Bank Runs and Interest Rates

銀行擠兌與利率結構

10.6277/TER.2014.421.1

陳思寬(Shi-kuan Chen)；高一誠(Yi-Cheng Kao)

銀行擠兌機率 ； 利率期限結構 ； 對稱混合策略 ； probability of bank runs ； term structure of interest rates ； symmetric mixed strategy

經濟論文叢刊

42卷1期（2014 / 03 / 01）

1 - 21

英文

文獻上關於銀行擠兌與利率期限結構分別有諸多探討。本文將簡單的利率期限結構導入銀行擠兌模型，並允許存款者使用對稱之混合策略，以求出均衡時的銀行擠兌機率。模型的模擬結果顯示出，較低的短期實質利率或較高的長期實質利率，皆會提高銀行擠兌機率。此理論結果與近期的實證研究結論一致。

The term structure of interest rates and the phenomenon of bank runs are widely but separately studied in the literature. In this paper, we introduce simple term structure of interest rates in a bank runs model. By allowing depositors to use a symmetric mixed strategy, the probability of bank runs can be derived. Our simulation shows that a low short-term real interest rate or a high long-term real interest rate would raise the probability of bank runs. This result is consistent with recent empirical findings.

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