講座主題：Interbank Runs: A Network Model of Systemic Liquidity Crunches

主講嘉賓：蘇憶南，約翰霍普金斯大學Carey商學院助理教授

講座時間：2019年7月26日（周五），14:00-15:30

講座地點：沙河校區主教207

嘉賓簡介：蘇憶南是約翰霍普金斯大學Carey商學院金融學助理教授，主要從事銀行理論、資産定價等領域的研究，近期于Journalof Financial Economics發表論文一篇。蘇憶南本科畢業于清華大學，并于2018年獲芝加哥大學金融經濟學博士學位。

内容摘要：I study how interbank lending network structures affect financialfragility. Interbank lending is beneficial but subject to coordination failure.With interbank wholesale funding, banks’ balance sheets become inflated, andgive the senior retail depositors a sense of safety to allow more illiquidassets. In interbank runs, banks run on banks as they mutually reinforce eachother to withdraw interbank lending. Banks’ individually precautionaryliquidity hoarding strategies are connected by the pair wise lendingrelationships. Mean-field analysis extracts the systemic behavior from thenetwork of strategic interactions. I show such dispersed and indirectly linkedinteractions also lead to discontinuous and system-wide liquidity crunches, asif the interactions are centralized. Local insolvency shocks trigger theinterbank run if the network is unraveled beyond a critical point. The model isapplied to identify the optimal capital injection targets of governmentbailouts, and study the systemic effects of the proposed regulations onrestraining the highly connected banks.