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Liquidity, moral hazard and bank runs
¤
S.Chatterji and S.Ghosal,
Centro de Investigacion Economica, ITAM, and University of Warwick
September 13, 2007
Abstract
In a model of banking with moral hazard, e¢cient risk-sharing be-
tween depositors may no longer be implementable. When depositors have
all the bargaining power, we show that (i) with costless and perfect mon-
itoring, contracts with the threat of bank runs o¤ the equilibrium path of
play improve on contracts with transfers, (ii) when the bank’s actions are
non-contractible, equilibrium bank runs driven by incentives are linked
to liquidity provision by banks. When the bank has all the bargaining
power, there is production e¢ciency but no liquidity provision to depos-
itors. The model is extended to allow for general monitoring scenarios
and partial contractibility of the bank’s payo¤s. Our results provide a
theoretical foundation for the doctrine of creative ambiguity .
JEL classi… cation numbers: G21, D82.
Key words: bank runs, moral hazard, risk-sharing, liquidity, random,
contracts.
¤We would like to thank Marcus Miller, Eugenio Proto, Kostas Koufopoulos
and Tridib Sharma for their helpful comments. Contact details: shurojit@itam.mx,
S.Ghosal@warwick.ac.uk.
1
1 Introduction
A key issue in the theoretical literature on banking is the link between illiquid
assets, liquid liabilities and bank runs. In the seminal paper by Diamond and
Dybvig (1983) (see also Bryant (1980)) e¢cient risk-sharing between deposi-
tors with idiosyncratic, privately observed taste shocks creates a demand for
liquidity. Banks invest in illiquid assets but take o
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