Run equilibria in the Green-Lin model of financial intermediation

• 成果类型: Article
• 署名作者: Ennis, Huberto M.; Keister, Todd
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Universidad Carlos III de Madrid; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.05.001
• 发表日期: 2009
• 页码: 1996-2020
• 关键词: Bank runs; implementation; private information; multiple equilibria; correlated types

摘要

We study the Green-Lin model of financial intermediation [E.J. Green, P. Lin, Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] under a more general specification of the distribution of types across agents. We derive the efficient allocation in closed form. We show that, in some cases, the intermediary cannot uniquely implement the efficient allocation using a direct revelation mechanism. In these cases, the mechanism also admits an equilibrium in which some (but not all) agents run on the intermediary and withdraw their funds regardless of their true liquidity needs. In other words, self-fulfilling runs can arise in a generalized Green-Lin model and these runs are necessarily partial, with only some agents participating. (C) 2009 Elsevier Inc. All rights reserved.