讲座主题：Interbank Runs: A Network Model of Systemic Liquidity Crunches

主讲嘉宾：苏忆南，约翰霍普金斯大学Carey商学院助理教授

讲座时间：2019年7月26日（周五），14:00-15:30

讲座地点：沙河校区主教207

嘉宾简介：苏忆南是约翰霍普金斯大学Carey商学院金融学助理教授，主要从事银行理论、资产定价等领域的研究，近期于Journalof Financial Economics发表论文一篇。苏忆南本科毕业于清华大学，并于2018年获芝加哥大学金融经济学博士学位。

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.