Managing bank liquidity risk
Subtitle: how deposit-loan synergies vary with market conditions
By: Evan Gatev, Til Schuermann, Philip E. Strahan
Contributors: Gatev, Evan; Schuermann, Til; Strahan, Phillip E.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 12234; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12234.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics.  We show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments.  Bank stock-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits.  This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous investors move funds into their banks.  Our results reverse the standard notion of liquidity risk at banks, where runs from depositors had been seen as the cause of trouble"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/25/2006.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.