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The welfare costs of self-fulfilling bank runs
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Orientador(es)
Resumo(s)
We study the welfare implications of self-fulfilling bank runs and liquidity require- ments, in a neoclassical growth model where banks, facing long-lasting possible runs, can choose in any period a run-proof asset portfolio. In this framework, runs distort banks’ insurance provision against idiosyncratic liquidity shocks, and liquidity requirements resolve this distortion by forcing a credit tightening. Quantitatively, the welfare costs of self-fulfilling bank runs are equivalent to a constant consumption loss of up to 2.5 percent of U.S. GDP. Depending on fundamentals, liquidity requirements might generate small welfare gains, but also increase the welfare costs by up to 1.8 percent.
Descrição
Palavras-chave
financial intermediation bank runs regulation welfare
Contexto Educativo
Citação
Mattana, Elena e Ettore Panetti (2017). "The welfare costs of self-fulfilling bank runs". Instituto Superior de Economia e Gestão – REM Working paper nº 017 - 2017
Editora
ISEG - REM - Research in Economics and Mathematics