Understanding Bank-Run Contagion

• 成果类型: Article
• 署名作者: Brown, Martin; Trautmann, Stefan T.; Vlahu, Razvan
• 署名单位: University of St Gallen; Ruprecht Karls University Heidelberg; Tilburg University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2416
• 发表日期: 2017
• 页码: 2272-2282
• 关键词: contagion; Bank runs; Systemic risk; asset commonality

摘要

We study experimental coordination games to examine through which transmission channels and under which information conditions a panic-based depositor run at one bank may trigger a panic-based depositor run at another bank. We find that withdrawals at one bank trigger withdrawals at another bank by increasing players' beliefs that other depositors in their own bank will withdraw, making them more likely to withdraw as well. Observed withdrawals only affect depositors' beliefs, and are thus contagious when they form an informative signal about bank fundamentals.