Demand Deposit Contracts and the Probability of Bank Runs
Demand Deposit Contracts and the Probability of Bank Runs
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DOI：
10.2139/ssrn.301287
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发表时间：
2002-02
期刊：
影响因子：
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通讯作者：
Itay Goldstein;Ady Pauzner
中科院分区：
文献类型：
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作者：
Itay Goldstein;Ady Pauzner
戴蒙德和戴布维格(1983)指出，尽管活期存款合同允许银行提供流动性，但它们也使银行面临基于恐慌的银行挤兑。然而，他们的模型没有提供工具来推导银行挤兑均衡的概率，因此无法确定银行是否总体上增加了福利。我们研究了一个修正的模型，在该模型中，基本面决定了哪个均衡发生。这使我们能够计算基于恐慌的银行挤兑的事前概率，并将其与合约联系起来。我们找到了银行整体提高福利的条件，并构建了一种活期存款契约，在流动性收益与挤兑成本之间进行权衡。版权所有，2005年由美国金融协会。
Diamond and Dybvig (1983) show that while demand-deposit contracts let banks provide liquidity, they expose them to panic-based bank runs. However, their model does not provide tools to derive the probability of the bank-run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic-based bank runs and relate it to the contract. We find conditions under which banks increase welfare overall and construct a demand-deposit contract that trades off the benefits from liquidity against the costs of runs. Copyright 2005 by The American Finance Association.