Unexpected deposit flows, off-balance sheet funding liquidity risk and bank loan production - Université de Limoges Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

Unexpected deposit flows, off-balance sheet funding liquidity risk and bank loan production

Résumé

In this paper, we use U.S. commercial banks' data to investigate whether the effect of unexpected deposit flows on loan production depends on banks' exposure to off-balance sheet funding liquidity risk. We find that lending is sensitive to deposit shocks at small banks but not at large ones. Furthermore, for small banks, the increase in lending explained by unexpected deposit inflows depends on how much they are exposed to funding liquidity risk stemming from their off-balance sheets, as measured by the level of unused commitments. Small banks more exposed to such funding liquidity risk tend to extend fewer new loans. Our results indicate that unexpected deposit inflows from, for instance, the failure of other banks or market disruptions might not as easily be fueled again to borrowers.
Fichier principal
Vignette du fichier
Unexpectedflowofdeposits23mars2020.pdf (814.6 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02516724 , version 1 (24-03-2020)

Identifiants

  • HAL Id : hal-02516724 , version 1

Citer

Thierno Barry, Alassane Diabaté, Amine Tarazi. Unexpected deposit flows, off-balance sheet funding liquidity risk and bank loan production. 2020. ⟨hal-02516724⟩

Collections

UNILIM
47 Consultations
330 Téléchargements

Partager

Gmail Facebook X LinkedIn More