Wholesale Funding Dry-Ups
Name
Thesmar_2016_WP_WholesaleFundingDryUP.pdf
Size
546.88 KB
Format
Adobe PDF
Checksum (MD5)
03864d01ac0f175edf0188b589710e90
Author(s)
Perignon, Christophe
Thesmar, David Jean Joseph
Vuillemey, Guillaume
Alternative Title
Wholesale Funding Dry-Ups
Date Issued
February 2018
Journal
Journal of Finance
Publisher
Wiley
Citation
Perignon, Christophe et al. “Wholesale Funding Dry-Ups.” The Journal of Finance 73, 2 (February 2018): 575–617. © 2017 the American Finance Association
Version
Original manuscript
Abstract
We empirically explore the fragility of wholesale funding of banks, using transaction‐level data on short‐term, unsecured certificates of deposit in the European market. We do not observe a market‐wide freeze during the 2008 to 2014 period. Yet, many banks suddenly experience funding dry‐ups. Dry‐ups predict, but do not cause, future deterioration in bank performance. Furthermore, during periods of market stress, banks with high future performance tend to increase reliance on wholesale funding. We therefore fail to find evidence consistent with adverse selection models of funding market freezes. Our evidence is in line with theories highlighting heterogeneity between informed and uninformed lenders.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1111/JOFI.12592
