2025-05-13-国际清算银行-脆弱的批发存款_流动性风险与银行期限转换（英）_51页_1mb

BIS Working Paper No. 1263 investigates the impact of large-scale investment fund redemptions on bank lending, using detailed Colombian data during the COVID-19 crisis. The study highlights that sudden fund redemptions significantly reduced demand for certificates of deposit (CDs), particularly in the short term, with this effect diminishing after three to six months.

Banks with higher exposure to fund redemptions shortened loan maturities, raised interest rates, and reduced their maturity transformation in response to funding market stress. This adjustment persisted over a longer horizon, indicating banks adapted their liquidity management despite central bank interventions.

The study finds that while fund redemptions initially increase CD volatility and decrease demand, central bank liquidity injections (e.g., repo and CD purchases) mitigate the shock, limiting its transmission to bank funding markets.

Methodology relies on granular data linking banks and funds via CDs, employs DID analysis with pre/post-shock periods, and controls for bank/fund characteristics. Key findings are robust to different risk measures and include no significant impact on total loan volumes in the long term, but significant changes in loan terms.

The paper emphasizes the role of wholesale funding fragility in affecting banks’ incentives for maturity transformation and underscores the mitigating impact of central bank actions on financial stability.