Bank Runs and Interest Rates
Resource
經濟論文叢刊, 42(1), 1-21
Journal
經濟論文叢刊
Journal Volume
42
Journal Issue
1
Pages
1-21
Date Issued
2014-03
Date
2014-03
Author(s)
高一誠
Abstract
The term structure of interest rates and the phenomenon of bank runs are widely but separately studied in the literature. In this paper, we introduce a simple term structure of interest rates in a bank runs model. By allowing depositors to use a symmetric mixed strategy, the probability of bank runs can be derived. Our simulation shows that a low short-term real interest rate or a high long-term real interest rate would raise the probability of bank runs. This result is consistent with recent empirical findings.
Subjects
銀行擠兌機率(probability of bank runs), 利率期限結構(term structure of interestrates), 對稱混合策略 (symmetric mixed strategy)
Type
journal article
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