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『社会科学研究』第64巻第3号

Bank Runs and Interbank Markets: A Heuristic Example
西島益幸/NISHIJIMA Masuyuki

Keywords: Bank runs, Interbank Markets, Coordination Failure, Bayesian Perfect Equilibrium,Mismatch of Maturity between Lending and Borrowing

abstract

This paper offers an example of the game in which banks make lending and borrowing decisions while depositors choose when to withdraw, to better understand how the interbank market rescues a bank at risk of bank runs. Our example is based on Postlewaite & Vives (1987) and adds banks and the interbank market. We show that there is a Bayesian perfect equilibrium in which the interbank market collapses and a bank run occurs. There is also an equilibrium where banks refuse to lend and a bank run happens when a situation of the bank run (strategic withdrawal) is associated with a situation of default of the rescue loan. Therefore, the interbank market alone does not necessarily save a bank at risk of bank runs.

社會科學研究 第64巻 第3号(2013-03-26発行)

(更新日: 2013年 4月 4日)