A global game analysis of the LLR: The role of creditors' behaviour and penalty rate lending

Junnosuke Shino*

*この研究の対応する著者

研究成果: Article査読

抄録

We construct a global-game LLR model in which the policy maker to provide LLR is an explicit player that cannot distinguish solvent from insolvent banks ex ante.We first show that creditors' aggregate behaviour to withdraw their funds operates as a signal to the policy maker about banks' solvency. Then it is shown that the policy maker optimally helps only illiquid but solvent banks and the lending rates are strictly positive whenever LLR is utilised. The rates can be seen as 'conditionally punitive' in the sense that they take the highest level under the restriction that the solvent borrowers survive.

本文言語English
ページ(範囲)398-421
ページ数24
ジャーナルInternational Journal of Monetary Economics and Finance
8
4
DOI
出版ステータスPublished - 2015
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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