Banks' liquidity provision and panic runs with recursive preferences

被引：0

作者：

Panetti, Ettore ^{[1
,2
]}

机构：

[1] Univ Naples Federico II, Univ Lisboa, CSEF, UECE, Lisboa, Italy

[2] Univ Naples Federico II, Complesso Univ Monte St Angelo, Dept Econ & Stat, Via Cintia 21, I-80126 Naples, Italy

来源：

FINANCE RESEARCH LETTERS | 2022年 / 47卷

关键词：

Financial intermediation; Bank runs; Recursive preferences; Relative risk aversion; Intertemporal elasticity of substitution; TEMPORAL BEHAVIOR; ASSET RETURNS; RISK-AVERSION; LONG-RUN; SUBSTITUTION; CONSUMPTION; RESOLUTION;

D O I：

10.1016/j.frl.2021.102661

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

How important is it to distinguish relative risk aversion (RRA) from the intertemporal elasticity of substitution (IES) to study banks' provision of liquidity insurance and the effectiveness of deposit freezes against depositors' panic runs? To answer these questions, I develop a Diamond- Dybvig model of banking in which depositors feature recursive preferences. In equilibrium, banks provide liquidity insurance, and a time-consistent deposit freeze prevents panic runs, only if depositors' preferences for an early resolution of uncertainty are sufficiently strong, i.e. if RRA is sufficiently larger than the inverse of IES.

引用

页数：7

共 19 条

[1] Information Quality and Long-Run Risk: Asset Pricing Implications [J].