We examine the comprehensive causal impact of interbank deposits on bank systemic risk by using an international sample of Group of Twenty (G20) listed banks. Using the global wage direct deposit policy as an exogenous shock to interbank deposits, we find that higher interbank deposits result in greater bank systemic risk. A series of instrumental variable approaches, entropy-balanced method, and persistence tests further confirm our findings. Moreover, we document that interbank deposits influence systemic risk through two channels: interbank network linkages and bank risk-taking. Our study holds significant implications for both macro- and micro-prudential regulatory policies as it highlights the often-overlooked adverse impact of interbank deposits, which only a few countries incorporate into their prudential regulatory frameworks.

中文翻译：

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同业存款和银行系统性风险


我们使用二十国集团 （G20） 上市银行的国际样本来研究银行同业存款对银行系统性风险的综合因果影响。利用全球工资直接存款政策作为对银行同业存款的外生冲击，我们发现更高的银行同业存款会导致更大的银行系统性风险。一系列工具变量方法、熵平衡方法和持久性测试进一步证实了我们的发现。此外，我们记录了银行同业存款通过两个渠道影响系统性风险：银行间网络联系和银行风险承担。我们的研究对宏观和微观审慎监管政策都具有重大意义，因为它强调了银行同业存款经常被忽视的不利影响，只有少数国家将其纳入其审慎监管框架。