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

本研究在以下五个方面对Hancock(1985,1987,1991)的金融公司用户成本模型(UCM)进行了扩展，构建了一个广义的用户-收入模型(GURM)。首先，人们并不认为金融公司是风险中性的。其次，允许金融公司的行为既具有战略性，也具有竞争性。第三，可以考虑买家和卖家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的风险的股权资本效应。Gurm的一个重要特征是将随机用户收益价格(SURP)、猜想用户收益价格(Curp)和广义用户收益价格(Gurp)作为UCM的用户成本价格(UCP)的推广，然后将广义Lerner指数(GLI)和扩展的广义Lerner指数(Egli)导出为Lerner指数的推广。Surp是可以考虑UCM对Gurm的第一次扩展的负UCP，而Curp是反映UCM对Gurm的第二次和第三次扩展的Surp。此外，Gurp是一种可以考虑到UCM对Gurm的第四和第五扩展的Curp。此外，GLI是反映从UCM到GURM的第一到第三扩展的勒纳指数，而EGLI是反映UCM到GURM的第四和第五扩展的GLI。这项研究还估计了日本银行业的Egli，并得到了以下结果：包括定价误差在内的中小银行Egli的风险调整效应在后泡沫时代变得更加重要；从1995财年开始，中小型银行和大型银行的竞争程度增加。

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.