An incentive problem in the dynamic theory of banking

Journal of Mathematical Economics

Volumn 38, Issue 1-2, 2002, Pages 271-292

  Von Thadden, Ernst Ludwig ^a  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Banking; Continuous time; Deposit contracts; Dynamic programming; Incentive compatibility; Liquidity

Indexed keywords

EID: 0036755258     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4068(02)00072-1     Document Type: Article

References (24)

1. Bencivenga, V.R., Smith, B.D., 1991. Financial intermediation and endogenous growth. Review of Economic Studies 58, 195-209.
2. Bhattacharya, S., Gale, D., 1987. Preference shocks, liquidity, and central bank policy. In: Barnett, W.A., Singleton, K.J. (Eds.), New Approaches to Monetary Economics. Cambridge University Press, Cambridge, pp. 69-88.
3. Bryant, J., 1980. A model of reserves, bank runs, and deposit insurance. Journal of Banking and Finance 4, 335-344.
4. Caplin, A., Nalebuff, B., 1991. Aggregation and social choice: a mean voter theorem. Econometrica 59, 1-23.
5. Cesari, L., 1983. Optimization-Theory and Applications. Springer, New York.
6. Diamond, D.W., Dybvig, Ph.H., 1983. Bank runs, deposit insurance, and liquidity. Journal of Political Economy 91, 401-419.
7. Engineer, M., 1989. Bank runs and the suspension of deposit convertibility. Journal of Monetary Economics 24, 443-454.
8. Freixas, X., Rochet, J.C., 1997. Microeconomics of Banking. MIT Press, Cambridge, MA, London, UK.
9. Green, E.J., Lin, P., 1999. Implementing Efficient Allocations in a Model of Financial Intermediation, Manuscript. Federal Reserve Bank of Minneapolis.
10. Guesnerie, R., Laffont, J.J., 1984. A complete solution to a class of principal-agent problems with an application to the control of a self-managed firm. Journal of Public Economics 25, 329-369.
11. Hart, O.D., Moore, J., 1994. A theory of debt based on the inalienability of human capital. Quarterly Journal of Economics CIX, 840-879.
12. Haubrich, J., King, R., 1990. Banking and insurance. Journal of Monetary Economics 26, 361-386.
13. He, H., Pagès, H.F., 1993. Labor income, borrowing constraints, and equilibrium asset prices. Economic Theory 3, 663-696.
14. Heckman, J.J., Honorè, B.E., 1990. The empirical content of the Roy Model. Econometrica 58, 1121-1149.
15. Jacklin, Ch.J., 1987. Demand deposits, trading restrictions, and risk sharing. In: Prescott, E.C., Wallace, N. (Eds.), Contractual Arrangements for Intertemporal Trade. University of Minnesota Press, Minneapolis, 1987, pp. 26-47.
16. Judd, K.L., 1985. The Law of Large Numbers with a continuum of IID random variables. Journal of Economic Theory 35, 19-25.
17. Merton, R.C., 1990. Continuous-Time Finance. Blackwell Academic Publishers, Cambridge, MA, Oxford, UK.
18. Postlewaite, A., Vives, X., 1987. Bank runs as an equilibrium phenomenon. Journal of Political Economy 95, 485-491.
19. Qi, J., 1994. Bank liquidity and stability in an overlapping generations model. Review of Financial Studies 7, 389-417.
20. von Thadden, E.L., 1998. Intermediated versus direct investment: optimal liquidity provision and dynamic incentive compatibility. Journal of Financial Intermediation 7, 177-197.
21. von Thadden, E.L., 1999. Liquidity creation through banks and markets: multiple insurance and limited market access. European Economic Review 43, 991-1006.
22. Wallace, N., 1988. Another attempt to explain an illiquid banking system: the Diamond and Dybvig Model with sequential service taken seriously. Quarterly Review, Federal Reserve Bank of Minneapolis, 12, Fall, 3-16.
23. Wallace, N., 1990. A banking model in which partial suspension is best. Quarterly Review, Federal Reserve Bank of Minneapolis, 14, Fall, 11-23.
24. Wallace, N., 1996. Narrow banking meets the Diamond-Dybvig Model. Quarterly Review, Federal Reserve Bank of Minneapolis, 20, Winter, 3-13.