无总体风险的系统性银行挤兑:流动性分配不当如何引发偿付能力危机

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-08-31 DOI:10.1016/j.jfineco.2024.103929
Lukas Altermatt , Hugo van Buggenum , Lukas Voellmy
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引用次数: 0

摘要

我们建立了一个自我实现银行挤兑的一般均衡模型。关键的新颖之处在于银行系统资产与负债的关联方式。银行向企业家发放贷款,企业家向家庭出售商品,而家庭则通过赎回银行存款来支付商品。因此,银行资产的收益取决于家庭能否提取存款。在挤兑中,并非所有希望消费的家庭都能提取存款,因为银行的部分现金储备最终落入了没有消费需求的家庭手中。这种流动性的错配降低了企业家的收入和银行资产的回报,从而使挤兑合理化。由于对商品市场需求的负面影响,在挤兑中限制赎回的干预措施可能会弄巧成拙。我们展示了如何通过冻结存款和赎回惩罚的组合以及提供紧急流动性来防止挤兑。
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Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis

We develop a general equilibrium model of self-fulfilling bank runs. The key novelty is the way in which the banking system’s assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to households, which in turn pay for the goods by redeeming bank deposits. The return on bank assets is thus contingent on households being able to withdraw their deposits. In a run, not all households that wish to consume manage to withdraw, since part of banks’ cash reserves end up in the hands of households without consumption needs. This misallocation of liquidity lowers revenues of entrepreneurs and bank asset returns, thereby rationalising the run. Interventions that restrict redemptions in a run can be self-defeating due to their negative effect on demand in goods markets. We show how runs can sometimes be prevented with combinations of deposit freezes and redemption penalties as well as with the provision of emergency liquidity.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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