Double bank runs and liquidity risk management

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

No 8, ESRB Working Paper Series from European Systemic Risk Board

Abstract: By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns 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, pre-shock interbank exposure is (unconditionally) unrelated to post-shock credit line drawdowns. However, conditioning on firm observable and unobservable characteristics, higher pre-shock interbank exposure implies more post-shock drawdowns. We show that is the result of active pre-shock liquidity risk management by more exposed banks granting credit lines to firms that run less in a crisis. JEL Classification: G01, G21, G28

Keywords: Credit lines; Financial crisis; Liquidity risk; Risk management; Runs (search for similar items in EconPapers)
Date: 2016-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (77)

Downloads: (external link)
https://www.esrb.europa.eu//pub/pdf/wp/esrbwp8.en.pdf (application/pdf)

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)
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:srk:srkwps:20168

Access Statistics for this paper

More papers in ESRB Working Paper Series from European Systemic Risk Board 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().