Signal Effect, Herd Behavior, and the Trigger Time of Bank Runs

論文發表人：楊琬如 (加州大學聖塔巴巴拉校區經濟所博士班)

http://www.vanderbilt.edu/AEA/Annual_Meeting/ASSA07_program.htm

自1990年以來，許多國家因銀行擠兌而造成嚴重的金融風暴。相關研究文獻建議以政府干預例如deposit insurance或suspension convertibility來防止銀行擠兌。但是，deposit insurance會造成銀行的道德風險問題，而suspension convertibility則會犧牲部份存款戶的利益。本篇文章研究在無政府干預情況之下，銀行、企業主、存款戶如何共同協商防範銀行擠兌，而且，因政府干預所衍生之問題不存在於本文所提出的協商機制之中。本研究顯示如果存款戶相信銀行呆帳過多，則協商將失敗並且發生銀行擠兌。因此，銀行將產生誘因去控管借貸品質而道德風險問題不存在。另一方面，在此協商機制中，存款戶具有策略行為，存款戶依據自身最大利益為前提而決定提款時機。因此，於此協商機制中，存款戶的利益將不被犧牲。本文另一貢獻在於發現當市場有過多計畫延後提款的存款戶時，若銀行採用均等服務原則，發生銀行擠兌之機率將大幅提高。

A number of related literatures about bank runs recommend policies such as depositor insurance and suspension of convertibility to prevent bank runs. However, depositor's insurance may contribute to banks' hasty lending and suspension of convertibility will make some depositors' welfare be sacrificed. This paper studies how a bank, an entrepreneur, and depositors renegotiate without the government's intervention to avoid an inefficient bank run and the problem of the bank's moral hazard. This paper shows that the renegotiation does not succeed if the bank is more likely to have bad investment; thus, the problem of moral hazard is eliminated. Depositors have strategic behavior so they are able to obtain their optimal payoff even during the state of bank runs. This paper demonstrates that when the market has numerous patient depositors, service on an equal basis will increase the probability of bank runs.