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作者：Freixas, Xavier; Rochet, Jean-Charles; Parigi, Bruno M.
作者单位：Pompeu Fabra University; Universite de Toulouse; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education; University of Padua
摘要：The classical Bagehot conception of a Lender of Last Resort (LOLR) that lends to illiquid banks has been criticized on two grounds: On the one hand, the distinction between insolvency and illiquidity is not clear-cut; on the other, a fully collateralized repo market allows central banks to provide the adequate aggregate amount of liquidity and leave to the banks the responsibility of lending uncollateralized. The object of this paper is to analyze these issues rigorously by providing a framewo...
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作者：Dasgupta, Amil
作者单位：University of London; London School Economics & Political Science
摘要：Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium probability of bank failure is uniquely determined. We explore how the cross-holding of deposits motivated by imperfectly correlated regional liquidity shocks can lead to contagious effects conditional on the failure of a financial institution. We show that contagious bank failure occurs with positive probability in the unique equilibrium of the econo...
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作者：Guembel, Alexander; Sussman, Oren
作者单位：University of Oxford; University of Oxford; University of Oxford
摘要：Motivated by the observation that exchange-rate management resembles market-making, we use microstructure theory to conduct a welfare analysis of exchange-rate management, including the corner solutions of a free float and a fixed peg. We show that a policy that smoothes out exchange-rate fluctuations needs to trade off the welfare gain due to lower risk exposure of local producers against the trading losses that the policy would generate due to speculation. We identify the conditions under wh...
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作者：Schnabel, Isabel; Shin, Hyun Song
作者单位：Max Planck Society; University of London; London School Economics & Political Science
摘要：The financial crisis that swept across northern Europe in 1763 bears a strong resemblance to more recent episodes of financial distress. The combination of the specific contractual arrangements at the time, interlocking credit relationships, and the high leverage of market participants triggered distress sales of assets, leading to a severe liquidity crisis. Hence, the crisis is an early instance of contagion on the asset side of the balance sheet. We highlight the salient features of the 1763...
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作者：Allen, Franklin; Gale, Douglas
作者单位：University of Pennsylvania; New York University
摘要：We define a financial system to be fragile if small shocks have disproportionately large effects. In a model of financial intermediation, we show that small shocks to the demand for liquidity cause either high asset-price volatility or bank defaults or both. Furthermore, as the liquidity shocks become vanishingly small, the asset-price volatility is bounded away from zero. In the limit economy, with no shocks, there are many equilibria. However, if banks face idiosyncratic liquidity shocks, th...
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作者：Rochet, Jean-Charles; Vives, Xavier
作者单位：Universite de Toulouse; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education; INSEAD Business School; Pompeu Fabra University; ICREA
摘要：The classical doctrine of the Lender of Last Resort (LOLR), elaborated by Bagehot (1873), asserts that the central bank should lend to illiquid but solvent banks under certain conditions. Several authors have argued that this view is now obsolete: in modern interbank markets, a solvent bank cannot be illiquid. This paper provides a possible theoretical foundation for rescuing Bagehot's view. Our theory does not rely on the multiplicity of equilibria that arises in classical models of bank runs...
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作者：Cukierman, Alex; Goldstein, Itay; Spiegel, Yossi
作者单位：Tel Aviv University; Tilburg University; University of Pennsylvania
摘要：We develop a framework that makes it possible to study, for the first time, the strategic interaction between the ex ante choice of exchange-rate regime and the likelihood of ex post currency attacks. The optimal regime is determined by a policymaker who trades off the loss from nominal exchange-rate uncertainty against the cost of adopting a given regime. This cost increases, in turn, with the fraction of speculators who attack the local currency. Searching for the optimal regime within the c...
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作者：Fecht, Falko
作者单位：Deutsche Bundesbank
摘要：An economy in which deposit-taking banks of a Diamond and Dybvig style and a financial market coexist is modeled in a simple framework closely related to Diamond (1997). Solely depending on the fraction of naive households who cannot efficiently invest directly in the corporate sector, two different types of financial systems emerge. With the fraction comparatively low, the evolving financial system can be interpreted as market-oriented, whereas a high fraction brings about a bank-dominated fi...
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作者：Ehrmann, Michael; Worms, Andreas
作者单位：European Central Bank; Deutsche Bundesbank
摘要：This paper argues that the existence of bank networks is important for banks' reactions to monetary policy. For the example of Germany, it is found that small banks access the interbank market indirectly through the large head institutions of their respective network organizations. The interbank flows within these networks allow smaller banks to manage their funds in a fashion that helps them in keeping their loan portfolio with nonbanks relatively unaffected after a monetary contraction. This...
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作者：Allen, Franklin; Bolton, Patrick
作者单位：University of Pennsylvania; Princeton University
