Demand-deposit contracts and the probability of bank runs

• 成果类型: Article
• 署名作者: Goldstein, I; Pauzner, A
• 署名单位: University of Pennsylvania; Tel Aviv University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00762.x
• 发表日期: 2005
• 页码: 1293-1327
• 关键词: equilibrium; INFORMATION; panics; MODEL; liquidity; crises

摘要

Diamond and Dybvig (1983) show that while demand-deposit contracts let banks provide liquidity, they expose them to panic-based bank runs. However, their model does not provide tools to derive the probability of the bank-run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic-based bank runs and relate it to the contract. We find conditions under which banks increase welfare overall and construct a demand-deposit contract that trades off the benefits from liquidity against the costs of runs.