Endogeneous Risk in Monopolistic Competition
AbstractWe consider a model of financial intermediation with a monopolistic competition market structure. A non-monotonic relationship between the risk measured as a probability of default and the degree of competition is established.
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Bibliographic InfoPaper provided by Centre for Dynamic Macroeconomic Analysis in its series CDMA Working Paper Series with number 1210.
Date of creation: 24 Oct 2012
Date of revision:
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More information through EDIRC
Competition and Risk; Risk in DSGE models; Bank competition; Bank failure; Default correlation; Risk-shifting effect; Margin effect.;
Other versions of this item:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
- E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-24 (All new papers)
- NEP-BAN-2012-11-24 (Banking)
- NEP-BEC-2012-11-24 (Business Economics)
- NEP-COM-2012-11-24 (Industrial Competition)
- NEP-DGE-2012-11-24 (Dynamic General Equilibrium)
- NEP-FMK-2012-11-24 (Financial Markets)
- NEP-RMG-2012-11-24 (Risk Management)
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.:
- Keeley, Michael C, 1990. "Deposit Insurance, Risk, and Market Power in Banking," American Economic Review, American Economic Association, vol. 80(5), pages 1183-1200, December.
- David Martinez-Miera & Rafael Repullo, 2010.
"Does Competition Reduce the Risk of Bank Failure?,"
Review of Financial Studies,
Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010.
"Credit and Banking in a DSGE Model of the Euro Area,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 42(s1), pages 107-141, 09.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers) 740, Bank of Italy, Economic Research and International Relations Area.
- Franklin Allen & Douglas Gale, 2001. "Comparing Financial Systems," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262511258.
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