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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/67479


    Title: 銀行與存戶之存款契約的賽局模型 ─兼論銀行擠兌的經濟分析
    A Game Theoretic Model of Deposit Contracts between the Bank and the Depositor - Extend Study on the Economic Analysis of Bank Run
    Authors: 林巧馨
    Lin, Chiao Hsin
    Contributors: 王智賢
    Wang, Jue Shyan
    林巧馨
    Lin, Chiao Hsin
    Keywords: 存款契約
    銀行擠兌
    子賽局完全均衡
    Deposit contract
    Bank run
    Lender
    Signal
    Subgame perfect equilibrium
    Date: 2013
    Issue Date: 2014-07-14 11:31:25 (UTC+8)
    Abstract: 本文延伸 Chen and Hasan (2008) 之設定,使用賽局模型討論銀行與存戶互動決策及銀行擠兌之議題。本研究發現於不同的經濟條件下,銀行可能提出兩種不同的均衡存款契約以供存戶接受與否。待存戶接受該存款契約後,存戶根據其流動性偏好型態選擇其提領時間。另一方面,銀行擠兌只可能發生在其中一種存款契約且負面訊息揭露給存戶之情況。
    This paper which extends the settings of Chen and Hasan (2008) uses the game theoretic model to focus on the topics of not only interactive policies between a bank and a depositor but bank runs. Our study discovers that depending on different economic terms, the bank will probably propose two different deposit contracts for depositor to accept or not. After the acceptance of the deposit contract, the depositor will choose his withdrawal time on the basis of different liquidity preferences. On the other hand, bank runs occur only when one of the deposit contracts is proposed and the negative information of the investment project is disclosed to depositors.
    Reference: Alonso, I. (1996), “On avoiding bank runs,” Journal of Monetary Economics, 37, 73-87.
    Chari, V. V. and R. Jaganathan (1988), “Banking Panics, Information, and Rational Expectations Equilibrium,” Journal of Finance, 43, 749–761.
    Chen, Y. (1999), “The Role of the First Come, First Served Rule and Information Externalities,” Journal of Political Economy, 107, 946–968.
    Chen, Y. and I. Hasan (2006) “The Transparency of the Banking System and the Efficiency of Information-Based Bank Runs,” Journal of Financial Intermediation, 15, 307–331.
    Chen, Y. and I. Hasan (2008), “Why Do Bank Run Look Like Panic? A New Explanation, ” Journal of Money, Credit and Banking, 40:2–3,535-546.
    Cooper, R. and T. W. Ross (1998), “Bank Runs: Liquidity Costs and Investment Distortions,” Journal of Monetary Economics, 41, 27-38.
    Diamond, D. W. and P. H. Dybvig (1983), “Bank Runs, Deposit Insurance and Liquidity,” Journal of Political Economy, 91, 401–419.
    Ennis, H. M. and T. Keister (2006), “Bank Runs and Investment Decisions Revisited,” Journal of Monetary Economics, 53,217-232.
    Goldstein, I. and A. Pauzner (2005), “Demand-Deposit Contracts and the Probability of Bank Runs,” Journal of Finance, 60, 1293–1327.
    Maeda, Y. and Y. Sakai (2008), “Microeconomic Foundation of Lender of Last Resort from the Viewpoint of Payments,” Japanese Economic Review, 59, 178-193.
    Samartín, M. (2003), “Should bank runs be prevented?” Journal of Banking and Finance, 27, 977–1000.
    Description: 碩士
    國立政治大學
    財政研究所
    101255009
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1012550091
    Data Type: thesis
    Appears in Collections:[財政學系] 學位論文

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