脆弱的批发存款、流动性风险与银行期限转换（英）

Fragile wholesale deposits,liquidityrisk,and banks’maturity transformation byCarola Müller,Matias Ossandon Busch,MiguelSarmiento and Freddy Pinzon-Puerto Monetary and Economic Department April 2025 JEL classification: G01, G21, G23, E44, E58 Keywords:uninsured deposits,wholesale funding,liquidityrisk,creditsupply,non-bankfinancialintermediaries BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. Fragile wholesale deposits, liquidity risk,and banks’ maturity transformation∗ Carola Müllera,cMatias Ossandon Buschb,cMiguel Sarmientod,e Freddy Pinzon-Puertof — This draft, March 2025 — Abstract We investigate the impact of large-scale investment fund redemptions on bank lending.Using detailed data on the link between commercial banks and investment funds in anemerging economy, we document that redemptions lead to a decrease in the demandfor certificates of deposit and increasing volatility in this wholesale funding market. Wefind that banks subject to the fund-induced fragility in their funding markets adjustcredit terms: while credit volumes remain stable, terms of credit deteriorate. Affectedbanks raise interest rates and reduce the maturity of newly issued loans. These findingsshowcase that wholesale deposit runs affect banks’ incentives to engage in maturitytransformation. Keywords: uninsured deposits, wholesale funding, liquidity risk, credit supply, non-bankfinancial intermediaries JEL Codes: G01, G21, G23, E44, E58 1Introduction In wholesale funding markets for banks, nonbank financial intermediaries (NBFIs) areimportant lenders and provide liquidity in normal times.1In the absence of runs, NBFIs seekto roll over wholesale deposits as these serve as low-risk short-term assets for their liquiditymanagement.Recent episodes of financial distress, however, exposed NBFIs to run-likebehaviour of their investors and forced them to liquidate assets, including wholesale deposits.2The transmission of liquidity risks from NBFIs to banks in wholesale funding markets istherefore a growing concern for financial stability (FSB, 2023; IMF, 2023). If banks face highliquidity risk, they might cut lending (see Ivashina and Scharfstein (2010) among others)or engage less in maturity transformation (Paligorova and Santos, 2017). Fragile wholesaledeposit funding can therefore have negative repercussions for the real economy. In this paper, we study the transmission of a run-like episode in investment funds to awholesale funding market for banks and its implications for bank lending. We use granulardata linking banks and investment funds through certificates of deposit (CD) which areissued by banks and held by funds. These funds faced sudden redemptions triggered by theCovid-19 shock. First, we isolate the effect of redemptions on CD demand by funds. Then,we estimate the effect of banks’ exposure to fund redemptions on credit supply. While previous work has documented fragilities in wholesale funding markets (Pérignonet al., 2018) or the effect of wholesale funding on bank lending (Cornett et al., 2011), we linkboth in this article. The granularity of our data allows us to establish a causal link betweenfund redemptions, the stability of wholesale deposit funding, and loan terms.Thus, we identify the fragility of bank-fund links as a potential source of changes in credit conditions.We show that banks shorten maturities in their loan portfolio after being exposed to liquidityrisk from fund redemptions even though the shock was short-lived and counteracted quicklyby emergency liquidity from the central bank. Our work thereby contributes novel evidenceon the fragility caused by NBFI-bank links in times of high uncertainty. To study the effect of fragile wholesale deposits on banks’ core functions, credit supplyand maturity transformation, we look at a period that follows the outbreak of the Covid-19pandemic in Colombia. First, we describe the occurrence of large redemptions, accounting for32 percent of assets under management of local investment funds. We then identify the effectof fund redemptions on the demand for CDs, finding that funds exposed to larger redemptionswere more likely to liquidate deposits. However, the effect on demand for CDs from funds isshort-lived. This is partially explained by timely central bank interventions in the secondarymarket for CDs. Despite the short-lived effect of fund redemptions, in the medium-term,aggregate bank funding structure shows less reliance on CDs as a