Contagious Bank Runs and Committed Liquidity Support

• 成果类型: Article
• 署名作者: Li, Zhao; Ma, Kebin
• 署名单位: Zhongnan University of Economics & Law; University of Warwick
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4258
• 发表日期: 2022
• 页码: 9152-9174
• 关键词: committed liquidity support; global games; Bank runs

摘要

In a crisis, regulators and private investors can find it difficult, if not impossible, to tell whether banks facing runs are insolvent or merely illiquid. We introduce such an information constraint into a global-games-based bank run model with multiple banks and aggregate uncertainties. The information constraint creates a vicious cycle between contagious bank runs and falling asset prices and limits the effectiveness of traditional emergency liquidity assistance programs. We explain how a regulator can set up committed liquidity support to contain contagion and stabilize asset prices even without information on banks' solvency, rationalizing some recent developments in policy practices.