Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so-called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large-scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit flows to bank performance and greater levels of uninsured deposit outflows when performance is poor. We also explore the effects of deposit insurance and systemic risk.

中文翻译：

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美国银行业的流动性转型和脆弱性


流动性转型是银行的一个关键作用，被认为会增加脆弱性，因为没有保险的储户面临先于他人提取资金的动机（所谓的恐慌性挤兑）。然而，尽管进行了大量理论工作，但几乎没有实证证据证明这种机制。在本文中，我们提供了这种机制的第一个大规模证据。进行更多流动性转型的银行表现出更高的脆弱性，这体现在无保险存款流向对银行业绩的敏感性更高，以及在业绩不佳时无保险存款流出的水平更高。我们还探讨了存款保险和系统性风险的影响。