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Article: A Model of Systemic Bank Runs
Title | A Model of Systemic Bank Runs |
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Authors | |
Issue Date | 2023 |
Publisher | John Wiley & Sons, Ltd. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0022-1082 |
Citation | The Journal of Finance, 2023, Forthcoming How to Cite? |
Abstract | We develop a tractable model of systemic bank runs. The market-based banking system features a two-layer structure: banks with heterogeneous fundamentals face potential runs by their creditors while they trade short-term funding in the asset (interbank) market in response to creditor withdrawals. The possibility of a run on a particular bank depends on its assets' interim liquidation value, and this value depends endogenously in turn on the status of other banks in the asset market. The within-bank coordination problem among creditors and the cross-bank price externality feed into each other. A small shock can be amplified into a systemic crisis. |
Persistent Identifier | http://hdl.handle.net/10722/324614 |
DC Field | Value | Language |
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dc.contributor.author | Liu, X | - |
dc.date.accessioned | 2023-02-20T01:33:08Z | - |
dc.date.available | 2023-02-20T01:33:08Z | - |
dc.date.issued | 2023 | - |
dc.identifier.citation | The Journal of Finance, 2023, Forthcoming | - |
dc.identifier.uri | http://hdl.handle.net/10722/324614 | - |
dc.description.abstract | We develop a tractable model of systemic bank runs. The market-based banking system features a two-layer structure: banks with heterogeneous fundamentals face potential runs by their creditors while they trade short-term funding in the asset (interbank) market in response to creditor withdrawals. The possibility of a run on a particular bank depends on its assets' interim liquidation value, and this value depends endogenously in turn on the status of other banks in the asset market. The within-bank coordination problem among creditors and the cross-bank price externality feed into each other. A small shock can be amplified into a systemic crisis. | - |
dc.language | eng | - |
dc.publisher | John Wiley & Sons, Ltd. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0022-1082 | - |
dc.relation.ispartof | The Journal of Finance | - |
dc.title | A Model of Systemic Bank Runs | - |
dc.type | Article | - |
dc.identifier.email | Liu, X: xuewenl@hku.hk | - |
dc.identifier.authority | Liu, X=rp02627 | - |
dc.identifier.doi | 10.1111/jofi.13213 | - |
dc.identifier.hkuros | 344035 | - |
dc.identifier.volume | Forthcoming | - |