Depositor Behavior under Macroeconomic Risk: Evidence from Bank Runs in Emerging Economies |
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| Authors: | EDUARDO LEVY‐YEYATI MARÍA SOLEDAD MARTÍNEZ PERÍA SERGIO L SCHMUKLER |
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| Institution: | 1. Eduardo Levy‐Yeyati is a Professor at the Universidad Torcuato Di Tella and Global Strategist at Barclays Capital (E‐mail: ely@utdt.edu).;2. Maria Soledad Martínez Pería is a Senior Economist in the Development Research Group, World Bank (E‐mail: mmartinezperia@worldbank.org).;3. Sergio L. Schmukler is a Lead Economist in the Development Research Group, World Bank (E‐mail: sschmukler@worldbank.org). |
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| 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. |
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| Keywords: | F30 F41 G14 G21 G28 bank deposits bank fundamentals banking panic banking crises bank run contagion emerging markets Argentine crisis Uruguayan crisis |
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