Pricing Policies of Financial Intermediaries

ISBN-13: 9783540130802 / Angielski / Miękka / 1983 / 174 str.

J. Dermine

Opis

The primary purpose of this study is to develop a framework that will explain the behavior of financial intermediaries and, more precisely, their pricing policies. As financial intermediation is the business of financial assets and liabilities, use is made of concepts and models developed tradition ally in Finance and Economics to end up with recommendations not only for optimal choices of interest rates but also for proper regulation and more sensible accounting methods. Also, the econometric implications of deposit rates stickiness are examined and empirically tested on Belgian data. My debt to many people has been growing during these years and it is a great pleasure to print a text and have the opportunity to thank those who have been so helpful. First of all, let me thank Professor Jacques Dreze, my thesis director. I am grateful to Jacques for encouragments, guidance and so many stimulating discussions. I also thank the members of the Jury, Professors A. Jacquemin, A. Kervyn de Lettenhove, A. Lamfalussy, P. Reding and A. Siaens for comments on earlier drafts of the manuscript. Discussions with Professor P. Howitt while he was visiting the Center for Operations Research and Econometrics (C.O.R.E., Universite Catholique de Louvain) in 1979 have greatly contributed to my under standing of the economics of risk sharing between lenders and borrowers. Philippe Gille has been extremely helpful in carrying out the joint econometric estimation in Chapter Five and in suggesting a fine way to present the results."

Spis treści

1 Introduction.- 1.1 Theory of financial intermediaries.- 1.2 Outlook of the study.- 2 The Nature of Financial Intermediation.- 2.1 Notation.- 2.2 The classical view.- 2.3 A model of the intermediation process.- 2.4 A valuation model of the intermediary's liabilities.- Appendix: An 'option view' of financial intermediation.- 3 The Simultaneity Issue in Deposit and Credit Pate Setting.- 3.1 The neoclassical model.- 3.2 Rate setting and bankruptcy risk.- Appendix 3.1: Interest rate setting and oligopoly.- Appendix 3.2: The general case.- 4 Deposit Rate Setting by Financial Intermediaries.- 4.1 The basic model: concepts of period and economic return.- 4.2 The multiperiod model.- 4.3 The savings deposits case.- 4.4 Financing and liquidity constraints.- 4.5 Fixed costs and rate setting: the econometric implications.- 5 The Interest Rate on Savings Deposits in Belgium: 1962-1978.- 5.1 The savings deposits market: some institutional aspects.- 5.2 Interest rate on savings deposits in Belgium: 1962-1978.- 5.3 Conclusions.- Appendix: Deposit rate setting and sluggish deposits.- 6 Credit Rate Setting by Financial Intermediaries.- 6.1 Credit rationing: A review of the literature.- 6.2 The loan cost function.- 6.3 Imperfect discrimination and credit rationing.- Appendix: Bankruptcy risk: The n-borrower case.- 7 Interest Rate Setting and Risk Sharing.- 7.1 Uncertainty and the intermediary-borrower relationship.- 7.2 A 'perfect market' risk sharing contract.- 7.3 Market imperfections.- 7.4 Conclusions.- Appendix: The isoprofit curves.- 8 The Commercial Loan Rate in Belgium: 1966-1980.- 8.1 Data and institutional aspects of the credit market.- 8.2 The determinants of the commercial loan rate: A theoretical model.- 8.3 The commercial loan rate in Belgium: 1966-1980.- 8.4 Conclusions.- 9 Interest Rate Setting and Bank Regulation.- 9.1 Deposit insurance and unconstrained pricing policies.- 9.2 Bank regulation and insurance premiums: their adequacy.- 9.3 Conclusions.- Appendix 9.1: The expected net value.- Appendix 9.2: Regulation, insurance premiums and taxes.- Data sources and data construction.- References.