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.
Permanent link to this Catalogue record:
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Bank runs, portfolio choice, and liquidity provision / by Toni Ahnert and Mahmoud Elamin. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2019-37 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "September 2019." Includes bibliographical references (pages 27-28). |
| Publishing information | Ottawa : Bank of Canada, 2019. ©2019 |
| Author / Contributor | Ahnert, Toni, author. Elamin, Mahmoud, author. |
| Description | 1 online resource (ii, 47 pages) : figures. |
| Catalogue number |
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| Subject terms | Financial institutions Investments |
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