Runs, panics and bubbles: Diamond-Dybvig and Morris-Shin reconsidered

DOI10.1007/S10436-013-0231-8MaRDI QIDQ481383zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 12 December 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0231-8

zbMATH Keywords

dynamic investment modelevolutionary gamesnoncooperative gamesreplicator dynamicssensitivity analysis

Mathematics Subject Classification ID

Noncooperative games (91A10) Games in extensive form (91A18) Multistage and repeated games (91A20) Evolutionary games (91A22) Applications of game theory (91A80) Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)

Review text

The authors suggest a development of noncooperative game models in a financial market as proposed in [\textit{D. W. Diamond} and \textit{P. H. Dybvig}, J. Polit. Econ. 91, No. 3, 401--419 (1983; Zbl 1341.91135)] and [\textit{S. Morris} and \textit{H. S. Shin}, ``Unique equilibrium in a model of self-fulfilling currency attacks, Am. Econ. Rev. 88, 587--597 (1998), \url{http://www.jstor.org/stable/116850}]. They analyze a simplified model at three levels: in the original Nash equilibrium with implicit expectations, in a correlated subgame perfect equilibrium of the corresponding extensive form, and use a replicatior dynamic to identify subgame fixed points and their stability.

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Cites work

• Bank Runs, Deposit Insurance, and Liquidity
• Conventional Contracts
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• scientific article; zbMATH DE number 1239549 (Why is no real title available?)
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• Remarks on infinitely repeated extensive-form games
• Symmetry and Collective Fluctuations in Evolutionary Games
• The Evolution of Conventions
• The Folk Theorem in Repeated Games with Discounting or with Incomplete Information
• The logic of animal conflict
• The Robustness of Equilibria to Incomplete Information

Cited in

(7)

• Bank runs as a coordination problem within a two-bank set-up: who will survive?
• Economic growth, liquidity, and bank runs
• Experimental evidence of bank runs as pure coordination failures
• The role of independence in the Green-Lin Diamond-Dybvig model
• The Paradox of Thrift, Liquidity Preference and Animal Spirits
• LEARNING AND IMITATION: TRANSITIONAL DYNAMICS IN VARIANTS OF THE BAM
• A model of financial fragility

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