Banks, debt maturity and financial crises

• 成果类型: Article; Proceedings Paper
• 署名作者: Chang, R; Velasco, A
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; New York University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00041-0
• 发表日期: 2000
• 页码: 169-194
• 关键词: Bank runs; financial crises; foreign debt

摘要

We develop a model in which the maturity of external debt of banks, their level of international reserves, and the term structure of interest rates are jointly determined. Self-fulfilling runs may occur, and banks take this possibility into account when choosing the structure of their assets and liabilities. If the probability of a run is sufficiently small, banks will deliberately choose an illiquid asset-liability position and expose themselves to a run. In that case, short term debt will be cheaper than long term debt, and the maturity structure of foreign debt will depend on attitudes towards risk. (C) 2000 Elsevier Science B.V. All rights reserved.