Arbeitspapier
Bank runs, portfolio choice, and liquidity provision
We examine the portfolio choice of banks in a micro-funded model of runs. To insure riskaverse 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2019-37
- Klassifikation
-
Wirtschaft
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Financial institutions
Financial stability
Wholesale funding
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ahnert, Toni
Elamin, Mahmoud
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2019
- DOI
-
doi:10.34989/swp-2019-37
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ahnert, Toni
- Elamin, Mahmoud
- Bank of Canada
Entstanden
- 2019
Ähnliche Objekte (12)
Volatility and liquidity costs
Liquidity transformation and bank capital requirements
Adverse selection, liquidity, and market breakdown
Rollover risk, liquidity and macroprudential regulation
Bank runs, bank competition and opacity
Strategic complementarities and money market fund liquidity management
Prudential liquidity regulation in banking: A literature review
Time-consistent management of a liquidity trap with government debt
The role of foreign exchange dealers in providing overnight liquidity
An application of shapley value cost allocation to liquidity savings mechanisms
Price formation and liquidity provision in short-term fixed income markets
Bond liquidity premia
Volatility and liquidity costs
Liquidity transformation and bank capital requirements
Adverse selection, liquidity, and market breakdown
Rollover risk, liquidity and macroprudential regulation
Bank runs, bank competition and opacity
Strategic complementarities and money market fund liquidity management
Prudential liquidity regulation in banking: A literature review
Time-consistent management of a liquidity trap with government debt
The role of foreign exchange dealers in providing overnight liquidity
An application of shapley value cost allocation to liquidity savings mechanisms
Price formation and liquidity provision in short-term fixed income markets
Bond liquidity premia
Volatility and liquidity costs
Liquidity transformation and bank capital requirements
Adverse selection, liquidity, and market breakdown
Rollover risk, liquidity and macroprudential regulation
Bank runs, bank competition and opacity
Strategic complementarities and money market fund liquidity management
Prudential liquidity regulation in banking: A literature review
Time-consistent management of a liquidity trap with government debt
The role of foreign exchange dealers in providing overnight liquidity
An application of shapley value cost allocation to liquidity savings mechanisms
Price formation and liquidity provision in short-term fixed income markets