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  1. When the penny doesn't drop
    macroeconomic tail risk and currency crises
    Autor*in: Duley, Chanelle; Gai, Prasanna
    Erschienen: November 2020
    Verlag:  National Institute of Economic and Social Research, London

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    Schriftenreihe: NIESR discussion paper ; no. 520 (18 November 2020)
    Schlagworte: global games; currency crises; rank beliefs; inter-war gold standard; sterling crisis of 1931
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Persuasion in global games with application to stress testing
    Autor*in: Pavan, Alessandro; Inostroza, Nicolás
    Erschienen: 25 August 2021
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16484
    Schlagworte: global games; Coordination under Incomplete Information; Bayesian persuasion; Adversarial Information Design; stress tests
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  3. Cognitive imprecision and strategic behavior
    Autor*in: Frydman, Cary; Nunnari, Salvatore
    Erschienen: December 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We propose and experimentally test a theory of strategic behavior in which players are cognitively imprecise and perceive a fundamental parameter with noise. We focus on 2 x 2 coordination games, which generate multiple equilibria when perception is... mehr

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    We propose and experimentally test a theory of strategic behavior in which players are cognitively imprecise and perceive a fundamental parameter with noise. We focus on 2 x 2 coordination games, which generate multiple equilibria when perception is precise. When adding a small amount of cognitive imprecision to the model, we obtain a unique equilibrium where players use a simple cutoff strategy. The model further predicts that behavior is context-dependent: players implement the unique equilibrium strategy with noise, and the noise decreases in fundamental volatility. Our experimental data strongly support this novel prediction and reject several alternative game-theoretic models that do not predict context-dependence. We also find that subjects are aware of other players' imprecision, which is key to generating strategic uncertainty. Our framework has important implications for the literature on global games and, more broadly, illuminates the role of perception in generating both random and context-dependent behavior in games.

     
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    hdl: 10419/249028
    Schriftenreihe: CESifo working paper ; no. 9483 (2021)
    Schlagworte: perception; efficient coding; coordination; global games
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  4. Banks as liquidity multipliers: asset liquidity premia and funding liquidity risk
    Autor*in: Carré, Sylvain; Klossner, Damien
    Erschienen: 2021
    Verlag:  Higher School of Economics Publ. House, Moscow

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    Schriftenreihe: Array ; WP9/2021, 03
    Schlagworte: global games; bank runs; liquid reserves; general equilibrium; liquidity premia; carry trade
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  5. Cybersecurity and financial stability
    Autor*in: Anand, Kartik; Duley, Chanelle; Gai, Prasanna
    Erschienen: [2022]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    Cyber attacks can impair banks operations and precipitate bank runs. When digital infrastructure is shared, banks defend themselves by investing in cybersecurity but can free-ride on the security measures of others. Ex ante free-riding by banks... mehr

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    Cyber attacks can impair banks operations and precipitate bank runs. When digital infrastructure is shared, banks defend themselves by investing in cybersecurity but can free-ride on the security measures of others. Ex ante free-riding by banks interacts with the ex post coordination frictions underpinning bank runs. While the temptation to free-ride induces underinvestment in cybersecurity, the prospect of a run encourages greater investment. System-wide cybersecurity is suboptimal and sensitive to rollover risk and bank heterogeneity. Regulatory measures, including negligence rules, liquidity regulation and cyber hygiene notices, facilitate constrained efficient cybersecurity investment. We suggest testable hypotheses to inform empirical work in this area.

     
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    ISBN: 9783957298768
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    hdl: 10419/251605
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2022, 08
    Schlagworte: Cyber attacks; bank runs; global games; weaker-link public goods
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  6. A wake-up call theory of contagion
    Autor*in: Ahnert, Toni; Bertsch, Christoph
    Erschienen: 13 December 2021
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16809
    Schlagworte: wake-up call; Information Choice; financial crises; contagion; bank run; global games; fundamental re-assessment
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. A wake-up call theory of contagion
    Autor*in: Ahnert, Toni; Bertsch, Christoph
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro... mehr

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    We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to investors in region 2. It induces them to reassess the regional fundamental and acquire information about the macro shock. Contagion can occur even after investors learn that region 2 has no ex-post exposure to region 1. We explore normative and testable implications of the model. In particular, our results rationalize evidence about contagious currency crises and bank runs after wake-up calls and provide some guidance for future empirical work.

     
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    ISBN: 9789289951074
    Weitere Identifier:
    hdl: 10419/264483
    Schriftenreihe: Working paper series / European Central Bank ; no 2658 (May 2022)
    Schlagworte: wake-up call; information choice; financial crises; contagion; bankrun; global games; fundamental re-assessment
    Umfang: 1 Online-Ressource (circa 72 Seiten)
  8. Bank runs, bank competition and opacity
    Autor*in: Ahnert, Toni; Martinez-Miera, David
    Erschienen: December 2020
    Verlag:  Verein für Socialpolitik, [Köln]

    We model asset opacity and deposit rate choices of banks who imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. Higher competition increases deposit rates and bank fragility, resulting in an intermediate... mehr

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    We model asset opacity and deposit rate choices of banks who imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. Higher competition increases deposit rates and bank fragility, resulting in an intermediate socially optimal level of bank competition. We provide a novel theory of bank opacity. The cost of opacity is more partial runs by creditors, which induces costly liquidation of investment and lowers current profits. The benefit of opacity is to deter entry of competitors, which increases bank charter value. Banks can be excessively opaque, motivating transparency regulation.

     
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    hdl: 10419/242348
    Schriftenreihe: Jahrestagung 2021 / Verein für Socialpolitik ; 31
    Schlagworte: Competition; entry; opacity; fragility; bank run; global games; competition policy; transparency regulation
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  9. Fragility of safe asset markets
    Autor*in: Eisenbach, Thomas M.; Phelan, Gregory
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that... mehr

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    We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that liquidity investors' strategic interaction harbors the potential for selffulfilling fragility. Surprisingly, standard flight to safety in times of stress can have a destabilizing effect and trigger a dash for cash by liquidity investors. This explains how safe asset markets can experience price crashes, as in March 2020. The announcement and execution of policy interventions play important roles for the functioning of safe asset markets.

     
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    hdl: 10419/266110
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1026 (July 2022)
    Schlagworte: safe assets; liquidity shocks; global games; Treasury securities; COVID-19
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  10. Smooth versus harsh regulatory interventions and policy equivalence
    Autor*in: Schilling, Linda
    Erschienen: 16 March 2023
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17996
    Schlagworte: bank runs; global games; policy effectiveness; bank resolution; with-drawal fees; emergency liquidity assistance; lender of last resort policies; moneymarket mutual fund gates; suspension of convertibility
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  11. Real interest rates, bank borrowing, and fragility
    Autor*in: Ahnert, Toni; Anand, Kartik; König, Philipp Johann
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable assets with... mehr

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    How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of borrowing, both of which influence bank fragility in opposite directions. Thus, the marginal impact of changes to the interest rate on bank fragility depends on the level of the interest rate. Finally, we derive testable implications that may guide future empirical work.

     
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    ISBN: 9789289954037
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    hdl: 10419/278243
    Schriftenreihe: Working paper series / European Central Bank ; no 2755 (December 2022)
    Schlagworte: bank borrowing; rollover risk; fragility; real interest rates; global games; funding liquidity risk channel
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  12. Procyclical leverage and crisis probability in a macroeconomic model of bank runs
    Autor*in: Ikeda, Daisuke; Matsumoto, Hidehiko
    Erschienen: March 2021
    Verlag:  Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, Japan

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    Schriftenreihe: Array ; no. 2021, E-01
    Schlagworte: Banking crises; global games; macroprudential policy
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  13. Real interest rates, bank borrowing, and fragility
    Autor*in: Ahnert, Toni; Anand, Kartik; König, Philipp Johann
    Erschienen: [2022]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with... mehr

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    How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of borrowing, both of which influence bank fragility in opposite directions. Thus, the marginal impact of changes to the interest rate on bank fragility depends on the level of the interest rate. Finally, we derive testable implications that may guide future empirical work.

     
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    ISBN: 9783957299277
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    hdl: 10419/266683
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2022, 48
    Schlagworte: bank borrowing; rollover risk; fragility; real interest rates; global games; funding liquidity risk channel
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  14. Managing overreaction during a run
    Autor*in: Machado, Caio
    Erschienen: [2023]
    Verlag:  [Pontificia Universidad Católica de Chile], [Macul, Santiago, Chile]

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    Schriftenreihe: Documento de trabajo / Instituto de Economia, Pontificia Universidad Católica de Chile ; 574 (2023)
    Schlagworte: global games; overreaction; diagnostic expectations; runs
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  15. Stablecoins
    adoption and fragility
    Autor*in: Bertsch, Christoph
    Erschienen: May 2023
    Verlag:  Sveriges Riksbank, Stockholm

    Stablecoins promise a stable and secure way to park funds in the crypto universe. However, stablecoin issuers are vulnerable to runs triggered by negative information about the quality and liquidity of their reserves, as well as custodial,... mehr

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    Stablecoins promise a stable and secure way to park funds in the crypto universe. However, stablecoin issuers are vulnerable to runs triggered by negative information about the quality and liquidity of their reserves, as well as custodial, operational, and technological risks. I propose a framework for analyzing the factors influencing stablecoin adoption and fragility, which offers insights for risk assessment and appropriate regulation, as well as new testable implications. Under the premise that payment preferences are heterogeneous across potential stablecoin holders, a wider adoption of stablecoins is associated with a destabilizing composition effect. Positive network effects mitigate the destabilizing composition effect, but they may also undermine the role of bank deposits as a means of payment. The marginal stablecoin adopter does not internalize these effects. Consequently, adoption is likely to be excessive. Factors that increase the issuer's income from fees and seigniorage promote stability, as do congestion effects. A stablecoin lending market promotes both stability and adoption, if it is not undermined by speculation. The introduction of a moral hazard problem provides additional insights into reserve management and disclosure.

     
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    Schriftenreihe: Sveriges Riksbank working paper series ; 423
    Schlagworte: Stablecoins; money; payment preferences; financial stability; global games
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  16. Stability-equivalence of bailouts and bailins with welfare consequences
    Autor*in: Schilling, Linda
    Erschienen: 13 February 2024
    Verlag:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... mehr

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    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
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    Schriftenreihe: Array ; DP18832
    Schlagworte: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  17. Credit enforcement cycles
    Autor*in: Drozd, Lukasz A.; Serrano-Padial, Ricardo
    Erschienen: July 2017
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Schriftenreihe: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; no. 17, 27
    Schlagworte: contract enforcement; enforcement capacity; default spillovers; credit crunch; credit cycles; global games; heterogeneity
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  18. Fragility of safe asset markets
    Autor*in: Eisenbach, Thomas M.; Phelen, Gregory
    Erschienen: December 2022
    Verlag:  Williams College : Economics, Williamstown, MA, USA

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    Schriftenreihe: Williams College Economics Department working paper series ; 2022, 07
    Schlagworte: safe assets; liquidity shocks; global games; treasury securities; Covid-19
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  19. Unraveling coordination problems
    Autor*in: Heijmans, Roweno
    Erschienen: 2023
    Verlag:  Norwegian School of Economics, Bergen, Norway

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    Weitere Identifier:
    hdl: 11250/3101569
    Schriftenreihe: Discussion paper / Department of Business and Management Science ; FOR 2023, 20 (November 2023)
    Schlagworte: coordination; global games; contracting with externalities; incentives inteams; networks; unique implementation
    Umfang: 1 Online-Ressource (circa 37 Seiten)
  20. Stability-equivalence of bailouts and bailins with welfare consequences
    Autor*in: Schilling, Linda
    Erschienen: 13 February 2024
    Verlag:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... mehr

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    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
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    Format: Online
    Schriftenreihe: Array ; DP18832
    Schlagworte: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  21. Public information and stablecoin runs
    Autor*in: Ahmed, Rashad; Aldasoro, Iñaki; Duley, Chanelle
    Erschienen: January 2024
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: BIS working papers ; no 1164
    Schlagworte: stablecoins; crypto; global games; bank runs
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  22. Information-constrained coordination of economic behavior
    Autor*in: Aridor, Guy; Silveira, Rava Azeredo da; Woodford, Michael
    Erschienen: January 2024
    Verlag:  CESifo, Munich, Germany

    We analyze a coordination game with information-constrained players. The players' actions are based on a noisy compressed representation of the game's payoffs in a particular case, where the compressed representation is a latent state learned by a... mehr

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    We analyze a coordination game with information-constrained players. The players' actions are based on a noisy compressed representation of the game's payoffs in a particular case, where the compressed representation is a latent state learned by a variational autoencoder (VAE). Our generalized VAE is optimized to trade off the average payoff obtained over a distribution of possible games against a measure of the congruence between the agent's internal model and the statistics of its environment. We apply our model to the coordination game in the experiment of Frydman and Nunnari (2023), and show that it offers an explanation for two salient features of the experimental evidence: both the relatively continuous variation in the players' action probabilities with changes in the game payoffs, and the dependence of the degree of stochasticity of players' choices on the range of game payoffs encountered on different trials. Our approach also provides an account of the way in which play should gradually adjust to a change in the distribution of game payoffs that are encountered, offering an explanation for the history-dependent play documented by Arifovic et al. (2013).

     
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    Weitere Identifier:
    hdl: 10419/296024
    Schriftenreihe: CESifo working papers ; 10935 (2024)
    Schlagworte: global games; experiments; autoencoder; cognitive noise
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  23. Bank runs, prudential tools and social welfare in a global game general equilibrium model
    Autor*in: Ikeda, Daisuke
    Erschienen: June 2018
    Verlag:  Bank of England, London

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; no. 732
    Schlagworte: Bank runs; global games; capital and liquidity requirements; risk migration
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  24. Bank liquidity and the cost of debt
    Autor*in: Miller, Sam; Sowerbutts, Rhiannon
    Erschienen: October 2018
    Verlag:  Bank of England, London

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; no. 707
    Schlagworte: Bank runs; global games; liquidity
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  25. Credit demand and supply
    a two-way feedback relation
    Autor*in: Albertazzi, Ugo; Esposito, Lucia
    Erschienen: [2017]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Format: Online
    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1134 (September 2017)
    Schlagworte: credit crunch; investment; strategic complementarities; global games
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen