Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193515
Authors: 
Ippolito, Filippo
Peydró, José-Luis
Polo, Andrea
Sette, Enrico
Year of Publication: 
2016
Series/Report no.: 
ESRB Working Paper Series 8
Abstract: 
By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs. In the cross-section, pre-shock interbank exposure is (unconditionally) unrelated to post-shock credit line drawdowns. However, conditioning on firm observable and unobservable characteristics, higher pre-shock interbank exposure implies more post-shock drawdowns. We show that is the result of active pre-shock liquidity risk management by more exposed banks granting credit lines to firms that run less in a crisis.
Subjects: 
Credit lines
Liquidity risk
Financial crisis
Runs
Risk management
JEL: 
G01
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-35-2
Document Type: 
Working Paper
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