EconPapers    
Economics at your fingertips  
 

Wholesale Funding Dry‐Ups

Christophe Perignon (), David Thesmar and Guillaume Vuillemey

Journal of Finance, 2018, vol. 73, issue 2, 575-617

Abstract: 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.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/jofi.12592

Related works:
Working Paper: Wholesale Funding Dry-Ups (2017) Downloads
Working Paper: Wholesale funding dry-ups (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:73:y:2018:i:2:p:575-617

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-07-26
Handle: RePEc:bla:jfinan:v:73:y:2018:i:2:p:575-617