Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193556
Authors: 
Pérignon, Christophe
Thesmar, David
Vuillemey, Guillaume
Year of Publication: 
2017
Series/Report no.: 
ESRB Working Paper Series 49
Abstract: 
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.
Subjects: 
wholesale bank funding
market freezes
asymmetric information
JEL: 
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-93-2
Document Type: 
Working Paper
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