A bank runs model with a continuum of types

• 成果类型: Article
• 署名作者: Azrieli, Yaron; Peck, James
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.05.002
• 发表日期: 2012
• 页码: 2040-2055
• 关键词: Bank runs; Continuum of types; Optimal bank contract; COMMITMENT

摘要

We consider a bank runs model a la Diamond and Dybvig (1983) [3] with a continuum of agent types, indexed by the degree of patience. Much of our understanding based on the two-type model must be modified. The endogenous determination of a cutoff type is central to the analysis. In the case where the bank can credibly commit to a contract, the optimal contract results in socially excessive early withdrawals in every equilibrium of the post-deposit subgame. Thus, even at the best equilibrium the socially efficient outcome is not achieved, and agents' behavior exhibits features of a bank run. In the case where commitment is not possible, there are strictly more early withdrawals and strictly lower welfare than the full-commitment equilibrium. (C) 2012 Elsevier Inc. All rights reserved.