Wholesale Funding Dry-Ups

• 成果类型: Article
• 署名作者: Perignon, Christophe; Thesmar, David; Vuillemey, Guillaume
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12592
• 发表日期: 2018
• 页码: 575-617
• 关键词: COMMERCIAL PAPER MARKET; Financial crisis; Repo market; Bank runs; LIQUIDITY CREATION; adverse selection; RISK; debt; QUALITY; lemons

摘要

We empirically explore the fragility of wholesale funding of banks, using transaction-level data on short-term, unsecured certificates of deposit in the European market. We do not observe a market-wide freeze during the 2008 to 2014 period. Yet, many banks suddenly experience funding dry-ups. Dry-ups predict, but do not cause, future deterioration in bank performance. Furthermore, during periods of market stress, banks with high future performance tend to increase reliance on wholesale funding. We therefore fail to find evidence consistent with adverse selection models of funding market freezes. Our evidence is in line with theories highlighting heterogeneity between informed and uninformed lenders.