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 : 2013523()  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

 

 

                           abstract

 

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.