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:
publications.gc.ca/pub?id=9.879713&sl=0
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| Title | Bank runs, portfolio choice, and liquidity provision / by Toni Ahnert and Mahmoud Elamin. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | 1 online resource (ii, 47 pages) : figures. |
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