讲座：Market Liquidity and Creditor Runs: Feedback, Amplification, and Multiplicity
题 目：Market Liquidity and Creditor Runs: Feedback, Amplification, and Multiplicity
演讲人：Xuewen Liu, Associate Professor in Finance, Hong Kong University of Science and Technology
主持人：许志伟 副教授 上海交通大学安泰经济与管理学院金融系
时 间：2018年10月12日 14:30-16:00
地 点：上海交通大学 徐汇校区安泰楼B1516
In the global games framework, this paper studies bank runs in a financial system, in which there are many banks and they share a common asset market. Our model 1) endogenizes market liquidity, 2) demonstrates two-way feedback between market liquidity and creditor runs, and 3) shows the possibility of multiple equilibria in the system: even when the precision of creditors' private signals approaches infinity, multiple equilibria (i.e., a self-fulfilling systemic crisis) can still emerge. Our model helps explain amplification and multiplicity in financial crises.
Prof. Xuewen Liu received his PhD in finance at LSE. His research interest includes Financial Economics, Macroeconomics, Growth and Development, Chinese Economy. His work has been published in top finance and economics journals such as Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, Journal of Economic Theory, Management Science, Journal of Accounting Research, etc.