Pay, Stay, or Delay? How to Settle a Run

• 成果类型: Article
• 署名作者: Matta, Rafael; Perotti, Enrico
• 署名单位: SKEMA Business School; Universite Cote d'Azur; University of Amsterdam; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad084
• 发表日期: 2024
• 页码: 1368
• 关键词: Bank runs

摘要

The classic view assumes banks prioritize immediate repayment by selling assets until default. We endogenize run frequency and study how general settlement rules trade off liquidity provision net of fire sale losses against induced run incentives. Panic runs are eliminated when all illiquid assets are sold under orderly resolution, but liquidity provision in a run is minimal. When suspension after some fire sales is followed by immediate liquidation, run frequency falls then rises in suspension delay. Thus, optimal suspension may require some sale of illiquid assets, in contrast to MMF norms. Ex post discretion induces excessive liquidation and more frequent runs. (JEL D8, G21)