Interbank borrowing and bank liquidity risk
研究银行间贷款人惩罚高风险借款人的激励能否降低借款人的流动性风险，发现中小银行因此更审慎管理流动性，可补充仅针对大银行的监管要求。
Abstract To avoid illiquidity spillovers and basis risk in swaps, interbank lenders are especially cautious about whether interbank borrowers can meet their claims. We examine whether the incentive of interbank lenders to penalize risky borrowers can reduce borrowers' liquidity risk taking. We find that interbank borrowers, especially small and medium banks, manage their liquidity risks more prudently than their counterparts. This phenomenon is especially significant for borrowers with high information asymmetry, low liquidity buffers, and high funding gaps. Our results suggest that interbank exposure reduces the asset, funding, and off‐balance‐sheet liquidity risks of small and medium borrowing banks, and can therefore supplement regulatory liquidity requirements, which target only the largest banks.