How Did Liquidity Creation Affect U.S. Banks during the Subprime Crisis? Exploring Different Aspects of Bank Liquidity Creation

流動性創造如何影響美國銀行在次貸危機中的表現？由不同面向探討銀行流動性創造

10.6545/JFS.202106_29(2).0003

陳韋達(Wei-Da Chen)；黃淑君(Shu-Chun Huang)

Liquidity risk ； credit risk ； liquidity creation ； financial crisis ； 流動性風險 ； 信用風險 ； 流動性創造 ； 金融危機

財務金融學刊

29卷2期（2021 / 06 / 30）

65 - 98

英文

Using the sample of U.S. banks, this paper investigates how bank liquidity creation affects their performance during the subprime crisis of 2007-2009. It finds that when credit and liquidity risk are controlled, the pre-crisis liquidity creation has a positive impact on bank performance. When we decompose liquidity creation into components, the assets component of liquidity creation damages bank performance in the crisis, while the liabilities component is beneficial to bank performance. The main results of this paper survive various robustness checks. The findings of this paper provide implications for bank regulation and the management of bank risk.

本文探討流動性創造如何影響美國銀行在2007-2009年次貸危機中的表現。實證結果顯示，控制銀行流動性風險與信用風險後，流動性創造對銀行的表現有正向影響。其中，資產面流動性創造不利銀行表現，而負債面流動性創造則有利於銀行表現。本文實證結果穩健，讓我們對銀行監理以及銀行風險管理有更深入瞭解。

1. Acharya, Viral V.,Mora, Nada(2015).A crisis of banks as liquidity providers.Journal of Finance,70,1-43.
2. Antoniades, Adonis, 2020, Commercial bank failures during the Great Recession: The real (estate) story, DOI: 10.2139/ssrn.2325261.
3. Aubuchon, Craig P.,Wheelock, David C.(2010).The geographic distribution and characteristics of U.S. bank failures, 2007-2010: Do bank failures still reflect local economic conditions?.Louis Review,92,395-415.
4. Bai, Jennie,Krishnamurthy, Arvind,Weymuller, Charles H.(2018).Measuring liquidity mismatch in the banking sector.Journal of Finance,73,51-93.
5. Basel Committee on Banking Supervision (BCBS), 2006, Studies on credit risk concentration, Working paper.
6. Bebczuk, Ricardo,Galindo, Arturo(2008).Financial crisis and sectoral diversification of Argentine banks, 1999-2004.Applied Financial Economics,18,199-211.
7. Benford, James,Burrows, Oliver(2013).Commercial property and financial stability.Bank of England Quarterly Bulletin,53,48-58.
8. Berger, Allen N.,Black, Lamont K.,Bouwman, Christa H. S.,Dlugosz, Jennifer(2017).Bank loan supply responses to Federal Reserve emergency liquidity facilities.Journal of Financial Intermediation,32,1-15.
9. Berger, Allen N.,Bouwman, Christa H. S.(2017).Bank liquidity creation, monetary policy, and financial crises.Journal of Financial Stability,30,139-155.
10. Berger, Allen N.,Bouwman, Christa H. S.(2013).How does capital affect bank performance during financial crises?.Journal of Financial Economics,109,146-176.
11. Berger, Allen N.,Bouwman, Christa H. S.(2009).Bank liquidity creation.Review of Financial Studies,22,3779-3837.
12. Berger, Allen N.,Cerqueiro, Geraldo,Penas, Mariá F.(2015).Market size structure and small business lending: Are crisis times different from normal times?.Review of Finance,19,1965-1995.
13. Berger, Allen N.,Goulding, William,Rice, Tara(2014).Do small businesses still prefer community banks?.Journal of Banking and Finance,44,264-278.
14. Berger, Allen N.,Sedunov, John(2017).Bank liquidity creation and real economic output.Journal of Banking and Finance,81,1-19.
15. Bryant, John(1980).A model of reserves, bank runs, and deposit insurance.Journal of Banking and Finance,4,335-344.
16. Bucciol, Alessandro,Miniaci, Raffaele(2011).Household portfolios and implicit risk preference.Review of Economics and Statistics,93,1235-1250.
17. Cole, Rebel A.,White, Lawrence J.(2012).Déjà vu all over again: The causes of U.S. commercial bank failures this time around.Journal of Financial Services Research,42,5-29.
18. Cornett, Marcia M.,McNutt, Jamie J.,Strahan, Philip E.,Tehranian, Hassan(2011).Liquidity risk management and credit supply in the financial crisis.Journal of Financial Economics,101,297-312.
19. Coval, Joshua D.,Moskowitz, Tobias J.(1999).Home bias at home: Local equity preference in domestic portfolios.Journal of Finance,54,2045-2073.
20. Cowan, Arnold R.,Salotti, Valentina(2015).The resolution of failed banks during the crisis: Acquirer performance and FDIC guarantees, 2008-2013.Journal of Banking and Finance,54,222-238.
21. Davis, Philip,Zhu, Haibin(2009).Commercial property prices and bank performance.Quarterly Review of Economics and Finance,49,1341-1359.
22. Demirgüç-Kunt, Asli,Detragiache, Enrica,Merrouche, Ouarda(2013).Bank capital: Lessons from the financial crisis.Journal of Money, Credit and Banking,45,1147-1164.
23. DeYoung, Robert,Torna, Gökhan(2013).Nontraditional banking activities and bank failures during the financial crisis.Journal of Financial Intermediation,22,397-421.
24. Diamond, Douglas W.,Dybvig, Philip H.(1983).Bank runs, deposit insurance, and liquidity.Journal of Political Economy,91,401-419.
25. Diamond, Douglas W.,Rajan, Raghuram G.(2001).Banks and liquidity.American Economic Review,91,422-425.
26. Díaz, Violeta,Huang, Ying(2017).The role of governance on bank liquidity creation.Journal of Banking and Finance,77,137-156.
27. Distinguin, Isabelle,Roulet, Caroline,Tarazi, Amine(2013).Bank regulatory capital and liquidity: Evidence from U.S. and European publicly traded banks.Journal of Banking and Finance,37,3295-3317.
28. Donaldson, Jason R.,Piacentino, Giorgia,Thakor, Anjan(2018).Warehouse banking.Journal of Financial Economics,129,250-267.
29. Halek, Martin,Eisenhauer, Joseph G.(2001).Demography of risk aversion.Journal of Risk and Insurance,68,1-24.
30. Hong, Han,Huang, Jing Z.,Wu, Deming(2014).The information content of Basel III liquidity risk measures.Journal of Financial Stability,15,91-111.
31. Horváth, Roman,Seidler, Jakub,Weill, Laurent(2014).Bank capital and liquidity creation: Granger-causality evidence.Journal of Financial Services Research,45,341-361.
32. Imbierowicz, Björn,Rauch, Christian(2014).The relationship between liquidity risk and credit risk in banks.Journal of Banking and Finance,40,242-256.
33. Kashyap, Anil K.,Rajan, Raghuram,Stein, Jeremy C.(2002).Banks as liquidity providers: An explanation for the coexistence of lending and deposit-taking.Journal of Finance,57,33-73.
34. Ng, Jeffrey,Roychowdhury, Sugata(2014).Do loan loss reserves behave like capital? Evidence from recent bank failures.Review of Accounting Studies,19,1234-1279.
35. Ng, Jeffrey, and Tjomme O. Rusticus, 2012, Banks’ survival during the financial crisis: The role of regulatory reporting quality, Working paper.
36. Nguyen, Thach V. H.,Ahmed, Shamim,Chevapatrakul, Thanaset,Onali, Enrico(2020).Do stress tests affect bank liquidity creation?.Journal of Corporate Finance,64
37. Rao, Pingui,Yue, Heng,Zhu, Jigao(2015).An investigation of credit borrower concentration.Journal of Banking and Finance,54,208-221.
38. Shen, Chung-Hua, and Ting-Hsuan Chen, 2014, Performance analysis of liquidity indicators as early warning signals, Working paper.
39. Tran, Vuong T.,Lin, Chien-Ting,Nguyen, Hoa(2016).Liquidity creation, regulatory capital, and bank profitability.International Review of Financial Analysis,48,98-109.
40. Wooldridge, Jeffrey M.(2010).Econometric Analysis of Cross Section and Panel Data.Cambridge, MA:MIT Press.