Contagious Bank Runs and Committed Liquidity Support
研究了在信息约束下，银行挤兑与资产价格下跌的恶性循环如何削弱传统紧急流动性援助的效果，并解释了监管者如何通过承诺流动性支持来遏制传染和稳定资产价格，即使不了解银行偿付能力。
In a crisis, regulators and private investors can find it difficult, if not impossible, to tell whether banks facing runs are insolvent or merely illiquid. We introduce such an information constraint into a global-games-based bank run model with multiple banks and aggregate uncertainties. The information constraint creates a vicious cycle between contagious bank runs and falling asset prices and limits the effectiveness of traditional emergency liquidity assistance programs. We explain how a regulator can set up committed liquidity support to contain contagion and stabilize asset prices even without information on banks’ solvency, rationalizing some recent developments in policy practices. This paper was accepted by Agostino Capponi, finance. Funding: This work was supported by the National Natural Science Foundation of China [Project 71803024]. Z. Li also acknowledges financial support from “Innovation and Talent Base for Digital Technology and Finance” of China [Project B21038]. Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2021.4258 .