Deposit Competition and Financial Fragility: Evidence from the US Banking Sector

• 成果类型: Article
• 署名作者: Egan, Mark; Hortacsu, Ali; Matvos, Gregor
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Chicago; University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20150342
• 发表日期: 2017
• 页码: 169-216
• 关键词: RUNS; MARKET; panics; liquidity; equilibrium; insurance; manufacturers; INFORMATION; distress; welfare

摘要

We develop a structural empirical model of the US banking sector. Insured depositors and run-prone uninsured depositors choose between differentiated banks. Banks compete for deposits and endogenously default. The estimated demand for uninsured deposits declines with banks' financial distress, which is not the case for insured deposits. We calibrate the supply side of the model. The calibrated model possesses multiple equilibria with bank-run features, suggesting that banks can be very fragile. We use our model to analyze proposed bank regulations. For example, our results suggest that a capital requirement below 18 percent can lead to significant instability in the banking system.