A Model of Systemic Bank Runs

• 成果类型: Article
• 署名作者: Liu, Xuewen
• 署名单位: University of Hong Kong; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13213
• 发表日期: 2023
• 页码: 731-793
• 关键词: backed commercial paper; Financial crisis; uncertainty shocks; Rollover risk; liquidity; MARKET; debt; fragility; multiplicity; IMPACT

摘要

We develop a tractable model of systemic bank runs. The market-based banking system features a two-layer structure: banks with heterogeneous fundamentals face potential runs by their creditors while they trade short-term funding in the asset (interbank) market in response to creditor withdrawals. The possibility of a run on a particular bank depends on its assets' interim liquidation value, and this value depends endogenously in turn on the status of other banks in the asset market. The within-bank coordination problem among creditors and the cross-bank price externality feed into each other. A small shock can be amplified into a systemic crisis.