【作者】 李爱香；

【导师】 朱锡庆；

【作者基本信息】 长沙理工大学 ， 应用数学， 2005， 硕士

【摘要】 大多数有关银行挤兑的文献将银行经营的资产部分作为给定的,并假定银行收益是由外生给定的生产函数决定的。本文的银行挤兑模型将企业部门内生化,用一般均衡方法展现了银行收益的来源,并说明了流动性冲击从企业部门通过金融系统传播到存款者的过程。模型表明从存款者的均衡战略到经济中盛行的最优合约之间存在一一对应的映射。在LOLR 不存在的情况下,当存款者拥有银行基本面的完全信息时,存款者战略存在多重均衡,即所有人挤兑或没有人挤兑。但是,当存款者拥有银行基本面的不完全信息时,存款者只有在收到低于一个特定临界值的银行基本面信号时才会挤兑,故一般情况下存款者战略只存在唯一的均衡。因此,完全信息相对于少量的噪音来说是不稳定的。在拥有银行基本面完全信息的LOLR 存在的情况下,经济能够回到银行挤兑不存在时的最优水平。因此在这种情况下,LOLR 显然是帕累托改进的。但是如果LOLR的信息集是有噪音的,LOLR 是帕累托改进的结论就变得模糊。一方面,LOLR 是事后有效率的,因为它避免了无效率的清算。另一方面,拥有不完全信息的LOLR 容易引发道德风险问题,从而是事前无效率的。本文表明:由于道德风险问题的存在,有噪音的最后贷款人增加了银行系统无清偿力的概率。本文量化了事前无效率的成本和事后有效率的收益。结果表明:只要LOLR 信息集里的噪音足够低,事后有效率的收益可以大于事前无效率的成本,这时有噪音的LOLR 是帕累托改进的。本文模型的政策含义是银行系统对LOLR 来说应该尽可能地透明。更多还原

【Abstract】 Most of the literature on bank runs takes the asset side of the bank activities as given and assumes that the bank’s returns are determined by an exogenously given production function. The model of bank runs in this paper lets entrepreneurial sector endogened and gives a clear picture of where the bank’s return comes from by using general equilibrium method, and shows how liquidity shock is transmitted from the entrepreneurial sector to the depositors via the banking system. This model shows that there exists a one to one mapping from the depositors’equilibrium strategy to an optimal contract prevailing in the economy. When there is no LOLR and the depositors have perfect information regarding the fundamentals of the bank, there exist multiple equilibria in depositors’strategies, where either everyone runs or no one runs. However, when the depositors have imperfect information regarding the fundamentals of the bank, the depositors who receive a signal below threshold will run, so there is a unique equilibrium in the depositors’strategy. Thus perfect information can actually be destablising relative to a small amount of noise. When there exist imperfectly informed LOLR, the economy can come back to the optimal level where no bank runs exist. In this case, LOLR is Pareto improvement in evidence. But when LOLR have imperfect information regarding the fundamentals of the bank, the conclusion that LOLR is Pareto improvement falls into ambiguity. On the one hand, LOLR is productive ex post as it can avoid inefficient liquidation. On the other hand, the presence of an imperfectly informed LOLR is conductive to the moral hazard problem, So it is ex ante inefficiency. This paper shows that the probability of insolvency of the banking system actually increases in the presence of the LOLR. This paper quantifies the expected costs of inefficientcy and benefits of efficiency. This paper shows that at enough low noise levels the benefits will outweigh the costs, so an imperfectly informed LOLR is Pareto improvement. The policy implication that stems from our model is that the banking system be as transparent as possible to the LOLR.更多还原