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.date.accessioned 2019-04-10T07:58:30Z
- dc.date.available 2019-04-10T07:58:30Z
- dc.date.issued 2016
- 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.description.sponsorship Peydró acknowledges financial support from Project ECO2012-32434 of the Spanish Ministry of Economics and Competitiveness and the European Research Council Grant (Project 648398).
- dc.format.mimetype application/pdf
- dc.identifier.citation Ippolito F, Peydró JL, Polo A, Sette E. Double bank runs and liquidity risk management. Journal of Financial Economics. 2016;122(1):135-54. DOI: 10.1016/j.jfineco.2015.11.004
- dc.identifier.doi http://dx.doi.org/10.1016/j.jfineco.2015.11.004
- dc.identifier.issn 0304-405X
- dc.identifier.uri http://hdl.handle.net/10230/37075
- dc.language.iso eng
- dc.publisher Elsevier
- dc.relation.ispartof Journal of Financial Economics. 2016;122(1):135-54.
- dc.relation.projectID info:eu-repo/grantAgreement/ES/3PN/ECO2012-32434
- dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
- dc.rights © Elsevier http://dx.doi.org/10.1016/j.jfineco.2015.11.004
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword Credit lines
- dc.subject.keyword Liquidity risk
- dc.subject.keyword Financial crisis
- dc.subject.keyword Runs
- dc.subject.keyword Basel III
- dc.title Double bank runs and liquidity risk management
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/acceptedVersion