システム情報系 社会工学域
平成24年度 ファカルティ・セミナー
(Faculty Seminar)
日 時 : 2013年5月23日(木) 16:30-18:00
場 所 : 第三学群F棟 3F1102
講演者 : 松岡 多利思 [
首都大学東京 都市教養学部 ]
司会者 : 石川 竜一郎
演 題 : Bank
Panics and Volatility of Asset Prices
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abstract
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This paper extends the Diamond and
Dybvig (1983) model to study how the possibility of a bank run affects the
investment decisions of banks and asset pricing. It is assumed that a bank run
is triggered by extrinsic sunspot variables. The model generates two types of
equilibria: a no-default equilibrium and a mixed-equilibrium. In the no-default
equilibrium, banks promise payments low enough to pay all depositors during bank
runs and remain solvent. In the mixed equilibrium, ex ante identical banks
choose different strategies, and some banks default with positive probability.
The latter equilibrium exists when the probability of runs is sufficiently low.