Optimal Bank Regulation in the Presence of Credit and Run Risk

• 成果类型: Article
• 署名作者: Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, Alexandros P.
• 署名单位: University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Oxford; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/726909
• 发表日期: 2024
• 页码: 772-823
• 关键词: Financial intermediation; equilibrium; INFORMATION; panics; POLICY; MODEL; debt

摘要

We modify the 1983 Diamond and Dybvig model so that banks offer liquidity services to depositors, raise equity funding, make risky loans, and invest in safe, liquid assets. Banks monitor borrowers to ensure that they repay loans and they are susceptible to depositor runs. We model the run decision by solving a novel global game. Relative to a social planner, banks opt for a more deposit-intensive capital structure, their assets may be more or less lending intensive, and the level of lending may be higher or lower. Correcting these three distortions requires a package of three regulations.