主题：Interbank Runs: A
Network Model of Systemic Liquidity Crunches（银行间挤兑——关于系统性流动性紧缩的网络模型）
主讲人：苏忆南，芝加哥大学布斯商德州扑克大小
博士生
日期：2018年2月28日（周三）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
I study
how interbank lending network structures affect financial fragility. Interbank
lending is beneficial but subject to coordination failure. With interbank
wholesale funding, banks’ balance sheets become inflated, and give the senior
retail depositors a sense of safety to allow more illiquid assets. In interbank
runs, banks run on banks as they mutually reinforce each other to withdraw
interbank lending. Banks’ individually precautionary liquidity hoarding
strategies are connected by the pairwise lending relationships. Mean-field
analysis extracts the systemic behavior from the network of strategic
interactions. I show such dispersed and indirectly linked interactions also
lead to discontinuous and system-wide liquidity crunches, as if the interactions
are centralized. Local insolvency shocks trigger the interbank run if the
network is unraveled beyond a critical point. The model is applied to identify
the optimal capital injection targets of government bailouts, and study the
systemic effects of the proposed regulations on restraining the highly
connected banks.
主讲人简介:
Yinan
Su is a Ph.D. candidate in the Joint Program in Financial Economics at the
University of Chicago. He will join the Johns Hopkins Carey Business School as
an Assistant Professor of Finance from summer 2018. His primary research
interests are banking and networks; secondary research interests are empirical
asset pricing and financial econometrics. Tsinghua University is Yinan Su’s
proud alma mater, from where he earned the bachelor’s degree in economics and
finance (with honor).
