https://scholars.lib.ntu.edu.tw/handle/123456789/54269
標題: | 銀行擠兌與利率結構 Bank Runs and Interest Rates |
作者: | 陳思寬 高一誠 |
關鍵字: | 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) | 公開日期: | 三月-2014 | 卷: | 42 | 期: | 1 | 起(迄)頁: | 1-21 | 來源出版物: | 經濟論文叢刊 | 摘要: | 文獻上關於銀行擠兌與利率期限結構分別有諸多探討。本文將簡單的利率期限結構導入銀行擠兌模型, 並允許存款者使用對稱之混合策略, 以求出均衡時的銀行擠兌機率。模型的模擬結果顯示出, 較低的短期實質利率或較高的長期實質利率, 皆會提高銀行擠兌機率。此理論結果與近期的實證研究結論一致。 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. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/282092 |
顯示於: | 經濟學系 |
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4201_201403_1.pdf | 11.88 MB | Adobe PDF | 檢視/開啟 |
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