Paper #1497

Títol:

Double bank runs and liquidity risk management

Autors:

Filippo Ippolito, José-Luis Peydró, Andrea Polo i Enrico Sette

Data:

Novembre 2015

Resum:

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.

Paraules clau:

Credit lines; Liquidity risk; Financial crisis; Runs; Risk management.

Codis JEL:

G01, G21, G28.

Àrea de Recerca:

Finances i Comptabilitat / Macroeconomia i Economia Internacional / Economia Laboral, Pública, de Desenvolupament i de la Salut

Publicat a:

Journal of Financial Economics, 122(1): 135-154, October 2016

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