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.

中文翻译：

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长期无风险资产对保证流动性和防范银行脆弱性的影响

目的

通过投资组合多样化，作者确定了一个三期模型中的风险分担存款合约，该模型最大化了存款人的事前预期效用。

设计/方法/方法

在本文中，作者扩展了 Allen 和 Gale (1998) 的研究，在短期流动资产和长期风险非流动资产的原始投资组合中增加了长期无风险投资机会。

发现

与艾伦和盖尔不同，不存在基于信息的银行均衡挤兑。此外，与艾伦和盖尔模型相比，该模型可以提高消费者的福利。作者还表明，在某些情况下流动性短缺的情况下，银行会根据两种现有长期资产的损益比，选择清算成本较低的投资。这样的政策降低了清算成本，使银行能够在没有大的清算损失的情况下偿还存款人的未偿债务。

原创性/价值

作者相信读者会对本文感兴趣，因为它与现实世界有关，即如果存在有关银行资产组合和银行投资的未来前景的负面信息，储户会争先恐后地从银行提取存款。经济学家和金融分析师需要确定合适的机制来提高银行的稳定性和存款人的福利。