Herding and bank runs

• 成果类型: Article
• 署名作者: Gu, Chao
• 署名单位: University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.06.001
• 发表日期: 2011
• 页码: 163-188
• 关键词: Bank runs; herding; imperfect information; perfect Bayesian equilibrium; Optimal bank contract; Sequential-move game; Fundamental-based bank runs

摘要

Traditional models of bank runs do not allow for herding effects, because in these models withdrawal decisions are assumed to be made simultaneously. I extend the banking model to allow a depositor to choose his withdrawal time. When he withdraws depends on his consumption type (patient or impatient), his private, noisy signal about the quality of the bank's portfolio, and the withdrawal histories of the other depositors. Some of these runs are efficient in that the bank is liquidated before the portfolio worsens. Others are not efficient; these are cases in which the herd is misled. (C) 2010 Elsevier Inc. All rights reserved.