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J Financ Serv Res (2010) 37:83–98
DOI 10.1007/s10693-009-0079-2
Liquidity, Bank Runs, and Bailouts: Spillover Effects
During the Northern Rock Episode
Paul Goldsmith-Pinkham · Tanju Yorulmazer
Received: 19 September 2008 / Revised: 3 November 2009 / Accepted: 17 November 2009 /
Published online: 15 December 2009
© Springer Science+Business Media, LLC 2009
Abstract In September 2007, Northern Rock—the fifth largest mortgage lender in
the United Kingdom—experienced an old-fashioned bank run, the first bank run
in the U.K. since the collapse of City of Glasgow Bank in 1878. The run had been
contained by the government’s announcement that it would guarantee all deposits
in Northern Rock. This paper analyzes spillover effects during the Northern Rock
episode and shows that both the bank run and the subsequent bailout announcement
had significant effects on the rest of the U.K. banking system, as measured by
abnormal returns on the stock prices of banks. The paper also shows that the effects
were a rational response by investors to market news about the liability side of banks’
balance sheets. In particular, banks that rely on funding from wholesale markets were
significantly affected, a result consistent with the drying up of liquidity in wholesale
markets and the record-high levels of the London Interbank Offered Rate (LIBOR)
during the crisis.
Keywords Contagion · Banking crisis · Bank run · Liquidity · Event study ·
Systemic risk · Bailout
JEL Classification G21 · G14 · G28 · E58 · D62
The views expressed in this paper are those of the authors and do not necessarily reflect the
views of the Federal Reserve Bank of New York or the Federal Reserve System. Part of this
project was completed while Paul Goldsmith-Pinkham was at the Federal Reserve Bank of
New York. We are grateful to Viral Acharya, Robert DeYoung (editor), Douglas Gale, Beverly
Hirtle, Donald Morgan, Ihab Seblani, David Skeie, Til Schuermann, Hyun
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