流动性监管和银行融资成本（英）

Liquidity regulation and bankfunding costs by Iñaki Aldasoro, Sebastian Doerr and Haonan Zhou Monetary and Economic Department May 2026 JEL classification: G21, G23, G28 Keywords: liquidity coverage ratio, liquidity risk, Basel III,money market funds, market discipline 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 this publication arethose of the authors and do not necessarily reflect the views of the BIS or its membercentral banks. This publication is available on the BIS website (www.bis.org). Liquidity regulation and bank funding costs* I ˜naki AldasoroSebastian DoerrHaonan Zhou May 2026 Abstract We establish a causal link between liquidity regulation and a lower cost ofbank wholesale funding. For identification, we use pre-determined varia-tion in banks’ liquidity coverage ratio (LCR) in a difference-in-differencessetup.Granular instrument-level data allow us to carefully control forany observable and unobservable time-varying factors at the creditor,instrument type, and macroeconomic levels.We find that banks withgreater LCR exposure see a steeper decline in their wholesale fundingcosts. Consistent with seminal theoretical papers on bank liquidity risk,we provide novel evidence that wholesale funding costs decline by morefor longer-maturity instruments and that banks shift from short to longer-maturity liabilities.Our results support the argument that bank regu-lation can – at least partly – offset its costs to intermediaries throughcheaper wholesale funding. JEL classification: G21, G23, G28. Keywords: Liquidity Coverage Ratio, liquidity risk, Basel III, money marketfunds, market discipline. 1Introduction A central premise in assessments of bank regulation is that safer banks bor-row more cheaply. Regulators emphasize this channel in welfare analyses: byreducing the probability of distress, prudential rules can lower the risk pre-mia required by uninsured creditors, partially offsetting banks’ private costsof holding higher capital or liquidity buffers (FSB, 2021; BCBS, 2022).Thispremise builds on the market-discipline literature, which argues that unin-sured creditors price bank risk and that the threat of funding withdrawal dis-ciplines bank behavior. From a theoretical perspective, liquidity regulation affects both the costand maturity structure of bank debt. First, liquidity regulation should lowerbanks’ wholesale funding costs on average.By forcing banks to self-insureagainst funding stress, regulation increases bank resilience and thereby re-duces the compensation required by uninsured creditors (Calomiris and Kahn,1991).Second, funding costs should decline by more at longer maturities,because long-term creditors, who are more exposed to rollover risk and dilu-tion during stress, benefit disproportionately when liquidity regulation makessuch states less likely (He and Xiong, 2012).Third, regulation should tiltbanks’ borrowing from very short-term runnable debt toward longer matu-rities, both because it reduces the disciplining value of runnable short-termdebt (Diamond and Rajan, 2001) and because it counteracts the “maturity ratrace”, in which each creditor has an incentive to shorten the maturity of herclaim to obtain de facto seniority, generating excessive rollover risk (Brunner-meier and Oehmke, 2013). Obtaining causal evidence on how liquidity regulation affects banks’ costof debt and maturity structure, however, has proven difficult for two mainreasons. First, financial regulation is often introduced as a package, makingit hard to distinguish the effects of one specific regulation from other contem-poraneous factors. Second, data on funding costs are usually only availableat the aggregate bank or branch level, or at coarse frequencies, limiting re-searchers’ ability to examine effects along the maturity spectrum or to controlfor time-varying creditor composition, instrument characteristics, and otherfactors that can move prices independently of regulation. Our paper makesprogress on both fronts. We study the effects of liquidity regulation on bank wholesale fundingwith granular instrument-level data. We focus on the Liquidity Coverage Ra-tio (LCR), introduced as part of Basel III and which requires a bank to holdenough high-quality liquid assets (HQLA) to cover its total net cash outflowsover a 30-day severe stress scenario. Liquidity regulation is a cornerstone ofthe post-crisis regulatory framework, on par with capital regulation, reflect-ing the central role of funding fragility during crises.Indeed, the Great Fi-nancial Crisis (GFC) and the 2023 U.S. banking turmoil have underscored thatliquidity-driven distress can impose large costs on banks and the macroecon-omy. Compared to capital regulation, however, the effects of