005/6
N2 - This paper extends the user-cost approach of Hancock (1985, 1991) in two ways. First, our model allows financial firms to behave strategically as well as competitively. Second, we do not assume that financial firms are risk-neutral. Our main object is to derive the index of the degree of competition under dynamic uncertainty using this extended model. In our model, the classification of financial goods into inputs and outputs is always consistent with the classification based on the sign of each of the partial derivatives of the variable cost function with respect to financial goods.
AB - This paper extends the user-cost approach of Hancock (1985, 1991) in two ways. First, our model allows financial firms to behave strategically as well as competitively. Second, we do not assume that financial firms are risk-neutral. Our main object is to derive the index of the degree of competition under dynamic uncertainty using this extended model. In our model, the classification of financial goods into inputs and outputs is always consistent with the classification based on the sign of each of the partial derivatives of the variable cost function with respect to financial goods.
KW - stochastic user-revenue price
KW - conjectural user-revenue price
KW - generalized Lerner index
KW - user-cost price
KW - stochastic Euler equation
U2 - 10.15099/00021298
DO - 10.15099/00021298
M3 - 学術論文
VL - 22
SP - 95
EP - 110
JO - 金融経済研究（Review of monetary and financial studies）
JF - 金融経済研究（Review of monetary and financial studies）
ER -