| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11481 |
| DP11481 Liquidity Runs | |
| Enrico Perotti | |
| 发表日期 | 2016-08-30 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Can the risk of losses upon premature liquidation produce bank runs? We show how a unique run equilibrium driven by asset liquidity risk arises even under minimal fundamental risk. To study the role of illiquidity we introduce realistic norms on bank default, such that mandatory stay is triggered before all illiquid assets are sold. Since illiquid assets are not available in a run, asset liquidity risk has a concave effect on run incentives, quite unlike fundamental risk. Runs are rare when asset liquidity is abundant, become more frequent as it falls and decrease again under very low asset liquidity. The socially optimal demandable debt contract limits inessential runs by targeting a high rollover yield. However, the private choice minimizes funding costs, tolerating more frequent runs when illiquid states are sufficiently rare. |
| 主题 | Financial Economics |
| 关键词 | Liquidity risk Bank runs Global games Demandable debt Mandatory stay |
| URL | https://cepr.org/publications/dp11481 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540295 |
| 推荐引用方式 GB/T 7714 | Enrico Perotti. DP11481 Liquidity Runs. 2016. |
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