具有损失厌恶储户的收支相抵经济中的银行挤兑风险敞口
Bank Run Exposure in a Paycheck-to-Paycheck Economy with Loss-Averse Depositors
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中文总结 AI 辅助
该研究构建含损失厌恶储户的收支相抵经济模型，发现高主观坏状态概率会催生银行挤兑压力状态，利用 Call Report 数据构建银行风险敞口代理，回归加权指标拟合度优于零售份额基准，还揭示行为流动性需求对准备金和信贷的影响。
中文摘要 AI 辅助
我们构建了一个模型，研究具有损失厌恶储户的收支相抵经济中的银行挤兑风险敞口。收入通过活期存款获得，消费棘轮将参考依赖嵌入简约资产定价框架。我们证明，足够高的主观坏状态概率会内生增加流动性需求，产生支持银行挤兑的均衡压力状态。这些状态定义了银行挤兑风险敞口状态空间，并为敞口动态生成鞅表示。利用 Call Report 数据进行的概念验证实证实现，从融资和信贷构成中构建了银行层面的风险敞口代理变量。与零售份额基准相比，回归加权综合指标的拟合度略有提升，且在小型银行以及硅谷银行（SVB）倒闭后期间的放大效应更强。该框架凸显了行为流动性需求如何改变均衡准备金持有量，并可能挤出生产性信贷。
英文摘要
We develop a behavioural model of bank run exposure in a paycheck-to-paycheck economy with loss averse depositors. Income is received through demand deposits, and consumption ratcheting embeds reference dependence in a parsimonious asset-pricing framework. We show that sufficiently high subjective bad-state probabilities endogenously increase liquidity demand and generate equilibrium stress states supporting bank runs. These states define a Bank Run Exposure State Space and yield a martingale representation for exposure dynamics. A proof-of-concept empirical implementation using Call Report data constructs bank-level exposure proxies from funding and lending composition. A regression-weighted composite measure modestly improves fit relative to a retail-share benchmark, with stronger amplification among small banks and during the post-Silicon Valley Bank (SVB) collapse period. The framework highlights how behavioural liquidity demand alters equilibrium reserve holdings and can crowd out productive lending.
