Double bank runs and liquidity risk management

• 成果类型: Article
• 署名作者: Ippolito, Filippo; Peydro, Jose-Luis; Polo, Andrea; Sette, Enrico
• 署名单位: Pompeu Fabra University; Barcelona School of Economics; Pompeu Fabra University; Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Barcelona School of Economics; Pompeu Fabra University; ICREA; Pompeu Fabra University; Barcelona School of Economics; European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.11.004
• 发表日期: 2016
• 页码: 135-154
• 关键词: Credit lines; liquidity risk; Financial crisis; runs; Basel III

摘要

By providing liquidity to depositors and credit-line borrowers, banks can be exposed to double-runs on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs. In the cross-section, credit-line drawdowns are not larger for banks more exposed to the interbank market; however, they are larger when we condition on the same firms with multiple credit lines. We show that, ex-ante, more exposed banks actively manage their liquidity risk by granting fewer credit lines to firms that run more during crises. (C) 2016 Elsevier B.V. All rights reserved.