Wholesale Funding Dry‐Ups

Wholesale Funding Dry‐Ups

  • CHRISTOPHE PÉRIGNON
  • DAVID THESMAR
  • GUILLAUME VUILLEMEY

Article first published online: 12th October 2017 DOI: 10.1111/jofi.12592

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.

Sign in to access the full article.

Related articles


ISSUE INFORMATION BM

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12558

Read Article

AMUNDI PIONEER PRIZES FOR 2017*

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12681

Read Article

MISCELLANEA

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12554

Read Article

ANNOUNCEMENTS

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12555

Read Article

ISSUE INFORMATION FM

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12557

Read Article

Comparing Asset Pricing Models

  • FRANCISCO BARILLAS
  • JAY SHANKEN

Article first published online: 8th February 2018 / DOI: 10.1111/jofi.12607

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper