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Concurrence imparfaite et stratégie bancaire

Listed author(s):
  • Jean-Charles Rochet

[fre] Concurrence imparfaite et stratégie bancaire Nous modélisons les comportements des banques commerciales en utilisant la méthodologie des jeux séquentiels. Nous distinguons trois types de stratégies: - les stratégies de court terme (activités de marché) ; - les stratégies de moyen terme (activités clientèle) ; - les stratégies de long terme (investissements physiques). Les principaux résultats obtenus sont les suivants : -contrairement aux résultats de Pyle-Hart Jaffee, les portefeuilles de titres détenus à l'équilibre par les banques sont hétérogènes et peuvent se décomposer en portefeuilles de couverture (liés à l'activité clientèle) et en portefeuilles de placement ; -les parts de marché dans l'activité clientèle (dépôts et crédits) sont croissantes avec les investissements physiques réalisés et décroissantes avec le coefficient d'aversion au risque des actionnaires ; -les équilibres de long terme sont en général asymétriques, certaines banques choisissant des investissements physiques importants, alors que d'autres se contentent d'investissements minimaux. [eng] Imperfect competition and banking strategy J.-C. Rochet We model banking competition through a sequential game, with three types of strategies : - portfolio activities - deposits and loans activities (medium run) - physical investments (long run) Our main results are the following : - contrarily to the classical results of Pyle-Hart Jaffee, banks hold heteregenous portfolios which can be split into hedging portfolios (linked to the deposits and loans activity) and investment portfolios. -market shares in deposits and loans increase with physical investments and decrease with risk aversion of banks. -long run equilibria are in general asymmetric.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 43 (1992)
Issue (Month): 2 ()
Pages: 261-276

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Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_2_409352
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  1. Jaskold Gabszewicz, J. & Thisse, J. -F., 1980. "Entry (and exit) in a differentiated industry," Journal of Economic Theory, Elsevier, vol. 22(2), pages 327-338, April.
  2. Hahn, F H, 1971. "Equilibrium with Transaction Costs," Econometrica, Econometric Society, vol. 39(3), pages 417-439, May.
  3. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-747, June.
  4. Avner Shaked & John Sutton, 1982. "Relaxing Price Competition Through Product Differentiation," Review of Economic Studies, Oxford University Press, vol. 49(1), pages 3-13.
  5. Oliver D. Hart & Dwight M. Jaffee, 1974. "On the Application of Portfolio Theory to Depository Financial Intermediaries," Review of Economic Studies, Oxford University Press, vol. 41(1), pages 129-147.
  6. Heggestad, Arnold A, 1977. "Market Structure, Risk and Profitability in Commercial Banking," Journal of Finance, American Finance Association, vol. 32(4), pages 1207-1216, September.
  7. David M. Kreps & Jose A. Scheinkman, 1983. "Quantity Precommitment and Bertrand Competition Yield Cournot Outcomes," Bell Journal of Economics, The RAND Corporation, vol. 14(2), pages 326-337, Autumn.
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