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

Shigeru Nishiyama
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Shigeru Nishiyama: Department of Business Administration, Kyushu International University, Kitakyushu, Japan

Journal of Administrative and Business Studies, 2016, vol. 2, issue 4, 151-155

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.

Keywords: Term structure of interest; rates; Game theory; Price-setting game; Bertrand game; Stackelberg game (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:apb:jabsss:2016:p:151-155

DOI: 10.20474/jabs-2.4.1

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