| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10948 |
| DP10948 Double Bank Runs and Liquidity Risk Management | |
| José-Luis Peydró; Enrico Sette; ANDREA POLO; Filippo Ippolito | |
| 发表日期 | 2015-11-22 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | By providing liquidity to depositors and credit line borrowers, banks are 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, pre-shock interbank exposure is (unconditionally) unrelated to post-shock credit line drawdowns. However, conditioning on firm observable and unobservable characteristics, higher pre-shock interbank exposure implies more post-shock drawdowns. We show that is the result of active pre-shock liquidity risk management by more exposed banks granting credit lines to firms that run less in a crisis. |
| 主题 | Financial Economics |
| 关键词 | Credit lines Liquidity risk Financial crisis Risk management Runs |
| URL | https://cepr.org/publications/dp10948 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539777 |
| 推荐引用方式 GB/T 7714 | José-Luis Peydró,Enrico Sette,ANDREA POLO,et al. DP10948 Double Bank Runs and Liquidity Risk Management. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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