Discount window stigma during the 2007-2008 financial crisis

• 成果类型: Article
• 署名作者: Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; Shrader, Jeffrey
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.006
• 发表日期: 2015
• 页码: 317-335
• 关键词: Discount window; Term auction facility; stigma; CRISIS; monetary policy

摘要

We provide empirical evidence for the existence, magnitude, and economic cost of stigma associated with banks borrowing from the Federal Reserve's Discount Window (DW) during the 2007-2008 financial crisis. We find that banks were willing to pay a premium of around 44 basis points (bps) across funding sources (126 bps after the bankruptcy of Lehman Brothers) to avoid borrowing from the DW. DW stigma is economically relevant as it increased some banks' borrowing cost by 32 bps of their pre-tax return on assets (ROA) during the crisis. The implications of our results for the provision of liquidity by central banks are discussed. Published by Elsevier B.V.