MANAGING BANK LIQUIDITY RISK:HOW DEPOSIT-LOAN SYNERGIES VARY WITH MARKET CONDITIONS

摘要：

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.

关键词： Liquidity banking financial crisis

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）