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1、JFinancServRes(2010)37:8398DOI10.1007/s10693-009-0079-2Liquidity,BankRuns,andBailouts:SpilloverEffectsDuringtheNorthernRockEpisodePaulGoldsmith-Pinkham·TanjuYorulmazerReceived:19September2008/Revised:3November2009/Accepted:17November2009/Publishedonline:15December2009©Sp
2、ringerScience+BusinessMedia,LLC2009AbstractInSeptember2007,NorthernRockthefifthlargestmortgagelenderintheUnitedKingdomexperiencedanold-fashionedbankrun,thefirstbankrunintheU.K.sincethecollapseofCityofGlasgowBankin1878.Therunhadbeencontainedbythegovernmentsannouncementthati
3、twouldguaranteealldepositsinNorthernRock.ThispaperanalyzesspillovereffectsduringtheNorthernRockepisodeandshowsthatboththebankrunandthesubsequentbailoutannouncementhadsignificanteffectsontherestoftheU.K.bankingsystem,asmeasuredbyabnormalreturnsonthestockpricesofbanks.Thepa
4、peralsoshowsthattheeffectswerearationalresponsebyinvestorstomarketnewsabouttheliabilitysideofbanksbalancesheets.Inparticular,banksthatrelyonfundingfromwholesalemarketsweresignificantlyaffected,aresultconsistentwiththedryingupofliquidityinwholesalemarketsandtherecord-highl
5、evelsoftheLondonInterbankOfferedRate(LIBOR)duringthecrisis.KeywordsContagion·Bankingcrisis·Bankrun·Liquidity·Eventstudy·Systemicrisk·BailoutJELClassificationG21·G14·G28·E58·D62TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheFederalRes
6、erveBankofNewYorkortheFederalReserveSystem.PartofthisprojectwascompletedwhilePaulGoldsmith-PinkhamwasattheFederalReserveBankofNewYork.WearegratefultoViralAcharya,RobertDeYoung(editor),DouglasGale,BeverlyHirtle,DonaldMorgan,IhabSeblani,DavidSkeie,TilSchuermann,HyunShin,Ha
7、lukUnal(editor)andananonymousrefereeforhelpfulsuggestions.P.Goldsmith-PinkhamOfficeoftheDoctoralProgram,HarvardBusinessSchool,WyssHouse,102SoldiersFieldRoad,Boston,MA02163,USAe-mail:pgoldsm@fas.harvard.eduT.Yorulmazer(B)FederalReserveBankofNewYork,33LibertyStreet,NewYork,
8、NY10045,USAe-mail:Tanju.Yorulmazer@ny.frb.org84JFinancServRes(2010)37:83981IntroductionThefinancialturmo
