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A Dynamic Equilibrium Model for Relationship-Lending
( Daisuke Miyakawa ) 서강대학교 시장경제연구소 (구 서강대학교 경제연구소) 2012 시장경제연구 Vol.41 No.1
In this paper, we develop a dynamic equilibrium model of banking industry that takes into account for firm and bank heterogeneity and the market for new and existing loans with a full description for the demand and supply of bank loans. The consequences of various shocks to the economy are considered through the equilibrium analysis. The model predicts that as the degree of interbank competition becomes higher, the number of loan relations for each firm becomes smaller. Our model is also consistent with several empirical regularities regarding the loan structure.
Pricing Illiquidity of Corporate Bonds through Static and Dynamic Measures
Daisuke Miyakawa,Shuji Watanabe 서울대학교 경제연구소 2012 Seoul journal of economics Vol.25 No.3
This paper studies the price impact of corporate bond illiquidity. Through dynamic panel estimation, price dispersion and resiliency, which have been used separately in extant studies, are simultaneously considered to price illiquidity. We find that the dynamic model, which has both measures, fits better than the static model that incorporates only price dispersion. We also confirm that the impact of the two measures systematically react to credit ratings of bonds. These results imply the importance of considering multiple measures to price illiquidity.