A model of a systemic bank run

By Harald Uhlig. 2009

204 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9b7164ec409f6c3d3aa2b19bcdcbd0f3ef2d8c41

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Citations in the corpus

Macroprudential Policy - A Literature Review (2012, unknown): “Van den Heuvel (2008) embeds the role of liquidity creating banks in an otherwise standard general equilibrium growth model, and studies the impact of capital requirements on welfare.”
Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises (2016, background): “See Uhlig (2010) for an alternative bank run model with endogenous liquidation prices. ab Suppose for example that during the run it is not possible for retail banks to identify new wholesale banks that are financially independent of the wholesale banks being run on.”
Liquidity Requirements, Liquidity Choice and Financial Stability (2016, unknown): “7 Uhlig (2010) shows that partial bank runs in a DD style model can arise if there other types of dispersion in agents’ beliefs.”
The dynamics of sovereign debt crises and bailouts (2016, unknown): “z∈A(B) (1 − θ + θqm(B(s ′ = (B, 0, z))))μ(dz | z) (15) Here and below, I use the notation B(s = (B, 0, z)) to denote the new debt level B(s), given the new state s = (B, 0, z).”
The Effect of the Interbank Network Structure on Contagion and Common Shocks (2013, unknown): “Banks that become illiquid will have to liquidate their long-term investments at steep discounts (for a model that describes this mechanism, see i.e. Uhlig (2010)).”
Ambiguity and Asset Markets (2010, unknown): “Uhlig (2009) considers the role of ambiguity aversion in generating bank runs.”
Adverse Selection and Liquidity Distortion (2011, unknown): “See, for example, Uhlig (2010). (33)Under 1-D asymmetric information case, there are two e¤ects on the average price: (1) Assets with lower quality are traded at higher rates.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “ = 1⁄2  ∈ ∆ (Ω) : ̄̄̄̄  ̃ − 1 ̄̄̄̄ ≤   ∈ Ω 3⁄4 (183)”
Illiquidity and All Its Friends (2011, background): “31 It also responds to the possibility -- related to the previous discussion of Malherbe -- that asset markets should become more liquid when lots of institutions are in distress and so the motive for selling is unlikely to be adverse selection (Uhlig 2009).”