A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output

Topics:
Investment and Capital Markets
Tags:
Bank,
Federal Reserve Bank Of Boston,
Finance,
Financial,
Financial Accounting,
Financial Planning,
Financial Service,
Financial Services,
Intermediary
Source:
Federal Reserve Bank of Boston

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Overview: This paper addresses the proper measurement of financial service output that is not priced explicitly. It shows how to impute nominal service output from financial intermediaries' interest income and how to construct price indices for those financial services. The present an optimizing model with financial intermediaries, that provide financial services to resolve asymmetric information between borrowers and lenders. The papers embed these intermediaries in a dynamic, stochastic, general equilibrium model where assets are priced competitively according to their systematic risk, as in the standard consumption capital asset pricing model.

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Format: PDF | Size: 839KB | Date: Oct 2004 | Pages: 85

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