VASSILYEV, Ivan. An Approach to Explain Bank Runs with Game Theory. In Ondřej Roubal. Konference doktorandů na Vysoké škole finanční a správní 2023: Prezentace výsledků společenskovědního výzkumu s ekonomickými a finančními efekty (10. ročník). První. Praha: Vysoké školy finanční a správní, 2023, p. 171-178. ISBN 978-80-7408-270-2. Available from: https://dx.doi.org/10.37355/KD-2023-13.
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Basic information
Original name An Approach to Explain Bank Runs with Game Theory
Name in Czech Přístup k vysvětlení bankovních bankrotů pomocí teorie her
Authors VASSILYEV, Ivan.
Edition První. Praha, Konference doktorandů na Vysoké škole finanční a správní 2023: Prezentace výsledků společenskovědního výzkumu s ekonomickými a finančními efekty (10. ročník), p. 171-178, 8 pp. 2023.
Publisher Vysoké školy finanční a správní
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
WWW Odkaz na fulltext sborníku konference
Organization unit University of Finance and Administration
ISBN 978-80-7408-270-2
Doi http://dx.doi.org/10.37355/KD-2023-13
Keywords (in Czech) Bank run, game theory, dynamic game of incomplete information, Diamond-Dybvig model
Keywords in English Bank run, game theory, dynamic game of incomplete information, Diamond-Dybvig model
Tags AR 2023-2024, xD2
Tags Reviewed
Changed by Changed by: Mgr. Tereza Denišová, DiS., učo 12202. Changed: 13/12/2023 11:55.
Abstract
This paper presents an approach to understand the bank runs with game theory. In the model, each player decides if they withdraw their deposit from the bank and loose accumulated interest or leave the deposit in the bank risking losing the deposit partially or completely. The model considers interest rates, transaction fees, and deposit insurance. The aim of the contribution is to analyse the root cause of bank runs and investigate the impact of deposit insurance on the depositors’ withdrawal strategies. Within a dynamic game with incomplete information, a playoff matrix for players is build and the results are analyzed. The results show that there two Bayesian Nash equilibrium and two strategies that can be considered as optimal in the game without deposit insurance which leads to a bank run. On the other hand, with deposit insurance introduced in the game, the optimal strategy is to keep the deposits in the bank which minimizes probability of bank runs.
Abstract (in Czech)
This paper presents an approach to understand the bank runs with game theory. In the model, each player decides if they withdraw their deposit from the bank and loose accumulated interest or leave the deposit in the bank risking losing the deposit partially or completely. The model considers interest rates, transaction fees, and deposit insurance. The aim of the contribution is to analyse the root cause of bank runs and investigate the impact of deposit insurance on the depositors’ withdrawal strategies. Within a dynamic game with incomplete information, a playoff matrix for players is build and the results are analyzed. The results show that there two Bayesian Nash equilibrium and two strategies that can be considered as optimal in the game without deposit insurance which leads to a bank run. On the other hand, with deposit insurance introduced in the game, the optimal strategy is to keep the deposits in the bank which minimizes probability of bank runs.
PrintDisplayed: 2/5/2024 07:20