Arbeitspapier

Wholesale funding dry-ups

We empirically explore the fragility of wholesale funding of banks, using trans-action level data on short-term, unsecured certificates of deposits in the European market. We do not observe any market-wide freeze during the 2008-2014 period. Yet, many banks suddenly experience funding dry-ups. Dry-ups predict, but do not cause, future deterioration of bank performance. Furthermore, in periods of market stress, banks with high future performance tend to increase reliance on wholesale funding. Thus, we fail to find evidence consistent with classical adverse selection models of funding market freezes. Our evidence is in line with theories highlighting heterogeneity between informed and uninformed lenders.

ISBN
978-92-95081-93-2
Language
Englisch

Bibliographic citation
Series: ESRB Working Paper Series ; No. 49

Classification
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Subject
wholesale bank funding
market freezes
asymmetric information

Event
Geistige Schöpfung
(who)
Pérignon, Christophe
Thesmar, David
Vuillemey, Guillaume
Event
Veröffentlichung
(who)
European Systemic Risk Board (ESRB), European System of Financial Supervision
(where)
Frankfurt a. M.
(when)
2017

DOI
doi:10.2849/366406
Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Pérignon, Christophe
  • Thesmar, David
  • Vuillemey, Guillaume
  • European Systemic Risk Board (ESRB), European System of Financial Supervision

Time of origin

  • 2017

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