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- W3176702983 abstract "Purpose Through portfolio diversification, the author identifies the risk sharing deposit contract in a three-period model that maximizes the ex ante expected utility of depositors. Design/methodology/approach In this paper, the author extends the study by Allen and Gale (1998) by adding a long-term riskless investment opportunity to the original portfolio of a short-term liquid asset and a long-term risky illiquid asset. Findings Unlike Allen and Gale, there are no information-based bank runs in equilibrium. In addition, the model can improve consumers' welfare over the Allen and Gale model. The author also shows that the bank will choose to liquidate the cheaper investments, in terms of the gain-loss ratios for the two types of existing long-term assets, when there is liquidity shortage in some cases. Such a policy reduces the liquidation cost and enables the bank to meet the outstanding liability to depositors without large liquidation losses. Originality/value The author believe that the reader would be interested in this article because it is relevant to real world where depositors rush to withdraw their deposits from a bank if there is negative information about future prospect of the bank asset portfolio and bank investment. Economists and financial analysts need to determine the suitable mechanism to improve the stability of the bank and the depositor welfare." @default.
- W3176702983 created "2021-07-05" @default.
- W3176702983 creator A5022337866 @default.
- W3176702983 date "2021-06-24" @default.
- W3176702983 modified "2023-09-26" @default.
- W3176702983 title "The impact of long-term riskless asset on ensuring liquidity and preventing banking fragility" @default.
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- W3176702983 doi "https://doi.org/10.1108/jes-11-2020-0558" @default.
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