1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 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
作者 林巧馨
Lin, Chiao Hsin
貢獻者 王智賢
Wang, Jue Shyan
林巧馨
Lin, Chiao Hsin
關鍵詞 存款契約
銀行擠兌
子賽局完全均衡
Deposit contract
Bank run
Lender
Signal
Subgame perfect equilibrium
日期 2013
上傳時間 14-Jul-2014 11:31:25 (UTC+8)
摘要 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.
參考文獻 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.
描述 碩士
國立政治大學
財政研究所
101255009
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1012550091
資料類型 thesis
dc.contributor.advisor 王智賢zh_TW
dc.contributor.advisor Wang, Jue Shyanen_US
dc.contributor.author (Authors) 林巧馨zh_TW
dc.contributor.author (Authors) Lin, Chiao Hsinen_US
dc.creator (作者) 林巧馨zh_TW
dc.creator (作者) Lin, Chiao Hsinen_US
dc.date (日期) 2013en_US
dc.date.accessioned 14-Jul-2014 11:31:25 (UTC+8)-
dc.date.available 14-Jul-2014 11:31:25 (UTC+8)-
dc.date.issued (上傳時間) 14-Jul-2014 11:31:25 (UTC+8)-
dc.identifier (Other Identifiers) G1012550091en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67479-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政研究所zh_TW
dc.description (描述) 101255009zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents CONTENTS
1. Introduction 4
2. The Model 7
3. The Equilibrium 10
【Lemma 1】 14
【Proposition 1】 18
4. Bank Run 21
【Proposition 2】 21
【Corollary 1】 22
5. Concluding Remark 24
References 26		zh_TW
dc.format.extent 360675 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1012550091en_US
dc.subject (關鍵詞) 存款契約zh_TW
dc.subject (關鍵詞) 銀行擠兌zh_TW
dc.subject (關鍵詞) 子賽局完全均衡zh_TW
dc.subject (關鍵詞) Deposit contracten_US
dc.subject (關鍵詞) Bank runen_US
dc.subject (關鍵詞) Lenderen_US
dc.subject (關鍵詞) Signalen_US
dc.subject (關鍵詞) Subgame perfect equilibriumen_US
dc.title (題名) 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zh_TW
dc.title (題名) A Game Theoretic Model of Deposit Contracts between the Bank and the Depositor - Extend Study on the Economic Analysis of Bank Runen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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.		zh_TW