SHORT-TERM DEBT IN INTERNATIONAL BANKING CRISES
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This paper explores how a bank run can occur when a bank takes into account short-term capital inflow from abroad. My model is an extension of the Diamond-Dybvig model to include the possibility that short-term liquidity needs can be met by borrowing from abroad. In the model, it is more efficient to meet short-term liquidity needs this way than by holding liquid domestic assets. I show conditions under which a “bad” equilibrium exists in which pessimistic foreign investors withhold their investments, making a bank run the equilibrium strategy for domestic agents and making those expectations self-fulfilling.
Abstract
This paper explores how a bank run can occur when a bank takes into account short-term capital inflow from abroad. My model is an extension of the Diamond-Dybvig model to include the possibility that short-term liquidity needs can be met by borrowing from abroad. In the model, it is more efficient to meet short-term liquidity needs this way than by holding liquid domestic assets. I show conditions under which a “bad” equilibrium exists in which pessimistic foreign investors withhold their investments, making a bank run the equilibrium strategy for domestic agents and making those expectations self-fulfilling.
참고문헌 (5)
- Chang, Roberto, "Banks, debt maturity, and financial crises", Journal of International Economics, 51, pp.164~194 (2000)
- Cooper, Russell, "Bank runs: Liquidity costs and investment distortion", Journal of Monetary Economics, 41, pp.27~38 (1998)
- Cooper,Russell, "Coordination Games: Complementarities and Macroeconomics" (1999), University Press
- Diamond, Douglas W., "Bank run, Deposit Insurance and Liquidity", Journal of Political Economy, 91 (1983)
- Freeman, Scott, "Banking as the Provision of Liquidity", Journal of Business, 61(1), pp.45~64 (1988)