Liquidity, Bank Runs, and Bailouts Spillover Effects英文资料.pdf

Liquidity, Bank Runs, and Bailouts Spillover Effects英文资料.pdf

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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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