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1.
《International Review of Economics & Finance》1999,8(2):131-146
We present a model of the propagation process of bank runs. A bank failure alone is not sufficient to trigger a panic. In accord with the empirical evidence, runs become contagious only during periods of macroeconomic instability. In addition, we make a clear distinction between illiquidity and insolvency as possible causes of bank failures. We also show that, despite the possibility of runs, the deposit contract is superior to autarky. 相似文献
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Chao Gu 《Journal of Economic Theory》2011,146(1):163-188
Traditional models of bank runs do not allow for herding effects, because in these models withdrawal decisions are assumed to be made simultaneously. I extend the banking model to allow a depositor to choose his withdrawal time. When he withdraws depends on his consumption type (patient or impatient), his private, noisy signal about the quality of the bank's portfolio, and the withdrawal histories of the other depositors. Some of these runs are efficient in that the bank is liquidated before the portfolio worsens. Others are not efficient; these are cases in which the herd is misled. 相似文献
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Laurent Linnemer 《Economics Letters》2012,114(2):150-153
Advertising and price have been shown to signal product quality. Most works limit the number of types to high and low quality. I characterize the optimal separating marketing strategy when both quality and marginal cost are uncertain and continuous variables. 相似文献
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Abstract This paper studies bank runs in a model with private money. We show that allowing claims on demand deposits to circulate as a medium of exchange can help prevent bank runs. In our model, there exists a unique banking equilibrium where no one demands early withdrawals of real goods and agents in need of liquidity use private money to finance consumption. With private money, the unique equilibrium not only eliminates bank runs but also improves banking efficiency. The implications of our model are consistent with the evidence from the banking history of the United States. 相似文献
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It is shown that rent-seeking contests with continuous and independent type distributions possess a unique pure-strategy Nash equilibrium. 相似文献
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Huberto M. Ennis 《Journal of Economic Theory》2003,109(2):220-245
We construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this setting, a bank run has a permanent effect on the levels of the capital stock and of output. In addition, the possibility of a run changes the portfolio choices of depositors and of banks, and thereby affects the long-run growth rate. These facts imply that both the occurrence of a run and the mere possibility of runs in a given period have a large impact on all future periods. A bank run in our model is triggered by sunspots, and we consider two different equilibrium selection rules. In the first, a run occurs with a fixed, exogenous probability, while in the second the probability of a run is influenced by banks’ portfolio choices. We show that when the choices of an individual bank affect the probability of a run on that bank, the economy both grows faster and experiences fewer runs. 相似文献
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We study the Diamond-Dybvig [Bank runs, deposit insurance, and liquidity, J. Polit. Econ. 91 (1983) 401-419] model as developed in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] and Peck and Shell [Equilibrium bank runs, J. Polit. Econ. 111 (2003) 103-123]. We dispense with the notion of a bank as a coalition of depositors. Instead, our bank is a self-interested agent with a technological advantage in record-keeping. We examine the implications of the resulting agency problem for the design of bank contracts and the possibility of bank-run equilibria. For a special case, we discover that the agency problem may or may not simplify the qualitative structure of bank liabilities. We also find that the uniqueness result in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] is robust to our form of agency, but that the non-uniqueness result in Peck and Shell [Equilibrium bank runs, J. Polit. Econ. 111 (2003) 103-123] is not. 相似文献
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This paper studies the intertemporal equilibrium of a barter economy populated with a continuum of finitely-lived overlapping generations. Assuming isoelastic preferences and zero endowments at the beginning and the end of the individuals’ life-span, it proves the existence of an Hopf bifurcation and provides sufficient conditions on parameters for its occurrenceThe authors would like to thank an anonymous referee, Alain Venditti and Francesco Ricci for helpful comments and suggestions 相似文献
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We study the effects of trade liberalization in a Ricardian trade model with a continuum of goods and nonhomothetic preferences. Goods are ordered according to priority, and higher-ranked goods are consumed only by richer households. South (North) has a comparative advantage in the lower- (higher-) ranked goods. South's terms-of-trade unambiguously deteriorate as a result of unilaterally reducing its tariffs. North, by contrast, may experience a terms-of-trade gain when liberalizing its trade. It appears that the redistribution of tariff revenue from rich to poor households within each country increases the burden of trade liberalization for poor households. 相似文献
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Hidehiko Ishihara 《Review of Economic Dynamics》2010,13(4):886-898
In this paper, we study a monetary random-matching model where both goods and money are perfectly divisible, production is costly, and there is no exogenous upper bound on agents' money holdings, information on which is private to the agent. We show that there is a continuum of stationary equilibria where agents have either no money or a set amount, and buyers spend all their money. As in the previous studies, the equilibrium value function is step-like, which emerges as a self-fulfilling prophecy. The endogenous upper bound on agents' money holdings is the result of private information on agents' money holdings. Buyers post an offer that is accepted only by sellers without money, who set a higher value on money. 相似文献
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This paper builds on the Lucas' (1973) signal extraction model to study the time-varying effect of uncertainty in the output-inflation trade-off on inflation, using a monetary model with asymmetric central bank preferences whereby deviations of output (relative to target) from above are weighted differently from deviations from below. The model is investigated empirically using data from the South African Reserve Bank (SARB). We show that the implication of the uncertainty element is to cause the authority to change its indirect control, output by less (and hence change it direct control, interest rate by less) whenever inflation is below or above the target, in line with Brainard's attenuation principle. We also find that SARB's asymmetric output stabilization explains inflation movements significantly, and that the monetary authority seems to be more averse to business cycle recessions than expansions, hence more keen to avoid recessions than expansions. Overall, a more transparent and committed monetary policy practice that would reduce uncertainty over the output-inflation trade-off would be helpful for economic stability. 相似文献
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We examine a generic three-stage game for two players with alternating moves, where the first player can choose the level of adjustment cost to be paid in the last period to modify the action she announced in the first period. In the resulting continuum of commitment options, convexifying the choice between first-mover and second-mover advantage in pure strategies, we characterize when an intermediate adjustment-cost level is chosen in equilibrium. We show that the wastefulness of the adjustment cost may be in the players’ best interest, improving both of their individual net payoffs over making any fraction of the adjustment cost a side-payment from the first to the second player. 相似文献
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The purpose of this paper is to study how the equilibrium prices vary with respect to the initial endowments in a linear
exchange economy with a continuum of agents. We first state the model and give conditions of an increasing strength for existence,
uniqueness and continuity of equilibrium prices. Then, if we restrict ourselves to economies with essentially bounded initial
endowments and if we assume that there is, from the point of view of preferences, only a finite number of types of agents,
we show that, on an open dense subset of the space of initial endowments, the equilibrium price vector is an infinitely differentiable
function of the initial endowments. The proof of this claim is based on a formula allowing to compute the equilibrium price
vector around a so-called “regular” endowment where it is known. 相似文献
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《Structural Change and Economic Dynamics》2008,19(4):315-329
This paper analyzes the effects of increasing trade integration on individual utility when the international specialization pattern is stochastic, i.e. when the range of goods each country produces depends on the realization of a random variable. Using a Ricardian continuum of goods model it is shown that under uncertainty a trade-off emerges. As in the standard deterministic model, higher trade integration reduces prices and increases expected real income. However, higher trade integration, reducing the number of active sectors in the economy, also increases the displacement cost the worker suffers when the sector she is employed into has to close down because, ex-post, the foreign country's competing sector results to be more efficient. Two are the main results of the model. First, it is shown that, under uncertainty and job specificity, increasing trade integration is not always welfare enhancing. Second, there exists an optimal level of protection that is higher the smaller the price reduction induced by trade integration and the more technologically similar are countries. 相似文献
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《Journal of development economics》2005,77(2):477-501
We develop a continuum Ricardian trade model to capture both North–South trade and technology transfer via foreign direct investment (FDI) by multinational enterprises (MNEs). We show that there is a unique range of products produced in the South by MNEs. In the case of an infinitely elastic supply of expatriates, if the ability of Southern workers in absorbing Northern technology increases, then (a) the range of MNE production increases, (b) Northern workers's welfare and Southern workers' welfare change in opposite directions, and (c) the world aggregate welfare increases under certain conditions. We explore issues such as North–South wage gaps, FDI policies and the product cycle. We also derive results under a general supply of expatriates. 相似文献
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Summary In a model with a nonatomic continuum of traders some of which behave strategically while the others remain price-takers, the set of Cournot-Walras equilibria coincides with the set of Walras equilibria. This property is no longer valid when the strategic agents are represented by atoms.It is a pleasure to acknowledge the stimulating discussions we had with R. Amir about the question examined in the present work. 相似文献
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We consider exchange economies with a measure space of agents and for which the commodity space is a separable and reflexive Banach lattice. Under assumptions imposing uniform bounds on marginal rates of substitution, positive results on core-Walras equivalence were established in Rustichini-Yannelis [27] and Podczeck [25]. In this paper we prove that under similar assumptions on marginal rates of substitution, the set of competitive equilibria (and thus the core) is non-empty. 相似文献