Information Acquisition in Rumor-Based Bank Runs

• 成果类型: Article
• 署名作者: He, Zhiguo; Manela, Asaf
• 署名单位: University of Chicago; National Bureau of Economic Research; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12202
• 发表日期: 2016
• 页码: 1113-1158
• 关键词: DYNAMIC DEBT RUNS; Financial crisis; panics; COORDINATION; equilibrium; MARKET; MODEL; RISK

摘要

We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an endogenous aggregate withdrawal speed and bank survival time. Private information acquisition about liquidity can subject solvent-but-illiquid banks to runs, and shorten the survival time of failing banks. Public provision of solvency information can mitigate runs by indirectly crowding-out individual depositors' effort to acquire liquidity information.