A model of a systemic bank run

• 成果类型: Article; Proceedings Paper
• 署名作者: Uhlig, Harald
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.10.010
• 发表日期: 2010
• 页码: 78-96
• 关键词: Systemic bank run; Bank run; Systemic risk; Financial crisis; Firesale pricing; adverse selection; Uncertainty aversion

摘要

This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two different motives for outside investors and their interaction with banks trading asset-backed securities: uncertainty aversion versus adverse selection. I shall argue that the version with uncertainty averse investors is more consistent with the stylized facts than the adverse selection perspective: in the former, the crisis deepens, the larger the market share of distressed core banks, while a run becomes less likely instead as a result in the adverse selection version. Therefore, the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the financial crises as well as provide tax payers with returns above those for safe securities. (C) 2009 Elsevier B.V. All rights reserved.