A general model of the banking firm under conditions of monopoly,uncertainty, and recourse |
| |
| Institution: | 1. Shanxi Meteorological Observatory, Taiyuan 030006, China;2. Institute of Meteorology and Oceanography, PLA University of Science and Technology, Nanjing 211101, China;3. Beijing Meteorological Service, Beijing 100089, China;1. School of Applied Mathematics, Getulio Vargas Foundation,Rio de Janeiro, RJ, Brazil;2. Physics Institute, Universidade Federal Fluminense, Niterói, RJ, Brazil;1. Department of Economics, University of Pretoria, Pretoria, South Africa;2. Department of Economics, Eastern Mediterranean University, Famagusta, via Mersin 10, Northern Cyprus, Turkey;3. Department of Economics, University of Pretoria, Pretoria, 0002, South Africa;4. Montpellier Business School, Montpellier, France;5. Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, 62026- 1102, USA;1. Department of Management, College of Information Systems and Management, National University of Defence Technology, China;2. Managerial Economics and Strategy Group, Department of Management, London School Economics and Political Science, United Kingdom;3. Centre for the Analysis of Time Series, London School Economics and Political Science, United Kingdom |
| |
| Abstract: | We develop a stochastic programming model of the monopolistic competition banking firm. It assumes the bank faces a downward-sloping loan demand curve and is a price taker in securities markets. Uncertainty and liquidity requirements are incorporated. Bank decisions are made within a two-stage framework where realized disturbances that violate constraints can be rectified ex post at a cost. The results are: (1) Optimal loan and deposit rates are positive functions of the recourse penalty. (2) Asset/liability decisions are interdependent and elastically supplied deposits lower the loan rate. (3) The effect of uncertainty depends upon the penalty rate level. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
