| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14616 |
| 来源ID | Working Paper 14616 |
| A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output | |
| J. Christina Wang; Susanto Basu; John G. Fernald | |
| 发表日期 | 2008-12-31 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | 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. We model financial intermediaries as providers of financial services which resolve asymmetric information between borrowers and lenders. We 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-based capital-asset-pricing model. In this environment, we show that it is critical to take risk into account in order to measure financial output accurately. We also show that even using a risk-adjusted reference rate does not solve all the problems associated with measuring nominal financial service output. Our model allows us to address important outstanding questions in output and productivity measurement for financial firms, such as: (1) What are the correct "reference rates" to use in calculating bank output? In particular, should they take account of risk? (2) If reference rates need to be risk-adjusted, should they be ex ante or ex post rates of return? (3) What is the right price deflator for the output of financial firms? Is it just the general price index? (4) When--if ever--should we count capital gains of financial firms as part of financial service output? |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w14616 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572292 |
| 推荐引用方式 GB/T 7714 | J. Christina Wang,Susanto Basu,John G. Fernald. A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14616.pdf（285KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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