Double Bank Runs and Liquidity Risk Management

Filippo Ippolito (), Jose-Luis Peydro, Andrea Polo and Enrico Sette

No 855, Working Papers from Barcelona School of Economics

Abstract: By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns 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.

Keywords: credit lines; liquidity risk; financial crisis; runs; risk management (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-cfn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Double bank runs and liquidity risk management (2016)
Working Paper: Double bank runs and liquidity risk management (2016)
Working Paper: Double bank runs and liquidity risk management (2016)
Working Paper: Double Bank Runs and Liquidity Risk Management (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:855

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