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.

Double Bank Runs and Liquidity Risk Management / Ippolito, Filippo; Peydró, José-Luis; Polo, Andrea; Sette, Enrico. - In: JOURNAL OF FINANCIAL ECONOMICS. - ISSN 0304-405X. - 122:1(2016), pp. 135-154. [https://doi.org/10.1016/j.jfineco.2015.11.004]

Double Bank Runs and Liquidity Risk Management

Andrea Polo;
2016

Abstract

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.
Financial Crisis; Runs; Basel III
Double Bank Runs and Liquidity Risk Management / Ippolito, Filippo; Peydró, José-Luis; Polo, Andrea; Sette, Enrico. - In: JOURNAL OF FINANCIAL ECONOMICS. - ISSN 0304-405X. - 122:1(2016), pp. 135-154. [https://doi.org/10.1016/j.jfineco.2015.11.004]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/183466
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