Replication data for: Banking, Liquidity, and Bank Runs in an Infinite Horizon Economy

We develop an infinite horizon macroeconomic model of banking that allows for liquidity mismatch and bank runs. Whether a bank run equilibrium exists depends on bank balance sheets and an endogenous liquidation price for bank assets. While in normal times a bank run equilibrium may not exist, the possibility can arise in recessions. A run leads to a significant contraction in intermediation and aggregate economic activity. Anticipations of a run have harmful effects on the economy even if the run does not occur. We illustrate how the model can shed light on some key aspects of the recent financial crisis. (JEL E23, E32, E44, G01, G21, G33)

本文构建了一个可刻画流动性错配（liquidity mismatch）与银行挤兑（bank runs）的无限期界（infinite horizon）银行业宏观经济模型。银行挤兑均衡（bank run equilibrium）是否存在，取决于银行资产负债表与银行资产的内生清算价格。尽管正常时期或不存在银行挤兑均衡，但在经济衰退阶段则可能出现此类均衡。银行挤兑会引发金融中介活动与总体经济活动的显著收缩。即便挤兑并未实际发生，市场对挤兑的预期也会对经济造成不利影响。本文还阐明了该模型可用于阐释近期金融危机的若干关键特征。(JEL E23, E32, E44, G01, G21, G33)