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Brownbag: Marco Cipriani (Federal Reserve Bank of New York)
1 April @ 1:30 pm - 2:30 pm
Tracing Bank Runs in Real Time
Abstract
We use high-frequency interbank payments data to trace deposit flows in March 2023 and identify twenty-two banks that suffered a run, significantly more than the two that failed but fewer than the number with large negative stock returns. The runs were driven by a small number of large depositors and were related to weak balance-sheet characteristics. However, we find evidence for the importance of coordination because run banks were disproportionately publicly traded and many banks with similarly bad fundamentals did not suffer a run. Banks survived the run by borrowing new funds and raising deposit rates, not by selling securities.