Double bank runs and liquidity risk management

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

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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.

Keywords: Credit lines; Liquidity risk; Financial crisis; Runs; Risk management. (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2015-11, Revised 2016-06
New Economics Papers: this item is included in nep-cfn
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Citations: View citations in EconPapers (89)

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Related works:
Journal Article: 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:upf:upfgen:1497

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