Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10010380012
Persistent link: https://www.econbiz.de/10011707954
Persistent link: https://www.econbiz.de/10012168802
We develop a general equilibrium model of banks' capital structure, featuring heterogeneous portfolio risk and an imperfectly elastic supply of bank equity stemming from financial market segmentation. In our model, equity is costly and serves as a buffer against insolvency. Banks are ex-ante...
Persistent link: https://www.econbiz.de/10012936146
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual...
Persistent link: https://www.econbiz.de/10013056186
Persistent link: https://www.econbiz.de/10010497149
Persistent link: https://www.econbiz.de/10012520003
Persistent link: https://www.econbiz.de/10012213996
Persistent link: https://www.econbiz.de/10012392174
We examine the portfolio choice of banks in a micro-funded model of runs. To insure riskaverse investors against liquidity risk, competitive banks offer demand deposits. We use global games to link the probability of a bank run to the portfolio choice. Based upon interim information about risky...
Persistent link: https://www.econbiz.de/10012101651