动态银行挤兑中的潜在脆弱性与集群式取款
Latent Fragility and Clustered Withdrawals in Dynamic Banks Runs
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中文总结 AI 辅助
研究基于平均场博弈框架的银行挤兑动态模型，核心机制是潜在脆弱性致取款集群发生，建立均衡存在性并刻画相关均衡，表明无论储户异质性情况如何，集群机制都存在且有唯一阈值均衡。
中文摘要 AI 辅助
我们使用平均场博弈框架研究银行挤兑动态模型，其中更多取款会增加银行倒闭风险。尽管储户受到渐进且异质的冲击，但取款会集群发生。主要机制是潜在脆弱性：易引发挤兑的储户随时间逐渐积累，可能各自倾向等待，但一旦集体退出成为自我实现，他们就会一起取款。我们建立了均衡存在性并刻画了最早和最晚挤兑均衡。无论储户异质性是离散还是连续，集群机制都会出现。一个共同的总体状态协调取款时间并导致唯一的阈值均衡。
英文摘要
Using a mean-field game framework, we study a dynamic model of bank runs in which more withdrawals raise the risk of bank failure. Even though depositors receive gradual and idiosyncratic shocks, withdrawals occur in clusters. The main mechanism is latent fragility: run-prone depositors accumulate gradually over time and may prefer to wait individually, but they withdraw together once collective exit becomes self-fulfilling. We establish equilibrium existence and characterize earliest-run and latest-run equilibria. The clustering mechanism arises whether depositor heterogeneity is discrete or continuous. A common aggregate state coordinates withdrawal timing and leads to a unique threshold equilibrium.
