We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). We find that banks with high derivative holdings and more exposed to sovereign credit risk respond better to the announcements, consistent with the view that lower funding costs benefit banks with higher asset encumbrance and located in more vulnerable Eurozone countries. The TLTRO announcements also elicit reductions in short positions on bank stocks relative to stocks of non-financial corporations without impairing their market liquidity. Robustness tests rule out that our results are driven by confounding events and anticipation effects. Placebo tests confirm that the TLTRO announcements are driving the estimated price reactions and changes in short positions.

我们利用与定向长期融资操作（TLTRO）相关的公告作为投资者看法的外生冲击来测试有关银行融资流动性的最新理论（Ahnert 等，2019；Liu，2015）。我们发现，衍生品持有量较高、主权信用风险敞口较大的银行对这些公告的反应较好，这与较低的融资成本有利于资产负担较高且位于较脆弱的欧元区国家的银行的观点一致。TLTRO 公告还导致银行股票相对于非金融公司股票的空头头寸减少，而不会损害其市场流动性。稳健性测试排除了我们的结果是由混杂事件和预期效应驱动的。安慰剂测试证实，TLTRO 公告正在推动估计的价格反应和空头头寸的变化。