Utjecaj neizvjesnosti i dinamike na rezultate Monti-Kleinovog modela o ovisnosti tržišta kredita i depozita

master's thesis

• Author: Mislav Kerner
• Mentor: Ilko Vrankić (mentor)
• Committee member: Ilko Vrankić (predsjednik povjerenstva)
• Committee member: Tomislav Pejković (član povjerenstva)
• Committee member: Siniša Slijepčević (član povjerenstva)
• Committee member: Zlatko Drmač (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2017-11-29, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U ovom diplomskom radu analizirali smo Monti-Kleinov model monopolističke banke. To je jedan od prvih modela zasnovanih na industrijskom pristupu bankarskoj industriji. Model je sam po sebi jednostavan i elegantan i poslužio je kao dobar temelj za kasniji razvoj složenijih modela. Jedan od zaključaka modela koji je doživio najviše kritika je taj da su odluke banke oko optimalne količine kredita i optimalne količine depozita neovisne. Isti zaključak vrijedi i za odluke u oligopolističkoj verziji Monti-Kleinovog modela. Mana ovog modela je što ne uključuje dinamiku i neizvjesnost koje su u stvarnosti itekako prisutne na bankarskom tržištu. Mi smo uveli neizvjesnost u monopolističku verziju modela i kasnije smo u radu uveli dinamiku u oligopolističkoj verziji modela. U oba slučaja pobili smo spomenuti rezultat i pokazali da u realnijim okolnostima odluke banaka oko količine kredita i depozita prestaju biti nezavisne.

Abstract (english)

In this graduate thesis, we analysed Monti-Klein model of monopolistic bank. It’s one of the first models based on the industrial approach to banking industry. Because of it’s elegance and simplicity, this model served as a very good platform for some more complicated models that were developed later. One of the most criticized results of this model was the independence between bank’s optimal loan and deposit amounts. The same conclusion counts for oligopolistic version of the Monti-Klein model. The fact that this model doesn’t account dynamics and uncertainty is a real weakness because banking market is very well known for it’s dynamics and uncertainty. In this thesis, we introduced both of these. First we introduced uncertainty in the monopolistic version and after that we were able to introduce dynamics in the oligopolistic version. In both cases we were able to break the independence between bank’s loans and deposit decisions and prove that those are not separable if we take some more realistic circumstances into account.

• Keywords: Monti-Kleinov model; monopolistička banka; M-K model; uvođenje neizvjesnosti; uvođenje dinamike; oligopolistička verzija
• Keywords (english): Monti-Klein; monopolistic bank; M-K model; introducing uncertainty; introducing dynamics; oligopolistic version
• Language: croatian
• URN:NBN: urn:nbn:hr:217:953532
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2018-05-25 10:46:48