A Tale of Two Runs: Depositor Responses to Bank Solvency Risk

• 成果类型: Article
• 署名作者: Iyer, Rajkamal; Puri, Manju; Ryan, Nicholas
• 署名单位: Massachusetts Institute of Technology (MIT); Duke University; National Bureau of Economic Research; Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12424
• 发表日期: 2016
• 页码: 2687-2726
• 关键词: market discipline; panics; INFORMATION; contagion; failures; debt

摘要

We examine heterogeneity in depositor responses to solvency risk using depositor-level data for a bank that faced two different runs. We find that depositors with loans and bank staff are less likely to run than others during a low-solvency-risk shock, but are more likely to run during a high-solvency-risk shock. Uninsured depositors are also sensitive to bank solvency. In contrast, depositors with older accounts run less, and those with frequent past transactions run more, irrespective of the underlying risk. Our results show that the fragility of a bank depends on the composition of its deposit base.