第75号（2011年9月）

How Does the Market-Based Intermediary Sector Affect the Business Cycle?―A Theoretical Consideration

須藤時仁（当研究所主任研究員）

〔要　旨〕

　This study describes the development of a new-Keynesian dynamic stochastic general equilibrium (DSGE) model in which market-based intermediaries or active investors have an interactive relationship with the ultimate borrowers and lenders.
　The theoretical analysis yields two important propositions related to market-based intermediaries: first, the greater the active investor's asset size, the higher will be the expected net profits; second, the steeper the yield curve, the greater is the asset size. These propositions together suggest that steeper yield curves will yield higher net profits to active investors, which theoretically supports the views of Adrian, Moench and Shin [2010b], Cùurdia and Woodford [2010] and Woodford [2010].
　Next step is to perform empirical analyses based on the developed model: to examine the propositions derived in this study, and to assess effects of the presence of the market-based intermediary sector on the business cycle. We will present the empirical study in the near future.