Double bank runs and liquidity risk management
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- dc.contributor.author Ippolito, Filippo
- dc.contributor.author Peydró, José-Luis
- dc.contributor.author Polo, Andrea, 1983-
- dc.contributor.author Sette, Enrico
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:27:04Z
- dc.date.available 2020-05-25T09:27:04Z
- dc.date.issued 2015-11-01
- dc.date.modified 2020-05-25T09:24:45Z
- dc.description.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.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1497
- dc.identifier.citation Journal of Financial Economics, 122(1): 135-154, October 2016
- dc.identifier.uri http://hdl.handle.net/10230/25229
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1497
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword credit lines; liquidity risk; financial crisis; runs; risk management.
- dc.subject.keyword Finance and Accounting
- dc.subject.keyword Macroeconomics and International Economics
- dc.subject.keyword Labour, Public, Development and Health Economics
- dc.title Double bank runs and liquidity risk management
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper