Paper #1497

Título:

Double bank runs and liquidity risk management

Autores:

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

Fecha:

Noviembre 2015

Resumen:

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.

Palabras clave:

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

Códigos JEL:

G01, G21, G28.

Área de investigación:

Finanzas y Contabilidad / Macroeconomía y Economía Internacional / Economía Laboral, Pública, de Desarrollo y de la Salud

Publicado en:

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

Descargar el paper en formato PDF