Deposit Withdrawals
Miércoles 14/8, 17h | Sala principal
Presentado por Daniel Paravisini
Abstract: This paper develops a new approach to identify and quantify different rationales for
deposit withdrawals. Exploiting variation in the cost of withdrawal induced by the
maturity expiration of time-deposits, the approach can distinguish between withdrawals
due to liquidity needs, exposure to fundamental uncertainty, or expectations about how
other depositors will behave. Using daily micro-data from a large Greek bank we show
that early deposit withdrawal probability quadruples in response to a policy uncertainty
shock that doubled the short-run CDS price of Greek sovereign bonds. About two-thirds
of this increase is driven by direct exposure to policy uncertainty with the remainder
due to changes in expectations of behavior of other depositors. We estimate depositors’
willingness to pay to avoid uncertainty to quantify the effects and find that depositors
would have had to be offered annualized returns exceeding 50% to prevent withdrawals
during high-uncertainty periods.
Daniel Paravisini
Professor of Finance, London School of Economics
His research interests include Corporate Finance, Credit and Banking and Development Economics.