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Monopolistic Pricing in the Banking Industry: a Dynamic Model Author info | Abstract | Publisher info | Download info | Related research | Statistics Enzo Dia () (Department of Economics, University of Milan-Bicocca and University of Strathclyde)
This work develops a portfolio model of the banking firm where both the size and composition of the portfolio are jointly determined. The model provides a micro-foundation of the credit channel of transmission of monetary policy. It allows to analise the pricing policies of the banking firm, and shows how interest rate shocks and credit quality shocks (the real shocks that change expected default costs) affect the equilibrium level of loans and deposits. Besides it shows the factors affecting the provision of insurance services by means of the smoothing of shocks.
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Paper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number
73.
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Length: 29 pages
Date of creation: May 2004Date of revision:
May 2004Handle: RePEc:mib:wpaper:73Contact details of provider: Postal: Edificio U6 (III Piano) - Piazza dell'Ateneo Nuovo, 1 - 20126 Milano Phone: 02/6448-6581/89 Fax: 02/6448-6585 Email: Web page: http://dipeco.economia.unimib.it More information through EDIRC
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Keywords: References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
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Journal of Money, Credit and Banking ,
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Berger, Allen N & Udell, Gregory F, 1992.
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Journal of Political Economy ,
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Other versions: Osborne, Dale K, 1982.
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Neumark, David & Sharpe, Steven A, 1992.
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The Quarterly Journal of Economics ,
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Journal of Money, Credit and Banking ,
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Other versions:
V. V. Chari & Lawrence J. Christiano & Martin Eichenbaum, 1995.
"Inside Money, Outside Money and Short Term Interest Rates ,"
NBER Working Papers
5269, National Bureau of Economic Research, Inc.
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Other versions: Wheelock, David C. & Wilson, Paul W., 2001.
"New evidence on returns to scale and product mix among U.S. commercial banks ,"
Journal of Monetary Economics ,
Elsevier, vol. 47(3), pages 653-674, June.
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"The banking industry under uncertain monetary policy ,"
Journal of Banking & Finance ,
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Hannan, Timothy H & Berger, Allen N, 1991.
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American Economic Review ,
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Flannery, Mark J, 1982.
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Sprenkle, Case M, 1969.
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Douglas W. Diamond & Raghuram G. Rajan, 1999.
"Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking ,"
NBER Working Papers
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Other versions:
Douglas W. Diamond & Raghuram G. Rajan, .
"Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking ,"
CRSP working papers
476, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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Salop, Steven, 1976.
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[Downloadable!] (restricted)
Hess, Alan C, 1995.
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Journal of Money, Credit and Banking ,
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Cosimano, Thomas F. & Van Huyck, John B., 1989.
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Journal of Monetary Economics ,
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English, William B., 1999.
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Journal of Monetary Economics ,
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Sprenkle, Case M, 1972.
"On the Observed Transactions Demand for Money ,"
The Manchester School of Economic & Social Studies ,
Blackwell Publishing, vol. 40(3), pages 261-67, September.
Hutchison, David E, 1995.
"Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 27(1), pages 217-31, February.
[Downloadable!] (restricted)
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