|
|
|
|
||||
|
||||
Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market ConditionsEvan GatevSimon Fraser University Philip E. StrahanBoston College - Department of Finance; National Bureau of Economic Research (NBER) Til SchuermannOliver Wyman December 2005 FDIC CRF Working Paper 2006-03 AFA 2007 Chicago Meetings Paper Abstract: Unused loan commitments expose banks to systematic liquidity risk, but this exposure can be reduced by combining loan commitments with transactions deposits. We show that bank equity volatility increases with unused loan commitments, but this increase is reduced for banks with high levels of transaction deposits. This deposit-lending synergy becomes even more powerful during periods of tight liquidity, when nervous investors move funds into their banks. Thus, the simultaneous taking of deposits and lending may be thought of as a liquidity hedge.
Number of Pages in PDF File: 35 Keywords: Liquidity, banking, financial crisis JEL Classification: G18, G21 working papers seriesDate posted: February 17, 2006Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 1.547 seconds
