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Depositor Behavior under Macroeconomic Risk: Evidence from Bank Runs in Emerging Economies

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  • EDUARDO LEVY-YEYATI
  • MARÍA SOLEDAD MARTÍNEZ PERÍA
  • SERGIO L. SCHMUKLER

Abstract

Depositor behavior has been associated with bank-specific characteristics, random runs, or contagion episodes. Using evidence on the 2000-02 bank runs in Argentina and Uruguay, this paper shows that macroeconomic risk is also important. Few macroeconomic shocks can quickly cause large runs. Macroeconomic risk affects deposits regardless of traditional bank-specific characteristics. Furthermore, bank exposure to macroeconomic factors can explain differences in deposit withdrawals. During crises, the evolution of bank-specific characteristics is mainly driven by macroeconomic factors, while the informational content of bank-specific variables declines. Overall, depositors seem responsive to risk in a broader sense than that often considered by the literature. Copyright (c) 2010 The Ohio State University.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 42 (2010)
Issue (Month): 4 (06)
Pages: 585-614

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Handle: RePEc:mcb:jmoncb:v:42:y:2010:i:4:p:585-614

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Crisis Trillizas y el fantasma de un nuevo Dracma
    by Eduardo Levy Yeyati, Maria Soledad Martinez Peria y Sergio Schmukler in Colectivo Económico on 2011-07-18 12:00:00
  2. Ideen und Interessen
    by Tobias Straumann in Never mind the markets on 2012-07-31 04:00:32
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Cited by:
  1. repec:cml:moneta:v:i:y:2013:i:1:p:87-165 is not listed on IDEAS
  2. Levy Yeyati, Eduardo & Williams, Tomas, 2012. "Emerging economies in the 2000s: Real decoupling and financial recoupling," Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2102-2126.
  3. Allan Hernández & Alberto Trejos, 2013. "Fiscal Moral Hazard Due to Monetary Integration," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 63-85, January-j.
  4. repec:cml:moneta:v:i:y:2013:i:1:p:63-85 is not listed on IDEAS
  5. Vittorio Corbo & Klaus Schmidt-Hebbel, 2013. "The International Crisis and Latin America," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-62, January-j.
  6. Eduardo Levy Yeyati, 2013. "Things We Learn from Crises," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 199-230, January-j.
  7. repec:cml:moneta:v:i:y:2013:i:1:p:199-230 is not listed on IDEAS
  8. Cerasi, Vittoria & Rochet, Jean-Charles, 2014. "Rethinking the regulatory treatment of securitization," Journal of Financial Stability, Elsevier, vol. 10(C), pages 20-31.
  9. repec:cml:moneta:v:i:y:2013:i:1:p:167-198 is not listed on IDEAS
  10. Guillermo Calvo & Alejandro Izquierdo & Rudy Loo-Kung, 2013. "Optimal Holdings of International Reserves: Self-insurance against Sudden Stops," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-35, January-j.
  11. repec:cml:moneta:v:i:y:2013:i:1:p:37-62 is not listed on IDEAS
  12. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  13. Manuel Ramos -Francia & Ana María Aguilar-Argaez & Santiago García-Verdú & Gabriel Cuadra-García, 2013. "Heading into Trouble: A Comparison of the Latin American Crises and the Euro Area’s Current Crisis," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 87-165, January-j.
  14. João Pedro Bumachar Resende & Ilan Goldfajn, 2013. "Latin America During the Crisis: The Role of Fundamentals," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 167-198, January-j.
  15. repec:cml:moneta:v:i:y:2013:i:1:p:1-35 is not listed on IDEAS

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