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A behavioural bank run model
(06/11/2018) Antonopoulos, Dimitrios; Athens University of Economics and Business, Department of Informatics; Donatos, Georgios; Mageirou, Evangelos
In our paper we investigate the determinants of banking crises. We review the relevant literature and we also construct and estimate a behavioural model that combines the two major views on banking crises. In our model, the market is populated by two groups of agents, the "fundamentalists" and the "nervous" agents. The former react to changes in economic fundamentals while the latter react to the actions of the rest of the agents. The interplay between these two groups creates interesting dynamics that could potentially explain bank runs.