Dynamic banking with non-maturing deposits

• 成果类型: Article
• 署名作者: Jermann, Urban; Xiang, Haotian
• 署名单位: University of Pennsylvania; Peking University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105644
• 发表日期: 2023
• 关键词: Deposits; Debt maturity; Dilution; time inconsistency; monetary policy

摘要

The majority of bank liabilities are deposits typically not withdrawn for extended periods. We propose a dynamic model of banks in which depositors forecast banks' leverage and default decisions, and with-draw optimally by trading off current against future liquidity needs. Endogenous deposit maturity creates a time-varying dilution problem that has major effects on bank dynamics. Interest rate cuts produce delayed increases in bank risk which are stronger in low rate regimes. Deposit insurance can exacerbate the deposit dilution and amplify the increase in bank risk.(c) 2023 Elsevier Inc. All rights reserved.