Double bank runs and liquidity risk management

Filippo Ippolito (), Jose-Luis Peydro, Andrea Polo and Enrico Sette

Journal of Financial Economics, 2016, vol. 122, issue 1, 135-154

Abstract: By providing liquidity to depositors and credit-line borrowers, bankscanbe 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 banksmore exposed tothe interbank market;however, they are larger when we condition on the same firms with multiple credit lines. Weshow that, ex-ante, more exposed banks actively manage their liquidity risk by grantingfewer credit lines to firms that run moreduringcrises.

Keywords: Credit lines; Liquidity risk; Financial crisis; Runs; Basel III (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (80)

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Related works:
Working Paper: Double bank runs and liquidity risk management (2016)
Working Paper: Double bank runs and liquidity risk management (2016)
Working Paper: Double Bank Runs and Liquidity Risk Management (2015)
Working Paper: Double Bank Runs and Liquidity Risk Management (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:122:y:2016:i:1:p:135-154

DOI: 10.1016/j.jfineco.2015.11.004

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