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Equilibrium properties in the duopolistic price-setting market as determinants for the term structure of interest rates: A game-theoretic approach

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  • Shigeru Nishiyama

    (Department of Business Administration, Kyushu International University, Kitakyushu, Japan)

Abstract

The aim of this paper is to provide an alternative view on the term structure of interest rates in the light of game theory. First, the pricing of short- and long-term interest rates is formulated as an oligopolistic price-setting game in the financial market. Second, the equilibria in Bertrand and Stackelberg games are compared under a set of reasonable assumptions consistent with the distinctive features of the financial market. Third and finally, short- and long-term interest rates and their optimization are analytically investigated by means of applying the equilibrium properties of these games. The crucial roles of reaction function in forming the term structure are also emphasized.

Suggested Citation

  • Shigeru Nishiyama, 2016. "Equilibrium properties in the duopolistic price-setting market as determinants for the term structure of interest rates: A game-theoretic approach," Journal of Administrative and Business Studies, Professor Dr. Usman Raja, vol. 2(4), pages 151-155.
    • Handle: RePEc:apb:jabsss:2016:p:151-155
    DOI: 10.20474/jabs-2.4.1
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Koji Okuguchi, 1999. "Cournot and Stackelberg Duopolies Revisited," The Japanese Economic Review, Japanese Economic Association, vol. 50(3), pages 363-367, September.
    3. Xavier Vives, 2001. "Oligopoly Pricing: Old Ideas and New Tools," MIT Press Books, The MIT Press, edition 1, volume 1, number 026272040x, April.
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    2. See-Nie Lee & Fan-Fah Cheng & Chee-Wooi Hooy & Mohamed Hisham Dato Haji Yahya, 2017. "Volatility Contagion in Selected Six Asian Countries: Evidence from Country Debt Risk and Determinant Indicators," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 3(2), pages 36-55.
    3. Muhammad Adam & Fathurrahman Anwar, 2018. "Industry and strategic analysis of Lamno Robusta coffee: An aplication of Multy Criteria Decision Analysis (MCDA) techniques to analyze a small scale farming group," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 4(6), pages 251-266.

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