Interbank Market Freezes and Creditor Runs

• 成果类型: Article
• 署名作者: Liu, Xuewen
• 署名单位: Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw017
• 发表日期: 2016
• 页码: 1860
• 关键词: COMMERCIAL PAPER; Financial crisis; Systemic risk; liquidity; COORDINATION; banking; funds; complementarities; equilibrium; fragility

摘要

We model the interplay between trade in the interbank market and creditor runs on financial institutions. We show that the feedback between them can amplify a small shock into interbank market freezing with liquidity evaporating. Credit crunches of the interbank market drive up the interbank rate. For an individual institution, a higher interbank rate - meaning a higher funding cost - results in more severe coordination problems among creditors in debt rollover decisions. Creditors thus behave more conservatively and run more often. Facing an increased chance of creditor runs, institutions demand more and supply less liquidity, tightening the interbank market. (JEL G01, G21, D83, D53)