Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics
构建了一个动态不完全信息模型，研究银行间存款交叉持有如何导致金融传染，并证明在唯一均衡中银行倒闭以正概率发生，且传染风险会阻碍银行通过交叉持有完全对冲流动性冲击。
Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium probability of bank failure is uniquely determined. We explore how the cross-holding of deposits motivated by imperfectly correlated regional liquidity shocks can lead to contagious effects conditional on the failure of a financial institution. We show that contagious bank failure occurs with positive probability in the unique equilibrium of the economy and demonstrate that the presence of such contagion risk can prevent banks from perfectly insuring each other against liquidity shocks via the cross-holding of deposits.