Bank Liquidity Hoarding and the Financial Crisis: An Empirical Evaluation

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2021-10-24 DOI:10.1142/s2010139221500208
Jose M. Berrospide
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Abstract

I test and find supporting evidence for the precautionary motive hypothesis of liquidity hoarding for U.S. commercial banks during the global financial crisis. I find that banks held more liquid assets in anticipation of future losses from securities write-downs. Exposure to securities losses in their investment portfolios and expected loan losses (measured by loan loss reserves) represent key measures of banks’ on-balance sheet risks, in addition to off-balance sheet liquidity risk stemming from unused loan commitments. Furthermore, unrealized securities losses and loan loss reserves seem to better capture the risks stemming from banks’ asset management and provide supporting evidence for the precautionary nature of liquidity hoarding. Moreover, I find that more than one-fourth of the reduction in bank lending during the crisis is due to the precautionary motive.
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银行流动性囤积与金融危机:一个实证评价
本文对全球金融危机期间美国商业银行流动性囤积的预防性动机假说进行了检验,并找到了支持该假说的证据。我发现,银行持有更多的流动资产,因为它们预计未来会因证券减记而蒙受损失。投资组合中的证券损失敞口和预期贷款损失(以贷款损失准备金衡量)是衡量银行资产负债表内风险的关键指标,此外还包括未使用贷款承诺所产生的资产负债表外流动性风险。此外,未实现证券损失和贷款损失准备金似乎更好地反映了银行资产管理带来的风险,并为流动性囤积的预防性提供了支持性证据。此外,我发现,危机期间银行贷款减少的四分之一以上是出于预防动机。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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