Depositor behavior under macroeconomic risk: Evidence from bank runs in emerging economies

Journal of Money, Credit and Banking

Volumn 42, Issue 4, 2010, Pages 585-614

  Levy Yeyati, Eduardo ^a,b   Martínez pería, María soledad ^c   Schmukler, Sergio L ^c  

^a UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

^b Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

^c WORLD BANK   (United States)

Author keywords

Argentine crisis; Bank deposits; Bank fundamentals; Bank run; Banking crises; Banking panic; Contagion; Emerging markets; Uruguayan crisis

Indexed keywords

EID: 77954128273     PISSN: 00222879     EISSN: 15384616     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2010.00300.x     Document Type: Article

References (48)

1. Arellano Manuel, Bond Stephen. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review of Economic Studies 1991, 58:277-97.
2. Arena Marco. Bank Fundamentals, Bank Failures, and Market Discipline: An Empirical Analysis for Latin America and Asia during the Nineties. 2003, Working Paper, Inter-American Development Bank and Asian Development Bank
3. Market Discipline, Basel Committee on Banking Supervision. 2001, Bank for International Settlements, Working Paper on Pillar 3
4. Barajas Adolfo, Steiner Roberto. Depositor Behavior and Market Discipline in Colombia. International Monetary Fund Seminar Series 2000, 51:1-39.
5. Berger Allen N. Market Discipline in Banking. 1991, 419-37. Federal Reserve Bank of Chicago
6. Bordo Michael, Eichengreen Barry, Klingebiel Daniela, Martínez Pería Marthomampersan. Is the Crisis Problem Growing More Severe. Economic Policy 2001, 32:51-75.
7. Borio Claudio. Towards a Macroprudential Framework for Financial Supervision and Regulation. CESifo Economic Studies 2003, 49:181-215.
8. Bruner Robert F, Simms John M. The International Debt Crisis and Bank Security Returns in 1982. Journal of Money, Credit, and Banking 1987, 19:46-55.
9. Budnevich Carlos, Franken Helmut. Disciplina de Mercado en la Conducta de los Depositantes y Rol de las Agencias Clasificadoras de Riesgo: El Caso de Chile. Economía Chilena 2003, 6:5-70.
10. Calomiris Charles W, Gorton Gary. The Origins of Banking and Panics: Models, Facts, and Bank Regulation. Financial Markets and Financial Crises 1991, 109-174. Hubbard Robert G, edited by, Chicago, University of Chicago Press
11. Calomiris Charles W, Mason Joseph R. Contagion and Bank Failures during the Great Depression: The June 1932 Chicago Banking Panic. American Economic Review 1997, 87:863-83.
12. Calomiris Charles W, Mason Joseph R. Fundamentals, Panics, and Bank Distress during the Depression. American Economic Review 2003, 93:1615-47.
13. Calomiris Charles W, Powell Andrew. Can Emerging Market Bank Regulators Establish Credible Discipline? The Case of Argentina, 1992-1999. Prudential Supervision: What Works and What Doesn't 2001, 147-196. Mishkin Frederic, edited by, Chicago, University of Chicago Press
14. Calomiris Charles W, Schweikart Larry. The Panic of 1857: Origins, Transmission, and Containment. Journal of Economic History 1991, 51:807-34.
15. Caprio Gerard, Klingebiel Daniela. Bank Insolvencies: Cross-Country Experience. Annual Bank Conference on Development Economics 1996 1997, 79-104. Bruno Michael, Pleskovic Boris. edited by, Washington DC, World Bank
16. Cordella Tito, Levy-Yeyati Eduardo. Public Disclosure and Bank Failures. IMF Staff Papers 1998, 45:110-31.
17. Cornell Bradford, Shapiro Allan C. The Reaction of Bank Stock Prices to the International Debt Crisis. Journal of Banking and Finance 1986, 10:55-73.
18. D'Amato Laura, Grubisic Elena, Powell Andrew. Contagion, Bank Fundamentals or Macroeconomic Shock? An Empirical Analysis of the Argentine 1995 Banking Problems. 1997, Working Paper No. 2, Central Bank of Argentina
19. de la Torre Augusto, Levy-Yeyati Eduardo, Schmukler Sergio. Living and Dying with Hard Pegs: The Rise and Fall of Argentina's Currency Board. Economia 2003, 43-107. Spring
20. Fernández Adrithomampersa, Garda Paula, Peremulter Nicole. Calificaciones, Crisis de Deuda y Crisis Bancaria: La Experiencia Uruguaya en el 2002. Jornadas Anuales de Economía, Banco Central del Uruguay 2003, 18.
21. Flannery Mark J. Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence. Journal of Money, Credit, and Banking 1998, 30:273-305.
22. Gennaioli Nicola, Martin Alberto, Rossi Stefano. Institutions, Public Debt and Foreign Finance. 2009, Mimeo, CREI, Universitat Pompeu Fabra
23. Ghosh Saibal, Das Abhiman. Market Discipline in the Indian Banking Sector: An Empirical Exploration. 2003, NSE Research Initiative, NSE, Mumbai
24. Gonzalez-Hermosillo Brenda. Determinants of Ex-Ante Banking System Distress: A Macro-Micro Empirical Exploration of Some Recent Episodes. 1999, Working Paper No. 33, International Monetary Fund
25. Gropp Reint, Vesala Jukka M, Vulpes Giuseppe. Equity and Bond Market Signals as Leading Indicators of Bank Fragility. Journal of Money, Credit, and Banking 2006, 38:399-428.
26. Kaminsky Graciela L, Reinhart Carmen M. The Twin Crises: The Causes of Banking and Balance-of-Payments Problems. American Economic Review 1999, 89:473-500.
27. Kane Eduard J. Designing Financial Safety Nets to Fit Country Circumstances. 2000, World Bank Policy Research Working Paper No. 2453
28. Karafiath Imre, Mynatt Ross, Smith Kenneth L. The Brazilian Default Announcement and the Contagion Effect Hypothesis. Journal of Banking and Finance 1991, 15:699-716.
29. Kaufman George G. Bank Contagion: A Review of the Theory and Evidence. Journal of Financial Services Research 1994, 8:123-50.
30. Kelly Morgan, O Grada Cormac. Market Contagion: Evidence from the Panics of 1854 and 1857. American Economic Review 2000, 90:1110-24.
31. Krainer John, Lopez Jose A. Forecasting Bank Supervisory Ratings Using Securities Market Information. Journal of Money, Credit, and Banking 2004, 36:1043-68.
32. Levy-Yeyati Eduardo, Martínez Pería Marthomampersan, Schmukler Sergio. Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies. 2004a, World Bank Policy Research Working Paper No. 3440
33. Levy-Yeyati Eduardo, Martínez Pería Marthomampersan, Schmukler Sergio. Market Discipline in Emerging Economies: Beyond Bank Fundamentals. Market Discipline across Countries and Industries 2004b, 135-146. Borio Claudio, Hunter William C, Kaufman George GTsatsaronis Kostas. edited by, Cambridge, MA, MIT Press
34. Martínez Pería Marthomampersan, Schmukler Sergio. Do Depositors Punish Banks for 'Bad' Behavior? Market Discipline, Deposit Insurance, and Banking Crises. Journal of Finance 2001, 56:1029-51.
35. McCandless George, Gabrielli Marthomampersan, Rouillet Marthomampersan. Determining the Causes of Bank Runs in Argentina during the Crisis of 2001. Revista de Análisis Económico 2003, 18:87-102.
36. Musumeci James J, Sinkey Joseph F. The International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience. Journal of Money, Credit, and Banking 1990, 22:209-20.
37. O Grada Cormac, White Eugene N. Who Panics during Panics? Evidence from a Nineteenth Century Savings Bank. 2002, NBER Working Paper No. 8856
38. Opiela Timothy P. A Test of the Effect of Systemic Risk on Deposit Market Discipline at Thai Banks. 2006, Mimeo, DePaul University
39. Perry Guillermo, Servén Luis. The Anatomy of a Multiple Crisis: Why Was Argentina Special and What Can We Learn from It. Monetary Unions and Hard Pegs: Effects on Trade, Financial Development, and Stability 2004, 231-288. Alexander Volbert, Mélitz Jacquesvon Furstenberg George M. edited by, Oxford, Oxford University Press
40. Porto Luis. Uruguay 2002: Para Entender la Crisis Bancaria 2002, Montevideo, Ediciones de la Banda Oriental
41. Rochet Jean-Charles. Macroeconomic Shocks and Banking Supervision. Journal of Financial Stability 2004, 1:93-110.
42. Saunders Anthony, Wilson Berry. Contagious Bank Runs: Evidence from the 1929-1933 Period. Journal of Financial Intermediation 1996, 5:409-23.
43. Schumacher Liliana. Bank Runs and Currency Run in a System without a Safety Net: Argentina and the 'Tequila' Shock. Journal of Monetary Economics 2000, 46:257-77.
44. Sironi Andrea. Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues. Journal of Money, Credit and Banking 2003, 35:443-72.
45. Smirlock Michael, Kaufold Howard. Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis. Journal of Business 1987, 60:347-64.
46. Tirole Jean. Financial Crises, Liquidity, and the International Monetary System 2002, Princeton, NJ, Princeton University Press
47. Vallcorba Martthomampersa. Comportamiento de las Tasas de Interés Durante la Crisis Bancaria de 2002. 2003, Mimeo, Universidad ORT, Uruguay
48. " Argentina: Financial Sector Review 1998, World Bank, Report No. 17864-AR, September