Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
发现交易存款能帮助银行对冲未使用贷款承诺带来的流动性风险，尤其在市场流动性紧张时效果更强，颠覆了传统认为存款挤兑是风险来源的观点。
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 only for banks with low levels of transactions deposits. This deposit-lending hedge 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. The Author 2007. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.