Tsomocos, Dimitrios P., Bhattacharya, Sudipto, Goodhart, Charles A. E. and Sunirand, Pojanart (2007) Banks, relative performance, and sequential contagion. Economic Theory, 32 (2). pp. 381-398. ISSN 0938-2259
Full text not available from this repository.Abstract
We develop a multi-period general equilibrium model of bank deposit, credit, and interim inter-bank loan markets in which banks initially specialize in their choices of debtors, leading to under-diversification, but nevertheless become entwined via inter-bank markets, leading to the fortunes of one bank affecting the profits and default rates of the other in a sequential manner. Lack of (full) diversification among credit risks arises in our model owing to a relative profit argument in each banker’s utility function, which is otherwise risk- and default-averse. We examine its implications for the welfare of depositors and debtors.
| Item Type: | Article |
|---|---|
| Official URL: | http://dx.doi.org/10.1007/s00199-006-0190-7 |
| Additional Information: | © Springer-Verlag 2007 |
| Divisions: | Finance Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C33 - Models with Panel Data C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C68 - Computable General Equilibrium Models E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates G - Financial Economics > G0 - General |
| Date Deposited: | 23 Nov 2011 10:12 |
| Last Modified: | 13 Sep 2024 22:19 |
| URI: | http://eprints.lse.ac.uk/id/eprint/39708 |
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