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Monopolistic Pricing in the Banking Industry: a Dynamic Portfolio Model

Author

Listed:
  • Enzo Dia

    (Università degli studi di Milano-Bicocca)

Abstract
This work develops a portfolio model of the banking firm where both the size and composition of the portfolio are jointly determined. The model provides a quite simple micro-foundation of the credit channel of the transmission of monetary policy. It allows analysing the pricing policies of the banking firm, and shows how interest rate shocks and credit quality shocks (the real shocks that change expected default costs) affect the equilibrium level of loans and deposits.

Suggested Citation

  • Enzo Dia, 2004. "Monopolistic Pricing in the Banking Industry: a Dynamic Portfolio Model," Finance 0411025, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0411025
    Note: Type of Document - pdf; pages: 51
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0411/0411025.pdf
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    References listed on IDEAS

    as
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    • G - Financial Economics
    • E - Macroeconomics and Monetary Economics

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