Bank runs, portfolio choice, and liquidity provision / by Toni Ahnert and Mahmoud Elamin. : FB3-5/2019-37E-PDF
"We examine the portfolio choice of banks in a micro-funded model of runs. To insure risk averse investors against liquidity risk, competitive banks offer demand deposits. We use global games to link the probability of a bank run to the portfolio choice. Based upon interim information about risky investment, banks liquidate investments to hold a safe asset. This partial hedge against investment risk reduces the withdrawal incentives of investors for a given deposit rate. As a result of the portfolio choice, (i) banks provide more liquidity ex ante (so banks offer a higher deposit rate), and (ii) the welfare of investors increases"--Abstract.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.879713&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Bank runs, portfolio choice, and liquidity provision / by Toni Ahnert and Mahmoud Elamin. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2019-37 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "September 2019." Includes bibliographical references (pages 27-28). |
| Information sur la publication | Ottawa : Bank of Canada, 2019. ©2019 |
| Auteur / Contributeur | Ahnert, Toni, author. Elamin, Mahmoud, author. |
| Description | 1 online resource (ii, 47 pages) : figures. |
| Numéro de catalogue |
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| Descripteurs | Financial institutions Investments |