Sovereign Defaults, Bank Runs, and Contagion
نویسندگان
چکیده
منابع مشابه
Moral hazard , bank runs and contagion
We study banking with ex ante moral hazard. Resolving the mis-alignment of the incentives between banks and depositors requires early liquidation with positive probability: e¢cient risk-sharing between depositors is no longer implementable. In a closed region with a single bank, we show that (i) with costless and perfect monitoring, contracts with bank runs o¤ the equilibrium path of play impro...
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a r t i c l e i n f o Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises. The conventional view is that the domestic turmoil is the consequence of foreign retaliation, although there is no clear empirical evidence on " classic " default penalties. This paper emphasizes, instead, a direct link between sovereign defaults and liquidity crises buildin...
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We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference defaultfree filtration in the random measure framework. On each default scenario, the formula can be interpreted as a Radon-Nikodym derivative of randommea...
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In this paper we provide a novel explanation of debt crises in emerging markets. In our model, crises arise because of the inability to punish private debtors when many of them default at the same time. We construct an optimal contracting model in which a successful entrepreneur repays the domestic lender yet an unsuccessful one defaults and liquidates his assets. However, the inability to liqu...
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Traditional models of bank runs do not allow for herding e¤ects, because in these models withdrawal decisions are assumed to be made simultaneously. I extend the banking model to allow a depositor to choose his withdrawal time. When he withdraws depends on his consumption type (patient or impatient), his private, noisy signal about the quality of the banks portfolio, and the withdrawal histori...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2500798