EVALUATING THEORIES OF BANK RUNS WITH HETEROGENEITY RESTRICTIONS

• 成果类型: Article
• 署名作者: De Graeve, Ferre; Karas, Alexei
• 署名单位: Sveriges Riksbank; Utrecht University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12080
• 发表日期: 2014
• 页码: 969-996
• 关键词: deposit insurance; monetary-policy; panics; equilibrium; INFORMATION; distress; BEHAVIOR; crises

摘要

This paper empirically tests theories of bank runs. We use a structural panel VAR to extract runs from deposit market data. Identification exploits cross-sectional heterogeneity in deposit insurance: we identify bank runs as adverse deposit market supply shocks hitting uninsured banks harder compared to insured. Conditional on a run, we study the behavior of uninsured banks with bad and good fundamentals. We find that both experience runs, but deposit outflows at the former are more severe. Panic effects, which affect all uninsured deposits alike, irrespective of fundamentals, dominate in the aggregate. Insured banks partially absorb the outflow of uninsured deposits.