标题:Banking, Liquidity, and Bank Runs in an Infinite Horizon Economy
作者:Mark Gertler & Nobuhiro Kiyotaki
期刊:AER 2015,105(7)
摘要:
We develop an infinite horizon macroeconomic model of banking that allows for liquidity mismatch and bank runs. Whether a bank run equilibrium exists depends on bank balance sheets and an endogenous liquidation price for bank assets. While in normal times a bank run equilibrium may not exist, the possibility can arise in recessions. A run leads to a significant contraction in intermediation and aggregate economic activity. Anticipations of a run have harmful effects on the economy even if the run does not occur. We illustrate how the model can shed light on some key aspects of the recent financial crisis.
本文的特点:
在本文之前,银行挤兑理论以Diamond & Dybvig(1983)为代表,几乎都是建立在两期或者三期模型的基础之上,而本文在Kiyotaki & Moore(1997)和Gertler & kiyotaki(2011)的基础上,仅以两个新增公式就解决了银行挤兑问题的内生触发机制。并且,在数值模拟层面,在定性和定量层面能够较好地模拟贝尔斯登和雷曼兄弟倒闭对信贷利差和资产价格的影响。