Dynamic Bank Runs: an agent-based approach
Toni dos Santos and
Marcio Nakane ()
No 2019_07, Working Papers, Department of Economics from University of São Paulo (FEA-USP)
This paper simulates bank runs by using an agent-based approach to assess the depositorsâ€™ behavior under various scenarios in a Diamond-Dybvig model framework to answer the following question: What happens if several depositors and banks play in multiple rounds of a Diamond-Dybvig economy? The main contribution to the literature is that we take into account a sequential service restriction and the influence from the neighborhood in the decision of patient depositors to withdraw earlier or later. Our simulations show that the number of bank runs goes to zero as banks grow and the market concentration increases in the long run
Keywords: Liquidity; Banking, Bank run (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
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Working Paper: Dynamic Bank Runs: an agent-based approach (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:spa:wpaper:2019wpecon07
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