The Construction of a Dynamic Model of Financial Firms' Production under Uncertainty and the Estimation of a Generalized index of Market Performance

本研究构建了一个广义用户收益模型（GURM），将Hancock（1985, 1987, 1991）的金融公司用户成本模型（UCM）进行了以下五点的扩展。首先，没有假设金融公司是风险中性的。其次，金融公司被允许在竞争的同时采取战略行动。第三，可以考虑买卖双方之间存在信息不对称的情况。第四，准可变利润的波动风险是可以处理的。第五，可以考虑反映承担财务困境成本风险的权益资本效应。GURM的一个重要特征是，将从UCM中导出的用户成本价格（UCP）进行概化，推导出随机用户收入价格（SURP）、推测用户收入价格（CURP）和广义用户收入价格（GURP），然后将广义勒纳指数（GLI）和扩展广义勒纳指数（EGLI）作为勒纳指数的概化。SURP是一个消极的UCP，它可以考虑UCM到GURM的第一个扩展，而CURP是一个反映它的第二个和第三个扩展的SURP。另外，GURP是一个CURP，它可以考虑到UCM对GURM的第四和第五次扩展。此外，GLI是一个Lerner指数，反映了从UCM到GURM的第一次到第三次扩展，而EGLI是一个GLI，反映了UCM的第四次和第五次扩展。本研究还对日本银行业的EGLI进行了估算，得到以下结果：后泡沫时代，中小银行EGLI中包含定价误差的风险调整效应变得更加重要；从1995财政年度开始，大银行和小银行之间的竞争加剧了。

This study constructed a generalized user-revenue model (GURM) that extends Hancock's (1985, 1987, 1991) user-cost model (UCM) of financial firms in the following five points. First, it is not assumed that financial firms are risk-neutral. Secondly, financial firms are allowed to behave strategically as well as competitively. Thirdly, the case that there are informational asymmetries between buyers and sellers can be considered. Fourthly, the volatility risk of quasi-variable profits can be handled. Fifthly, equity capital effects that reflect the risk of bearing the cost of financial distress can be taken into account. It is an important feature of the GURM that stochastic user-revenue prices (SURP), conjectural user-revenue prices (CURP), and generalized user-revenue prices (GURP) are derived as the generalization of user-cost prices (UCP) that are derived from the UCM, and then generalized Lerner index (GLI) and extended generalized-Lerner index (EGLI) are derived as the generalization of Lerner index. The SURP is a negative UCP that can consider the first extension of the UCM to the GURM, and the CURP is a SURP that reflects the second and third extensions of it. In addition, the GURP is a CURP that can take account of the fourth and fifth extensions of the UCM to the GURM. Furthermore, the GLI is a Lerner index that reflects from the first to the third extensions of the UCM to the GURM, and the EGLI is a GLI that reflects the fourth and fifth extensions of it. This study also estimated the EGLI of the Japanese banking industry and the following results were obtained : risk-adjustment effects that include pricing errors in the EGLI of small and medium banks become more important in the post-bubble era ; and the degree of competition of small and large banks increases from fiscal 1995 onward.