Journal of Financial Economics Vol. 122 No. 1 2016
Double bank runs and liquidity risk management
open access
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.
- DOI
- 10.1016/j.jfineco.2015.11.004
- Volume
- 122
- Issue
- 1
- Pages
- 135-154
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref