银行挤兑风险与宏观审慎政策

Bank Run Risk and Macroprudential Policy

在以银行为主体的金融体系中,如何避免银行挤兑并完善金融监管体系是中国在深化金融体制改革过程中面临的重要问题。本文基于Diamond和Dybvig的金融中介理论,构建了一个多部门银行挤兑模型,通过考虑家庭部门取款需求的异质性与银行利润最大化的问题,分析由新闻冲击所导致的银行挤兑风险。研究发现,银行的利润最大化行为导致更多资金流向非流动性资产,进而产生流动性错配问题,导致银行在面临挤兑问题时产生更大的福利损失。本文进而引入流动性覆盖率对基准模型进行扩展,并分析该宏观审慎政策工具的经济效应,进一步分析发现:最优流动性覆盖率要求能够显著降低银行挤兑风险,进而降低社会总福利损失,实现资源的合理配置;最优流动性覆盖率内生于家庭的异质性,过高或过低的流动性覆盖率要求则无法降低银行挤兑风险;此外,当模型存在不确定性时,流动性覆盖率的政策成本会大幅度增加。本文研究对于防范银行挤兑风险与完善宏观审慎政策体系具有重要的理论价值与现实意义。

Banks can provide illiquid loans to enterprises,which are financed by the demand deposit which allows depositors to withdraw funds at any time,that is,liquidity creation.However,the potential mismatch of liquidity in the banks balance sheet caused by liquidity c reation may lead to bank runs.It is obvious that households will tend to withdraw funds when they hold negative expectations about the banks.Therefore,bank runs have always been a major obstacle faced by banks and received significant attention from academia and governments despite the continuous improvement of financial regulation and supervision.An effective means to deal with bank runs is deposit insurance.However,it has been proven to have many limitations such as moral hazard in recent literatures,thus we try to find some macroprudential policies to address bank runs in this article.This article aims to extend the Diamond-Dybvig model(DD model)and establish a bank run model that includes a household sector,a production sector,a banking sector,and a government sector.In period 0,financial intermediaries absorb savings from the household sector and make their investment decision at the end of this period;due to the news shock,the withdrawal decisions of the heterogeneous households determine whether a bank run occur,and the impatient household sector begins to consume in period 1;then all deposits are returned,and the patient household sector begins to consume in period 2.Compared with the DD model,banks can freely choose investment portfolios(liquid assets or loans)to maximize their profits and face the risk of early withdrawals by patient households in our model.In addition,this model introduces a government sector to analyze the impact of liquidity coverage ratio on bank run risk and social welfare loss when bank runs happen due to irrational expectations of household sector.Thus,this paper can provide theoretical and practical significance for the establishment of our country's macroprudential framework.We find that banks can help form the optimal allocation of resources in the economy through liquidity creation.But when they choose risky investment decisions according to profit maximization,bank runs often occur due to insufficient liquidity,thereby destroying the optimal allocation of resources and forming a run equilibrium.As a result,the economy suffers an efficiency loss,and the welfare of households decreases sharply.The liquidity coverage ratio could prevent bank run risks from two aspects.On the one hand,liquidity coverage ratio could force banks to hold more liquid assets,thereby improving the bank s asset structure and directly reducing welfare losses caused by bank runs;on the other hand,liquidity coverage ratio could ensure that banks can demonstrate to all households that they can“provide household deposits which they commit at any time”when faced with early withdrawals by some households in period 1,which can help patient households form good expectations towards the bank,thereby reducing the impact of news shocks on early withdrawals by patient households.However,liquidity coverage ratio regulation is not cost-free.This article explores the optimal liquidity coverage ratio and finds that while liquidity coverage ratio helps increase banks liquid assets,it also leads to the production sector receiving less funds,thus a loss in the efficiency of the economy.In addition,this paper further expands the model to explore the optimal liquidity coverage ratio when there is uncertainty in household heterogeneous shock and news shock.We find that when uncertainty exists,the liquidity coverage ratio set by the government to prevent bank runs needs to cover the size of households with early withdrawals under the upper bound of the shocks.Therefore,the bank's profitability would further decline in this case,which implies that the funds towards production will further decrease,and the efficiency of the economy further decline.This article provides a general model framework based on the DD model that can be used for policy and welfare analysis and enriches the theoretical model of bank runs and macroprudential policy in China.Meanwhile,this article introduces a macroprudential policy,that is,liquidity coverage ratio,and explores the optimal ratio and transmission channel of this policy,providing theoretical enlightenment for the government to formulate and implement related macroprudential policies,which is of great significance in the future policy design.Based on the theoretical mechanism of bank run risk and the macroprudential policy described by the DD model,this paper provides a potential model framework for future theoretical analysis of bank runs,macroprudential policies,and other economic policies to explore the effects of different policy combinations.In addition,this article does not introduce more complex information friction situations in the model.According to the existing literature,information friction is often one of the important factors that lead to bank runs.Therefore,how to introduce information friction into the theoretical models of bank run is also an important future research direction.