When the Rivers Run Dry : Liquidity and the Use of Wholesale Funds in the Transmission of the U.S. Subprime Crisis

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collection.link.5
https://openknowledge.worldbank.org/handle/10986/9
collection.name.5
Policy Research Working Papers
dc.contributor.author
Raddatz, Claudio
dc.date.accessioned
2014-09-02T18:34:51Z
dc.date.available
2014-09-02T18:34:51Z
dc.date.issued
2010-02
dc.date.lastModified
2021-04-23T14:03:52Z
dc.description.abstract
This paper provides systematic evidence of the role of banks' reliance on wholesale funding in the international transmission of the ongoing financial crisis. It conducts an event study to estimate the impact of the liquidity crunch of September 15, 2008, on the stock price returns of 662 individual banks across 44 countries, and tests whether differences in the abnormal returns observed around those events relate to these banks' ex-ante reliance on wholesale funding. Globally and within countries, banks that relied more heavily in non-deposit sources of funds experienced a significantly larger decline in stock returns even after controlling for other mechanisms. Within a country, the abnormal returns of banks with high wholesale dependence fell about 2 percent more than those of banks with low dependence during the three days following Lehman Brothers' bankruptcy. This large differential return suggests that liquidity played an important role in the transmission of the crisis.
en
dc.identifier
http://documents.worldbank.org/curated/en/2010/02/11771674/rivers-run-dry-liquidity-use-wholesale-funds-transmission-subprime-crisis
dc.identifier.uri
http://hdl.handle.net/10986/19922
dc.language
English
dc.language.iso
en_US
dc.publisher
World Bank, Washington, DC
dc.relation.ispartofseries
Policy Research Working Paper;No. 5203
dc.rights
CC BY 3.0 IGO
dc.rights.uri
http://creativecommons.org/licenses/by/3.0/igo/
dc.subject
ACCESS TO CREDIT
dc.subject
ALTERNATIVE SOURCES OF FINANCING
dc.subject
ALTERNATIVE SOURCES OF FUNDING
dc.subject
ASSET CLASSES
dc.subject
ASSET MANAGERS
dc.subject
ASSET RATIO
dc.subject
ASSET VALUES
dc.subject
ASSETS RATIO
dc.subject
AUCTIONS
dc.subject
BAILOUT
dc.subject
BAILOUTS
dc.subject
BALANCE SHEET
dc.subject
BALANCE SHEETS
dc.subject
BANK ASSETS
dc.subject
BANK BALANCE SHEET
dc.subject
BANK BALANCE SHEETS
dc.subject
BANK CREDIT
dc.subject
BANK DEPOSITS
dc.subject
BANK FINANCING
dc.subject
BANK LIQUIDITY
dc.subject
BANK REGULATION
dc.subject
BANK RUN
dc.subject
BANK SPREADS
dc.subject
BANKING INDUSTRY
dc.subject
BANKING SECTOR
dc.subject
BANKING SYSTEM
dc.subject
BANKRUPTCY
dc.subject
BANKS
dc.subject
BASIS POINTS
dc.subject
BID
dc.subject
BUSINESS CYCLES
dc.subject
CAPITAL ACCOUNT
dc.subject
CAPITAL FLOWS
dc.subject
CAPITAL MARKET
dc.subject
CAPITALIZATION
dc.subject
CDS
dc.subject
CENTRAL BANKS
dc.subject
CERTIFICATES OF DEPOSITS
dc.subject
CHECKS
dc.subject
COMMERCIAL BANKS
dc.subject
COMMERCIAL PAPER
dc.subject
COMMERCIAL PAPER MARKET
dc.subject
CONSUMER DEMAND
dc.subject
COUNTRY COMPARISONS
dc.subject
COUNTRY FIXED EFFECT
dc.subject
COUNTRY FIXED EFFECTS
dc.subject
CREDIT CRUNCH
dc.subject
CREDIT DEFAULT
dc.subject
CREDIT DEFAULT SWAP
dc.subject
CREDIT DEFAULT SWAPS
dc.subject
CREDIT LINES
dc.subject
CREDIT RISK
dc.subject
CURRENCY
dc.subject
CURRENCY CRISES
dc.subject
DEBT
dc.subject
DEFAULTS
dc.subject
DEMAND DEPOSITS
dc.subject
DEPOSIT
dc.subject
DEPOSIT INSURANCE
dc.subject
DEPOSIT INSURANCE COVERAGE
dc.subject
DEPOSIT INSURANCE SCHEMES
dc.subject
DEPOSIT LIABILITIES
dc.subject
DEPOSITOR
dc.subject
DEPOSITORS
dc.subject
DEPOSITS
dc.subject
DEREGULATION
dc.subject
DEVELOPING COUNTRIES
dc.subject
DISINTERMEDIATION
dc.subject
DUMMY VARIABLE
dc.subject
ECONOMETRICS
dc.subject
EQUITY INDEX
dc.subject
EUROPEAN CENTRAL BANK
dc.subject
EXPOSURE
dc.subject
EXTERNAL ASSETS
dc.subject
EXTERNAL FUNDS
dc.subject
FEDERAL RESERVE
dc.subject
FEDERAL RESERVE BANK
dc.subject
FINANCES
dc.subject
FINANCIAL CONSTRAINTS
dc.subject
FINANCIAL CONTAGION
dc.subject
FINANCIAL CRISES
dc.subject
FINANCIAL CRISIS
dc.subject
FINANCIAL DISTRESS
dc.subject
FINANCIAL FRAGILITY
dc.subject
FINANCIAL INNOVATION
dc.subject
FINANCIAL INSTITUTIONS
dc.subject
FINANCIAL INTEGRATION
dc.subject
FINANCIAL MANAGEMENT
dc.subject
FINANCIAL MARKET
dc.subject
FINANCIAL MARKETS
dc.subject
FINANCIAL OPENNESS
dc.subject
FINANCIAL REGULATION
dc.subject
FINANCIAL SECTOR
dc.subject
FINANCIAL STRUCTURE
dc.subject
FINANCIAL SUPPORT
dc.subject
FINANCIAL SYSTEM
dc.subject
FINANCIAL SYSTEMS
dc.subject
FINANCIAL TRANSACTIONS
dc.subject
FIXED INCOME
dc.subject
FIXED INCOME MARKETS
dc.subject
FOREIGN ASSETS
dc.subject
FOREIGN BANK
dc.subject
FOREIGN BANKS
dc.subject
FOREIGN NATIONALS
dc.subject
GLOBAL BANKING
dc.subject
GLOBAL ECONOMY
dc.subject
GLOBAL EQUITY
dc.subject
GLOBALIZATION
dc.subject
GLOBALIZATION OF SECURITIES
dc.subject
GOVERNMENT GUARANTEE
dc.subject
GROWTH RATE
dc.subject
GROWTH RATES
dc.subject
HEDGE FUNDS
dc.subject
HOME MORTGAGE
dc.subject
HOUSING
dc.subject
ILLIQUID ASSETS
dc.subject
ILLIQUIDITY
dc.subject
INCOME DISTRIBUTION
dc.subject
INITIAL LOANS
dc.subject
INSTITUTIONAL INVESTORS
dc.subject
INSURANCE
dc.subject
INSURANCE COMPANY
dc.subject
INTERBANK MARKETS
dc.subject
INTEREST RATES
dc.subject
INTERNATIONAL BANK
dc.subject
INTERNATIONAL BANKS
dc.subject
INTERNATIONAL ECONOMICS
dc.subject
INTERNATIONAL ECONOMIES
dc.subject
INTERNATIONAL FINANCIAL CRISIS
dc.subject
INTERNATIONAL FINANCIAL SYSTEM
dc.subject
INTERNATIONAL MONEY MARKETS
dc.subject
INTERNATIONAL RESERVES
dc.subject
INTERNATIONAL SETTLEMENTS
dc.subject
INTERNATIONAL TRADE
dc.subject
INVESTMENT BANK
dc.subject
INVESTMENT BANKING
dc.subject
INVESTMENT BANKS
dc.subject
INVESTMENT FUNDS
dc.subject
LENDER
dc.subject
LENDERS
dc.subject
LIABILITY
dc.subject
LIQUID ASSETS
dc.subject
LIQUIDITY COSTS
dc.subject
LIQUIDITY CREATION
dc.subject
LIQUIDITY CRUNCH
dc.subject
LIQUIDITY CRUNCHES
dc.subject
LIQUIDITY POSITION
dc.subject
LIQUIDITY RISK
dc.subject
LOAN
dc.subject
LOAN MARKETS
dc.subject
LOCAL CURRENCY
dc.subject
LOW-INCOME COUNTRIES
dc.subject
MACROECONOMICS
dc.subject
MARKET CAPITALIZATION
dc.subject
MARKET CONTAGION
dc.subject
MARKET DISCIPLINE
dc.subject
MARKET LIQUIDITY
dc.subject
MARKET MAKERS
dc.subject
MARKET PARTICIPANTS
dc.subject
MARKET RETURN
dc.subject
MARKET RETURNS
dc.subject
MATURITY
dc.subject
MODERN FINANCIAL SYSTEMS
dc.subject
MONETARY POLICY
dc.subject
MONEY MARKET
dc.subject
MORTGAGE
dc.subject
MORTGAGE COMPANIES
dc.subject
MORTGAGE LENDER
dc.subject
MORTGAGE MARKET
dc.subject
MORTGAGES
dc.subject
MULTINATIONAL
dc.subject
MULTINATIONAL CORPORATIONS
dc.subject
NON-PERFORMING LOANS
dc.subject
OPEN COUNTRIES
dc.subject
POLICY RESPONSES
dc.subject
POLITICAL ECONOMY
dc.subject
PORTFOLIO
dc.subject
POST BANK
dc.subject
PRICE CHANGES
dc.subject
PUBLIC BANKS
dc.subject
PUBLIC POLICY
dc.subject
RATING AGENCIES
dc.subject
RECESSION
dc.subject
REGULATORY FRAMEWORK
dc.subject
REGULATORY SYSTEMS
dc.subject
REPO
dc.subject
REPO MARKET
dc.subject
RETURN
dc.subject
RETURNS
dc.subject
RISK MANAGEMENT
dc.subject
SAFETY NET
dc.subject
SECURITIES
dc.subject
SECURITIES MARKETS
dc.subject
SECURITIZATION
dc.subject
SHORT-TERM FINANCING
dc.subject
SOURCE OF FUNDS
dc.subject
SOURCES OF FUNDS
dc.subject
STATE BANKS
dc.subject
STATE OWNED BANKS
dc.subject
STOCK MARKET
dc.subject
STOCK MARKETS
dc.subject
STOCK PRICE
dc.subject
STOCK PRICES
dc.subject
STOCK RETURNS
dc.subject
STOCKS
dc.subject
TRADES
dc.subject
TRADING
dc.subject
TRANSACTION
dc.subject
TRANSPARENCY
dc.subject
TREASURY
dc.subject
TREASURY BILL
dc.subject
TREASURY BILL RATE
dc.subject
TURNOVER
dc.subject
VOLATILITY
dc.subject
WHOLESALE FUND
dc.subject
WHOLESALE FUNDING
dc.subject
WHOLESALE FUNDS
dc.subject
WHOLESALE MARKETS
dc.title
When the Rivers Run Dry : Liquidity and the Use of Wholesale Funds in the Transmission of the U.S. Subprime Crisis
en
okr.date.disclosure
2010-02-28
okr.doctype
Publications & Research :: Policy Research Working Paper
okr.doctype
Publications & Research
okr.docurl
http://documents.worldbank.org/curated/en/2010/02/11771674/rivers-run-dry-liquidity-use-wholesale-funds-transmission-subprime-crisis
okr.globalpractice
Finance and Markets
okr.globalpractice
Trade and Competitiveness
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1596/1813-9450-5203
okr.identifier.externaldocumentum
000158349_20100210140519
okr.identifier.internaldocumentum
11771674
okr.identifier.report
WPS5203
okr.language.supported
en
okr.pdfurl
http://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2010/02/10/000158349_20100210140519/Rendered/PDF/WPS5203.pdf
en
okr.sector
Finance :: General finance sector
okr.theme
Financial and private sector development :: Small and medium enterprise support
okr.topic
Finance and Financial Sector Development :: Financial Intermediation
okr.topic
Banks and Banking Reform
okr.topic
Finance and Financial Sector Development :: Debt Markets
okr.topic
Private Sector Development :: Emerging Markets
okr.topic
Finance and Financial Sector Development :: Access to Finance
okr.unit
Macroeconomics and Growth Team, Development Research Group
okr.volume
1 of 1

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