中文摘要
涉及以流动负债为非流动资产融资的金融安排,常被视为天然可挤兑的。Diamond和Dybvig(1983)表明,当风险分担安排并非最优设计时,情况确实如此。然而,Peck和Shell(2003)以及Ennis和Keister(2009、2016)证明,当流动性需求不确定且提款必须按先到先服务的原则处理时,可挤兑的银行安排可以是受约束有效的。我们表明,这一洞见可扩展至赎回不受顺序服务约束的环境。相反,银行业中与经验证据一致的规模报酬递增,可以在参数空间中生成使受约束有效配置可挤兑的区域。当在大规模赎回事件期间难以达到实现规模经济所需的最低规模、未能达到规模的惩罚较小、且协调性挤兑发生的可能性较低时,可挤兑的银行安排可以是受约束有效的。1 1 作者感谢Todd Keister、Manuel Amador以及两位匿名审稿人提出的十分有益的意见与批评。本文所述观点仅代表作者本人,不一定反映亚特兰大联邦储备银行或联邦储备系统的观点。
Abstract
Financial arrangements involving illiquid assets financed by liquid liabilities are often viewed as inherently runnable. Diamond and Dybvig (1983) show that this is true when risk-sharing arrangements are not optimally designed. Peck and Shell (2003) and Ennis and Keister (2009, 2016), however, demonstrate that runnable banking arrangements can be constrained-efficient when liquidity demand is uncertain and withdrawals must be processed on a first-come, first-served basis. We show that this insight extends to environments in which redemptions are not subject to a sequential service constraint. Instead, increasing returns to scale in banking-consistent with empirical evidence-can generate regions of the parameter space in which the constrained-efficient allocation is runnable. Runnable banking arrangements can be constrained-efficient when the minimum scale required to realize economies of scale is difficult to attain during large redemption events, when the penalty for failing to achieve scale is small, and when the likelihood of a coordinated run is low 1 1 The authors are grateful to Todd Keister, Manuel Amador, and two anonymous referees for very helpful comments and criticisms. The views expressed here are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. .